# EDGAR Filing Document

**Accession Number:** 0000917469
**File Stem:** 0001410368-26-019687
**Filing Date:** 2026-2
**Character Count:** 416017
**Document Hash:** c0aac253aee82e6b58d3fde57e6e80b6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-019687.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-019687

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **CENTRAL INDEX KEY:** 0000917469

**ORGANIZATION NAME:**
- **EIN:** 043219179
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08282
- **FILM NUMBER:** 26688897

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **DATE OF NAME CHANGE:** 20031119

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20031015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **DATE OF NAME CHANGE:** 20030718

## Series and Classes Contracts Data

### Loomis Sayles Securitized Asset Fund (Series ID: S000006639)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000018125 | Institutional Class | LSSAX           |

## Nport-Ex

**Portfolio of Investments – as of December 31, 2025 (Unaudited)**

Loomis Sayles Securitized Asset Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Principal** <br>**Amount**<br>| **Description** | **Value (†)** |
| **Bonds and Notes — 93.9% of Net Assets** | **Bonds and Notes — 93.9% of Net Assets** | **Bonds and Notes — 93.9% of Net Assets** |
|  | **ABS Car Loan — 8.5%** | **ABS Car Loan — 8.5%** |
| $1415000 | &nbsp;&nbsp; American Credit Acceptance Receivables Trust, <br> Series 2022-4, Class D, 8.000%, 2/15/2029(a)<br>| &nbsp;&nbsp; $1426748 |
| 2425000 | &nbsp;&nbsp; American Credit Acceptance Receivables Trust, <br> Series 2025-1, Class B, 4.900%, 3/12/2029(a)<br>| &nbsp;&nbsp; 2429321 |
| 2305000 | &nbsp;&nbsp; American Credit Acceptance Receivables Trust, <br> Series 2025-4, Class B, 4.550%, 1/14/2030(a)<br>| &nbsp;&nbsp; 2315388 |
| 3100000 | &nbsp;&nbsp; AmeriCredit Automobile Receivables Trust, <br> Series 2023-2, Class B, 5.840%, 7/18/2029<br>| &nbsp;&nbsp; 3159957 |
| 908071 | &nbsp;&nbsp; AmeriCredit Automobile Receivables Trust, <br> Series 2024-1, Class A3, 5.430%, 1/18/2029<br>| &nbsp;&nbsp; 915926 |
| 1040000 | &nbsp;&nbsp; AutoNation Finance Trust, Series 2025-1A, <br> Class A4, 4.760%, 6/10/2030(a)<br>| &nbsp;&nbsp; 1057109 |
| 3215000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2024-1A, Class A, 5.360%, 6/20/2030(a)<br>| &nbsp;&nbsp; 3321191 |
| 495000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2025-1A, Class A, 4.800%, 8/20/2029(a)<br>| &nbsp;&nbsp; 502750 |
| 373757 | &nbsp;&nbsp; BofA Auto Trust, Series 2024-1A, Class A3, <br> 5.350%, 11/15/2028(a)<br>| &nbsp;&nbsp; 376758 |
| 3030000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2022-3, <br> Class D, 6.200%, 1/16/2029<br>| &nbsp;&nbsp; 3054557 |
| 800000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2023-3, <br> Class C, 5.610%, 2/15/2029<br>| &nbsp;&nbsp; 814224 |
| 2325000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2024-2, <br> Class B, 5.690%, 11/15/2029<br>| &nbsp;&nbsp; 2389133 |
| 1680000 | &nbsp;&nbsp; CarMax Select Receivables Trust, <br> Series 2025-A, Class A3, 4.770%, 9/17/2029<br>| &nbsp;&nbsp; 1694271 |
| 1720000 | &nbsp;&nbsp; CarMax Select Receivables Trust, <br> Series 2025-B, Class C, 4.830%, 6/16/2031<br>| &nbsp;&nbsp; 1725809 |
| 300011 | &nbsp;&nbsp; Carvana Auto Receivables Trust, <br> Series 2021-N1, Class C, 1.300%, 1/10/2028<br>| &nbsp;&nbsp; 295938 |
| 5410000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2021-P2, <br> Class C, 1.600%, 6/10/2027<br>| &nbsp;&nbsp; 5330739 |
| 1600000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2022-P3, <br> Class A4, 4.850%, 6/12/2028<br>| &nbsp;&nbsp; 1611373 |
| 1605000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2023-P4, <br> Class A4, 6.160%, 9/10/2029(a)<br>| &nbsp;&nbsp; 1660416 |
| 442000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2024-P1, <br> Class A4, 5.080%, 3/11/2030(a)<br>| &nbsp;&nbsp; 448903 |
| 4965000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2025-P1, <br> Class A3, 4.550%, 5/10/2030<br>| &nbsp;&nbsp; 4987089 |
| 1125000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2025-P2, <br> Class A4, 4.750%, 6/10/2031<br>| &nbsp;&nbsp; 1144358 |
| 1250000 | &nbsp;&nbsp; Chase Auto Owner Trust, Series 2024-1A, <br> Class B, 5.160%, 11/26/2029(a)<br>| &nbsp;&nbsp; 1276925 |
| 2800000 | &nbsp;&nbsp; Chase Auto Owner Trust, Series 2024-2A, <br> Class A4, 5.480%, 11/26/2029(a)<br>| &nbsp;&nbsp; 2886135 |
| 2200000 | &nbsp;&nbsp; Chase Auto Owner Trust, Series 2024-4A, <br> Class C, 5.460%, 7/25/2030(a)<br>| &nbsp;&nbsp; 2257628 |
| 970000 | &nbsp;&nbsp; Chase Auto Owner Trust, Series 2025-1A, <br> Class A4, 4.380%, 10/25/2030(a)<br>| &nbsp;&nbsp; 981582 |
| 3025000 | &nbsp;&nbsp; Citizens Auto Receivables Trust, Series 2023-1, <br> Class A4, 5.780%, 10/15/2030(a)<br>| &nbsp;&nbsp; 3074141 |
| 221941 | &nbsp;&nbsp; Credit Acceptance Auto Loan Trust, <br> Series 2023-3A, Class A, 6.390%, 8/15/2033(a)<br>| &nbsp;&nbsp; 223097 |
| 1105000 | &nbsp;&nbsp; Credit Acceptance Auto Loan Trust, <br> Series 2024-1A, Class A, 5.680%, 3/15/2034(a)<br>| &nbsp;&nbsp; 1114689 |
| 820000 | &nbsp;&nbsp; Credit Acceptance Auto Loan Trust, <br> Series 2025-2A, Class B, 4.870%, 1/15/2036(a)<br>| &nbsp;&nbsp; 825339 |
| 635000 | &nbsp;&nbsp; Drive Auto Receivables Trust, Series 2025-1, <br> Class A3, 4.730%, 9/15/2032<br>| &nbsp;&nbsp; 638032 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| $3970000 | &nbsp;&nbsp; DT Auto Owner Trust, Series 2023-3A, Class C, <br> 6.400%, 5/15/2029(a)<br>| &nbsp;&nbsp; $4003306 |
| 595000 | &nbsp;&nbsp; Enterprise Fleet Financing LLC, Series 2025-1, <br> Class A4, 4.970%, 9/22/2031(a)<br>| &nbsp;&nbsp; 609620 |
| 2125000 | &nbsp;&nbsp; FHF Issuer Trust, Series 2025-2A, Class A2, <br> 5.750%, 5/15/2030(a)<br>| &nbsp;&nbsp; 2127070 |
| 935000 | &nbsp;&nbsp; First Investors Auto Owner Trust, <br> Series 2025-1A, Class C, 4.750%, 12/15/2031(a)<br>| &nbsp;&nbsp; 935637 |
| 1603694 | &nbsp;&nbsp; Flagship Credit Auto Trust, Series 2022-1, <br> Class C, 3.060%, 3/15/2028(a)<br>| &nbsp;&nbsp; 1592220 |
| 4705000 | &nbsp;&nbsp; Flagship Credit Auto Trust, Series 2023-2, <br> Class B, 5.210%, 5/15/2028(a)<br>| &nbsp;&nbsp; 4705985 |
| 1235000 | &nbsp;&nbsp; Flagship Credit Auto Trust, Series 2024-1, <br> Class A3, 5.480%, 10/16/2028(a)<br>| &nbsp;&nbsp; 1238689 |
| 1101109 | &nbsp;&nbsp; Flagship Credit Auto Trust, Series 2024-3, <br> Class A, 4.880%, 11/15/2028(a)<br>| &nbsp;&nbsp; 1100198 |
| 920000 | &nbsp;&nbsp; Ford Credit Auto Owner Trust, Series 2023-2, <br> Class C, 6.160%, 2/15/2036(a)<br>| &nbsp;&nbsp; 957884 |
| 330000 | &nbsp;&nbsp; Ford Credit Floorplan Master Owner Trust A, <br> Series 2023-1, Class C, 5.750%, 5/15/2028(a)<br>| &nbsp;&nbsp; 331497 |
| 1520000 | &nbsp;&nbsp; Foursight Capital Automobile Receivables Trust, <br> Series 2023-1, Class D, 7.410%, 2/15/2030(a)<br>| &nbsp;&nbsp; 1556352 |
| 1750000 | &nbsp;&nbsp; Foursight Capital Automobile Receivables Trust, <br> Series 2023-2, Class B, 6.110%, 11/15/2028(a)<br>| &nbsp;&nbsp; 1768993 |
| 130000 | &nbsp;&nbsp; Foursight Capital Automobile Receivables Trust, <br> Series 2024-1, Class C, 5.770%, 11/15/2029(a)<br>| &nbsp;&nbsp; 132032 |
| 2440000 | &nbsp;&nbsp; GECU Auto Receivables Trust, Series 2023-1A, <br> Class A4, 5.790%, 10/15/2029(a)<br>| &nbsp;&nbsp; 2483251 |
| 651000 | &nbsp;&nbsp; GLS Auto Receivables Issuer Trust, <br> Series 2024-3A, Class C, 5.210%, 2/18/2031(a)<br>| &nbsp;&nbsp; 657109 |
| 4070000 | &nbsp;&nbsp; GLS Auto Receivables Issuer Trust, <br> Series 2025-1A, Class B, 4.980%, 7/16/2029(a)<br>| &nbsp;&nbsp; 4111087 |
| 830000 | &nbsp;&nbsp; GLS Auto Receivables Issuer Trust, <br> Series 2025-3A, Class B, 4.570%, 1/15/2030(a)<br>| &nbsp;&nbsp; 833778 |
| 425000 | &nbsp;&nbsp; GLS Auto Receivables Issuer Trust, <br> Series 2025-4A, Class A3, 4.290%, 7/16/2029(a)<br>| &nbsp;&nbsp; 426261 |
| 1110000 | &nbsp;&nbsp; GLS Auto Select Receivables Issuer Trust, <br> Series 2025-4A, Class C, 5.140%, 12/15/2031(a)<br>| &nbsp;&nbsp; 1115438 |
| 1780000 | &nbsp;&nbsp; GLS Auto Select Receivables Trust, <br> Series 2024-3A, Class B, 5.640%, 8/15/2030(a)<br>| &nbsp;&nbsp; 1821938 |
| 180000 | &nbsp;&nbsp; GLS Auto Select Receivables Trust, <br> Series 2025-1A, Class B, 5.040%, 2/15/2031(a)<br>| &nbsp;&nbsp; 184004 |
| 1010495 | &nbsp;&nbsp; GLS Auto Select Receivables Trust, <br> Series 2025-3A, Class A2, 4.460%, 10/15/2030(a)<br>| &nbsp;&nbsp; 1017182 |
| 2085000 | &nbsp;&nbsp; GM Financial Automobile Leasing Trust, <br> Series 2025-1, Class B, 4.890%, 2/20/2029<br>| &nbsp;&nbsp; 2107170 |
| 970768 | &nbsp;&nbsp; GM Financial Consumer Automobile <br> Receivables Trust, Series 2024-2, Class A3, <br> 5.100%, 3/16/2029<br>| &nbsp;&nbsp; 978996 |
| 490000 | &nbsp;&nbsp; GM Financial Consumer Automobile <br> Receivables Trust, Series 2025-1, Class B, <br> 5.000%, 8/16/2030<br>| &nbsp;&nbsp; 500242 |
| 215444 | &nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, <br> Series 2024-1, Class B1, 6.153%, 5/20/2032(a)<br>| &nbsp;&nbsp; 218704 |
| 835000 | &nbsp;&nbsp; Hyundai Auto Receivables Trust, Series 2025-A, <br> Class C, 4.760%, 6/15/2032<br>| &nbsp;&nbsp; 841641 |
| 1035000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2024-2A, <br> Class C, 5.660%, 10/15/2029(a)<br>| &nbsp;&nbsp; 1062261 |
| 340000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2024-3A, <br> Class C, 4.930%, 3/15/2030(a)<br>| &nbsp;&nbsp; 344327 |
| 1250000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2025-1A, <br> Class A4, 4.790%, 4/15/2030(a)<br>| &nbsp;&nbsp; 1270581 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| $1910000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2025-2A, <br> Class B, 4.530%, 5/17/2032(a)<br>| &nbsp;&nbsp; $1914597 |
| 3586426 | &nbsp;&nbsp; Lendbuzz Securitization Trust, Series 2023-2A, <br> Class A2, 7.090%, 10/16/2028(a)<br>| &nbsp;&nbsp; 3633441 |
| 1560000 | &nbsp;&nbsp; M&T Bank Auto Receivables Trust, <br> Series 2025-1A, Class A4, 4.890%, 7/15/2032(a)<br>| &nbsp;&nbsp; 1594966 |
| 816081 | &nbsp;&nbsp; Merchants Fleet Funding LLC, Series 2023-1A, <br> Class A, 7.210%, 5/20/2036(a)<br>| &nbsp;&nbsp; 820198 |
| 895000 | &nbsp;&nbsp; PenFed Auto Receivables Owner Trust, <br> Series 2025-A, Class A4, 4.190%, 5/15/2031(a)<br>| &nbsp;&nbsp; 897722 |
| 1290151 | &nbsp;&nbsp; Prestige Auto Receivables Trust, Series 2023-2A, <br> Class B, 6.640%, 12/15/2027(a)<br>| &nbsp;&nbsp; 1290260 |
| 250000 | &nbsp;&nbsp; Red Oak Funding Master Trust, Series 2025-1A, <br> Class A, 30 day USD SOFR Average + 2.000%, <br> 5.984%, 12/20/2030(a)(b)<br>| &nbsp;&nbsp; 250192 |
| 3075000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2023-2, Class C, 5.470%, 12/16/2030<br>| &nbsp;&nbsp; 3123082 |
| 500000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2024-2, Class C, 5.840%, 6/17/2030<br>| &nbsp;&nbsp; 510858 |
| 382482 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2024-5, Class A3, 4.620%, 11/15/2028<br>| &nbsp;&nbsp; 383136 |
| 915000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2025-1, Class A3, 4.740%, 1/16/2029<br>| &nbsp;&nbsp; 917080 |
| 630000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2025-4, Class C, 4.520%, 1/15/2032<br>| &nbsp;&nbsp; 631396 |
| 710000 | &nbsp;&nbsp; SBNA Auto Lease Trust, Series 2024-B, <br> Class A4, 5.550%, 12/20/2028(a)<br>| &nbsp;&nbsp; 718789 |
| 200000 | &nbsp;&nbsp; SBNA Auto Receivables Trust, Series 2024-A, <br> Class C, 5.590%, 1/15/2030(a)<br>| &nbsp;&nbsp; 203274 |
| 361002 | &nbsp;&nbsp; Securitized Term Auto Receivables Trust, <br> Series 2025-A, Class B, 5.038%, 7/25/2031(a)<br>| &nbsp;&nbsp; 364565 |
| 125000 | &nbsp;&nbsp; SFS Auto Receivables Securitization Trust, <br> Series 2023-1A, Class C, 5.970%, 2/20/2031(a)<br>| &nbsp;&nbsp; 128565 |
| 300000 | &nbsp;&nbsp; SFS Auto Receivables Securitization Trust, <br> Series 2025-1A, Class B, 5.110%, 2/20/2031(a)<br>| &nbsp;&nbsp; 307329 |
| 1510000 | &nbsp;&nbsp; SFS Auto Receivables Securitization Trust, <br> Series 2025-3A, Class B, 4.440%, 11/20/2031(a)<br>| &nbsp;&nbsp; 1514512 |
| 1475000 | &nbsp;&nbsp; Stellantis Financial Underwritten Enhanced <br> Lease Trust, Series 2025-BA, Class C, <br> 4.710%, 1/22/2030(a)<br>| &nbsp;&nbsp; 1480279 |
| 1630000 | &nbsp;&nbsp; Tesla Electric Vehicle Trust, Series 2023-1, <br> Class B, 5.820%, 5/20/2031(a)<br>| &nbsp;&nbsp; 1660485 |
| 625000 | &nbsp;&nbsp; USB Auto Owner Trust, Series 2025-1A, Class B, <br> 4.810%, 1/15/2031(a)<br>| &nbsp;&nbsp; 634789 |
| 362101 | &nbsp;&nbsp; Veros Auto Receivables Trust, Series 2025-1, <br> Class A, 5.310%, 9/15/2028(a)<br>| &nbsp;&nbsp; 361555 |
| 3605000 | &nbsp;&nbsp; VStrong Auto Receivables Trust, Series 2023-A, <br> Class C, 8.040%, 2/15/2030(a)<br>| &nbsp;&nbsp; 3797185 |
| 3155000 | &nbsp;&nbsp; VStrong Auto Receivables Trust, Series 2024-A, <br> Class B, 5.770%, 7/15/2030(a)<br>| &nbsp;&nbsp; 3204390 |
| 1640000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2024-1A, Class B, 5.550%, 11/15/2027(a)<br>| &nbsp;&nbsp; 1647113 |
| 1230000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2024-2A, Class B, 5.620%, 3/15/2030(a)<br>| &nbsp;&nbsp; 1238633 |
| 1520000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2024-3A, Class A3, 4.710%, 4/17/2028(a)<br>| &nbsp;&nbsp; 1525138 |
| 1000000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2025-1A, Class B, 4.980%, 9/16/2030(a)<br>| &nbsp;&nbsp; 1008477 |
| 1085000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2025-3A, Class A3, 4.220%, 6/15/2029(a)<br>| &nbsp;&nbsp; 1088579 |
| 1335000 | &nbsp;&nbsp; Wheels Fleet Lease Funding 1 LLC, <br> Series 2023-1A, Class B, 5.800%, 4/18/2038(a)<br>| &nbsp;&nbsp; 1347900 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| $870000 | &nbsp;&nbsp; Wheels Fleet Lease Funding 1 LLC, <br> Series 2025-3A, Class A1, 4.080%, 9/18/2040(a)<br>| &nbsp;&nbsp; $872929 |
| 352175 | &nbsp;&nbsp; World Omni Auto Receivables Trust, <br> Series 2024-B, Class A3, 5.270%, 9/17/2029<br>| &nbsp;&nbsp; 355505 |
| 1045000 | &nbsp;&nbsp; World Omni Automobile Lease Securitization <br> Trust, Series 2025-A, Class A4, 4.490%, 5/15/2030<br>| &nbsp;&nbsp; 1054218 |
|  |  | &nbsp;&nbsp; 135454116 |
|  | **ABS Credit Card — 0.8%** | **ABS Credit Card — 0.8%** |
| 905000 | &nbsp;&nbsp; Avant Credit Card Master Trust, Series 2025-1A, <br> Class A, 4.890%, 4/15/2031(a)<br>| &nbsp;&nbsp; 903110 |
| 1230000 | &nbsp;&nbsp; Continental Finance Credit Card ABS Master <br> Trust, Series 2025-A, Class A, <br> 5.400%, 12/17/2035(a)<br>| &nbsp;&nbsp; 1238295 |
| 1645000 | &nbsp;&nbsp; Imprint Payments Credit Card Master Trust, <br> Series 2025-A, Class A, 4.840%, 9/15/2029(a)<br>| &nbsp;&nbsp; 1648781 |
| 1370000 | &nbsp;&nbsp; Mercury Financial Credit Card Master Trust, <br> Series 2024-2A, Class A, 6.560%, 7/20/2029(a)<br>| &nbsp;&nbsp; 1376402 |
| 3344000 | &nbsp;&nbsp; Mission Lane Credit Card Master Trust, <br> Series 2024-A, Class A1, 6.200%, 8/15/2029(a)<br>| &nbsp;&nbsp; 3365007 |
| 1920000 | &nbsp;&nbsp; Mission Lane Credit Card Master Trust, <br> Series 2024-B, Class A, 5.880%, 1/15/2030(a)<br>| &nbsp;&nbsp; 1933311 |
| 1395000 | &nbsp;&nbsp; Synchrony Card Funding LLC, Series 2024-A1, <br> Class A, 5.040%, 3/15/2030<br>| &nbsp;&nbsp; 1414446 |
| 1040000 | &nbsp;&nbsp; World Financial Network Credit Card Master <br> Trust, Series 2024-A, Class A, 5.470%, 2/15/2031<br>| &nbsp;&nbsp; 1060916 |
|  |  | &nbsp;&nbsp; 12940268 |
|  | **ABS Home Equity — 4.3%** | **ABS Home Equity — 4.3%** |
| 1448850 | &nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc., <br> Series 2019-RP1, Class M2, <br> 4.000%, 1/25/2066(a)(b)<br>| &nbsp;&nbsp; 1351646 |
| 182231 | &nbsp;&nbsp; CoreVest American Finance Trust, Series 2019-3, <br> Class A, 2.705%, 10/15/2052(a)<br>| &nbsp;&nbsp; 181870 |
| 3730000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2021-SFR1, <br> Class B, 1.788%, 8/17/2038(a)<br>| &nbsp;&nbsp; 3665451 |
| 2495000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2021-SFR1, Class C, <br> 1.888%, 8/17/2038(a)<br>| &nbsp;&nbsp; 2448741 |
| 5430000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2021-SFR2, Class C, <br> 1.707%, 9/17/2038(a)<br>| &nbsp;&nbsp; 5313963 |
| 548491 | &nbsp;&nbsp; HarborView Mortgage Loan Trust, Series 2004-3, <br> Class 1A, 5.456%, 5/19/2034(b)(c)<br>| &nbsp;&nbsp; 517437 |
| 1358638 | &nbsp;&nbsp; Home Partners of America Trust, Series 2021-1, <br> Class C, 2.078%, 9/17/2041(a)<br>| &nbsp;&nbsp; 1233678 |
| 7875985 | &nbsp;&nbsp; JP Morgan Mortgage Trust, Series 2017-4, <br> Class AX1, 0.375%, 11/25/2048(a)(b)(c)(d)<br>| &nbsp;&nbsp; 94240 |
| 4515000 | &nbsp;&nbsp; Legacy Mortgage Asset Trust, Series 2020-RPL1, <br> Class A2, 3.250%, 9/25/2059(a)(b)<br>| &nbsp;&nbsp; 4118766 |
| 603172 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2018-2, <br> Class M1, 3.750%, 5/25/2058(a)(b)<br>| &nbsp;&nbsp; 595852 |
| 259519 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2018-3, <br> Class A1, 3.500%, 8/25/2058(a)(b)<br>| &nbsp;&nbsp; 256879 |
| 1646966 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2019-1, <br> Class M1, 3.500%, 10/25/2069(a)(b)<br>| &nbsp;&nbsp; 1574624 |
| 450894 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, <br> Series 2021-NMR1, Class A1, <br> 1.125%, 11/25/2060(a)(b)<br>| &nbsp;&nbsp; 435012 |
| 4006000 | &nbsp;&nbsp; Mill City Mortgage Trust, Series 2015-2, <br> Class B1, 3.686%, 9/25/2057(a)(b)<br>| &nbsp;&nbsp; 3911039 |
| 1089432 | &nbsp;&nbsp; NLT Trust, Series 2023-1, Class A1, <br> 3.200%, 10/25/2062(a)(b)<br>| &nbsp;&nbsp; 1003751 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| $1620000 | &nbsp;&nbsp; NYMT Loan Trust, Series 2024-BPL3, Class A1, <br> 5.268%, 9/25/2039(a)(b)<br>| &nbsp;&nbsp; $1623777 |
| 616281 | &nbsp;&nbsp; NYMT Loan Trust, Series 2024-CP1, Class A1, <br> 3.750%, 2/25/2068(a)(b)<br>| &nbsp;&nbsp; 575198 |
| 83456 | &nbsp;&nbsp; OBX Trust, Series 2018-EXP1, Class 1A3, <br> 4.000%, 4/25/2048(a)(b)<br>| &nbsp;&nbsp; 79623 |
| 1892000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR3, <br> Class B, 1.888%, 5/17/2026(a)<br>| &nbsp;&nbsp; 1876345 |
| 830000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR5, <br> Class C, 1.808%, 7/17/2038(a)<br>| &nbsp;&nbsp; 818929 |
| 1715000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR6, <br> Class C, 1.855%, 7/17/2038(a)<br>| &nbsp;&nbsp; 1692523 |
| 5450000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR9, <br> Class C, 2.362%, 11/17/2040(a)<br>| &nbsp;&nbsp; 5096027 |
| 201495 | &nbsp;&nbsp; PRPM LLC, Series 2023-RCF2, Class A1, <br> 4.000%, 11/25/2053(a)(b)<br>| &nbsp;&nbsp; 199763 |
| 324279 | &nbsp;&nbsp; PRPM LLC, Series 2024-RCF1, Class A1, <br> 4.000%, 1/25/2054(a)(b)<br>| &nbsp;&nbsp; 320606 |
| 908142 | &nbsp;&nbsp; PRPM LLC, Series 2024-RCF2, Class A1, <br> 3.750%, 3/25/2054(a)(b)<br>| &nbsp;&nbsp; 894720 |
| 484 | &nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS13, Class 2A1, <br> 5.750%, 11/25/2061(c)<br>| &nbsp;&nbsp; 207 |
| 6954 | &nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS18, Class 3A3, <br> 5.750%, 6/25/2056(c)<br>| &nbsp;&nbsp; 2966 |
| 112 | &nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS6, Class 2A1, 6.000%, 4/25/2062(c)<br>| &nbsp;&nbsp; — |
| 3400971 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2017-3, <br> Class A2, 3.000%, 7/25/2057(a)(b)<br>| &nbsp;&nbsp; 3363442 |
| 4036054 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2017-4, <br> Class A2, 3.000%, 6/25/2057(a)(b)<br>| &nbsp;&nbsp; 3858862 |
| 392277 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2018-3, <br> Class A1, 3.750%, 5/25/2058(a)(b)<br>| &nbsp;&nbsp; 386508 |
| 2325000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2018-4, <br> Class A2, 3.000%, 6/25/2058(a)(b)<br>| &nbsp;&nbsp; 2001427 |
| 5530000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2019-2, <br> Class A2, 3.750%, 12/25/2058(a)(b)<br>| &nbsp;&nbsp; 5076908 |
| 5555000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2020-2, <br> Class A2B, 3.000%, 4/25/2060(a)(b)<br>| &nbsp;&nbsp; 4649532 |
| 5000000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2020-4, <br> Class A2, 2.500%, 10/25/2060(a)<br>| &nbsp;&nbsp; 4115221 |
| 1275000 | &nbsp;&nbsp; Tricon American Homes, Series 2020-SFR1, <br> Class C, 2.249%, 7/17/2038(a)<br>| &nbsp;&nbsp; 1256739 |
| 1669937 | &nbsp;&nbsp; Tricon American Homes Trust, Series 2019-SFR1, <br> Class A, 2.750%, 3/17/2038(a)<br>| &nbsp;&nbsp; 1663184 |
| 1305000 | &nbsp;&nbsp; Tricon American Homes Trust, Series 2020-SFR2, <br> Class B, 1.832%, 11/17/2039(a)<br>| &nbsp;&nbsp; 1240417 |
| 423943 | &nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates <br> Trust, Series 2007-HY2, Class 2A2, <br> 4.167%, 11/25/2036(b)(c)<br>| &nbsp;&nbsp; 365557 |
|  |  | &nbsp;&nbsp; 67861430 |
|  | **ABS Other — 8.9%** | **ABS Other — 8.9%** |
| 3004049 | &nbsp;&nbsp; AASET Ltd., Series 2024-2A, Class A, <br> 5.930%, 9/16/2049(a)<br>| &nbsp;&nbsp; 3044628 |
| 454209 | &nbsp;&nbsp; Accelerated Assets LLC, Series 2018-1, Class A, <br> 3.870%, 12/02/2033(a)<br>| &nbsp;&nbsp; 450196 |
| 180003 | &nbsp;&nbsp; ACHV ABS Trust, Series 2024-1PL, Class B, <br> 6.340%, 4/25/2031(a)<br>| &nbsp;&nbsp; 181949 |
| 2125000 | &nbsp;&nbsp; Affirm Asset Securitization Trust, Series 2024-A, <br> Class 1A, 5.610%, 2/15/2029(a)<br>| &nbsp;&nbsp; 2128270 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $555000 | &nbsp;&nbsp; Affirm Asset Securitization Trust, Series 2024-A, <br> Class A, 5.610%, 2/15/2029(a)<br>| &nbsp;&nbsp; $555841 |
| 317000 | &nbsp;&nbsp; Affirm Asset Securitization Trust, <br> Series 2025-X2, Class C, 4.930%, 10/15/2030(a)<br>| &nbsp;&nbsp; 317583 |
| 320000 | &nbsp;&nbsp; Affirm Master Trust, Series 2025-3A, Class B, <br> 4.750%, 10/16/2034(a)<br>| &nbsp;&nbsp; 319527 |
| 1224660 | &nbsp;&nbsp; ALTDE Trust, Series 2025-1A, Class A, <br> 5.900%, 8/15/2050(a)<br>| &nbsp;&nbsp; 1249927 |
| 3725000 | American Tower Trust #1, 5.490%, 3/15/2053(a) | &nbsp;&nbsp; 3787378 |
| 3996000 | &nbsp;&nbsp; Applebee's Funding LLC/IHOP Funding LLC, <br> Series 2025-1A, Class A2, 6.720%, 6/07/2055(a)<br>| &nbsp;&nbsp; 4027285 |
| 3028772 | &nbsp;&nbsp; Aqua Finance Trust, Series 2021-A, Class A, <br> 1.540%, 7/17/2046(a)<br>| &nbsp;&nbsp; 2786560 |
| 1371608 | &nbsp;&nbsp; Aqua Finance Trust, Series 2024-A, Class A, <br> 4.810%, 4/18/2050(a)<br>| &nbsp;&nbsp; 1384593 |
| 128458 | &nbsp;&nbsp; Auxilior Term Funding LLC, Series 2023-1A, <br> Class A2, 6.180%, 12/15/2028(a)<br>| &nbsp;&nbsp; 129095 |
| 1495000 | &nbsp;&nbsp; BasePoint MCA Securitization II LLC, <br> Series 2025-1A, Class A, 5.926%, 8/15/2031(a)<br>| &nbsp;&nbsp; 1496961 |
| 495000 | &nbsp;&nbsp; BHG Securitization Trust, Series 2022-A, Class C, <br> 3.080%, 2/20/2035(a)<br>| &nbsp;&nbsp; 488182 |
| 1825000 | &nbsp;&nbsp; BHG Securitization Trust, Series 2023-A, Class B, <br> 6.350%, 4/17/2036(a)<br>| &nbsp;&nbsp; 1846157 |
| 173616 | &nbsp;&nbsp; BHG Securitization Trust, Series 2024-1CON, <br> Class A, 5.810%, 4/17/2035(a)<br>| &nbsp;&nbsp; 177670 |
| 1029688 | &nbsp;&nbsp; BHG Securitization Trust, Series 2025-1CON, <br> Class A, 4.820%, 4/17/2036(a)<br>| &nbsp;&nbsp; 1037059 |
| 314321 | &nbsp;&nbsp; BHG Securitization Trust, Series 2025-1CON, <br> Class B, 5.260%, 4/17/2036(a)<br>| &nbsp;&nbsp; 316331 |
| 1038405 | &nbsp;&nbsp; BHG Securitization Trust, Series 2025-2CON, <br> Class A, 4.840%, 9/17/2036(a)<br>| &nbsp;&nbsp; 1048227 |
| 2620000 | &nbsp;&nbsp; Bluepeak ABS Issuer LLC, Series 2025-1A, <br> Class A2, 5.858%, 12/20/2055(a)<br>| &nbsp;&nbsp; 2631544 |
| 1979520 | &nbsp;&nbsp; Business Jet Securities LLC, Series 2024-2A, <br> Class A, 5.364%, 9/15/2039(a)<br>| &nbsp;&nbsp; 1995071 |
| 1320094 | &nbsp;&nbsp; Castlelake Aircraft Structured Trust, <br> Series 2019-1A, Class A, 3.967%, 4/15/2039(a)<br>| &nbsp;&nbsp; 1311153 |
| 30565 | &nbsp;&nbsp; Castlelake Aircraft Structured Trust, <br> Series 2021-1A, Class A, 3.474%, 1/15/2046(a)<br>| &nbsp;&nbsp; 30306 |
| 2933968 | &nbsp;&nbsp; Clsec Holdings 22t LLC, Series 2021-1, Class A, <br> 2.868%, 5/11/2037(a)<br>| &nbsp;&nbsp; 2780104 |
| 1765000 | &nbsp;&nbsp; Compass Datacenters Issuer II LLC, <br> Series 2024-2A, Class A1, 5.022%, 8/25/2049(a)<br>| &nbsp;&nbsp; 1768428 |
| 1375000 | &nbsp;&nbsp; Compass Datacenters Issuer III LLC, <br> Series 2025-1A, Class A2, 5.656%, 2/25/2050(a)<br>| &nbsp;&nbsp; 1392607 |
| 1520000 | &nbsp;&nbsp; Compass Datacenters Issuer III LLC, <br> Series 2025-3A, Class A2, 5.286%, 7/25/2050(a)<br>| &nbsp;&nbsp; 1529133 |
| 1323308 | &nbsp;&nbsp; Crockett Partners Equipment Co. IIA LLC, <br> Series 2024-1C, Class A, 6.050%, 1/20/2031(a)<br>| &nbsp;&nbsp; 1346585 |
| 3020000 | &nbsp;&nbsp; CyrusOne Data Centers Issuer I LLC, <br> Series 2024-2A, Class A2, 4.500%, 5/20/2049(a)<br>| &nbsp;&nbsp; 2947309 |
| 1525000 | &nbsp;&nbsp; CyrusOne Data Centers Issuer I LLC, <br> Series 2024-3A, Class A2, 4.650%, 5/20/2049(a)<br>| &nbsp;&nbsp; 1463329 |
| 980000 | &nbsp;&nbsp; CyrusOne Data Centers Issuer I LLC, <br> Series 2025-1A, Class A2, 5.910%, 2/20/2050(a)<br>| &nbsp;&nbsp; 994490 |
| 2905000 | &nbsp;&nbsp; DataBank Issuer II LLC, Series 2025-1A, <br> Class A2, 5.180%, 9/27/2055(a)<br>| &nbsp;&nbsp; 2880395 |
| 1565000 | &nbsp;&nbsp; EDI ABS Issuer 1 LLC, Series 2025-1A, Class A2, <br> 4.450%, 7/25/2055(a)<br>| &nbsp;&nbsp; 1516033 |
| 884221 | &nbsp;&nbsp; Elara HGV Timeshare Issuer LLC, Series 2023-A, <br> Class A, 6.160%, 2/25/2038(a)<br>| &nbsp;&nbsp; 915581 |
| 699054 | &nbsp;&nbsp; EverBright Solar Trust, Series 2024-A, Class A, <br> 6.430%, 6/22/2054(a)<br>| &nbsp;&nbsp; 667472 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $2508973 | &nbsp;&nbsp; Foundation Finance Trust, Series 2023-2A, <br> Class B, 6.970%, 6/15/2049(a)<br>| &nbsp;&nbsp; $2626957 |
| 506663 | &nbsp;&nbsp; Foundation Finance Trust, Series 2024-1A, <br> Class B, 5.950%, 12/15/2049(a)<br>| &nbsp;&nbsp; 523312 |
| 2383000 | &nbsp;&nbsp; Frontier Issuer LLC, Series 2023-1, Class A2, <br> 6.600%, 8/20/2053(a)<br>| &nbsp;&nbsp; 2406706 |
| 1615000 | &nbsp;&nbsp; Frontier Issuer LLC, Series 2024-1, Class A2, <br> 6.190%, 6/20/2054(a)<br>| &nbsp;&nbsp; 1664539 |
| 2020000 | &nbsp;&nbsp; GGAM Master Trust International Ltd., <br> Series 2025-1A, Class A, 5.923%, 9/30/2060(a)<br>| &nbsp;&nbsp; 2030833 |
| 2374413 | &nbsp;&nbsp; Global SC Finance X Ltd., Series 2025-1H, <br> Class A, 6.169%, 9/20/2045(a)<br>| &nbsp;&nbsp; 2374788 |
| 165353 | &nbsp;&nbsp; GreenSky Home Improvement Issuer Trust, <br> Series 2024-2, Class A4, 5.150%, 10/27/2059(a)<br>| &nbsp;&nbsp; 168093 |
| 373892 | &nbsp;&nbsp; GreenSky Home Improvement Issuer Trust, <br> Series 2025-1A, Class A4, 5.220%, 3/25/2060(a)<br>| &nbsp;&nbsp; 379510 |
| 1023341 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2020-AA, <br> Class A, 2.740%, 2/25/2039(a)<br>| &nbsp;&nbsp; 1010186 |
| 1453378 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2023-1A, <br> Class A, 5.720%, 1/25/2038(a)<br>| &nbsp;&nbsp; 1486929 |
| 199709 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2024-1B, <br> Class A, 5.750%, 9/15/2039(a)<br>| &nbsp;&nbsp; 204482 |
| 1925128 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2024-2A, <br> Class A, 5.500%, 3/25/2038(a)<br>| &nbsp;&nbsp; 1965687 |
| 200821 | &nbsp;&nbsp; Horizon Aircraft Finance II Ltd., Series 2019-1, <br> Class A, 3.721%, 7/15/2039(a)<br>| &nbsp;&nbsp; 197959 |
| 405000 | &nbsp;&nbsp; Island Finance Trust, Series 2025-1A, Class A, <br> 6.540%, 3/19/2035(a)<br>| &nbsp;&nbsp; 410481 |
| 332529 | &nbsp;&nbsp; Kestrel Aircraft Funding Ltd., Series 2018-1A, <br> Class A, 4.250%, 12/15/2038(a)<br>| &nbsp;&nbsp; 332485 |
| 2330000 | &nbsp;&nbsp; Lendmark Funding Trust, Series 2025-3A, <br> Class A, 4.510%, 5/21/2035(a)<br>| &nbsp;&nbsp; 2326587 |
| 532948 | &nbsp;&nbsp; MACH 1 Cayman Ltd., Series 2019-1, Class A, <br> 3.474%, 10/15/2039(a)<br>| &nbsp;&nbsp; 528333 |
| 597448 | &nbsp;&nbsp; MAPS Trust, Series 2021-1A, Class A, <br> 2.521%, 6/15/2046(a)<br>| &nbsp;&nbsp; 572425 |
| 1345000 | &nbsp;&nbsp; Mariner Finance Issuance Trust, <br> Series 2024-AA, Class B, 5.680%, 9/22/2036(a)<br>| &nbsp;&nbsp; 1370126 |
| 1410000 | &nbsp;&nbsp; Mariner Finance Issuance Trust, <br> Series 2025-BA, Class A, 4.590%, 11/22/2038(a)<br>| &nbsp;&nbsp; 1413745 |
| 141981 | &nbsp;&nbsp; Marlette Funding Trust, Series 2024-1A, Class B, <br> 6.070%, 7/17/2034(a)<br>| &nbsp;&nbsp; 142526 |
| 1295000 | &nbsp;&nbsp; MetroNet Infrastructure Issuer LLC, <br> Series 2025-2A, Class A2, 5.400%, 8/20/2055(a)<br>| &nbsp;&nbsp; 1311229 |
| 1630000 | &nbsp;&nbsp; MetroNet Infrastructure Issuer LLC, <br> Series 2025-2A, Class B, 5.590%, 8/20/2055(a)<br>| &nbsp;&nbsp; 1642880 |
| 305000 | &nbsp;&nbsp; MMAF Equipment Finance LLC, Series 2020-A, <br> Class A5, 1.560%, 10/09/2042(a)<br>| &nbsp;&nbsp; 295405 |
| 360332 | &nbsp;&nbsp; Mosaic Solar Loan Trust, Series 2024-1A, <br> Class A, 5.500%, 9/20/2049(a)<br>| &nbsp;&nbsp; 349624 |
| 2632398 | &nbsp;&nbsp; Mosaic Solar Loan Trust, Series 2024-2A, Class <br> A, 5.600%, 4/22/2052(a)<br>| &nbsp;&nbsp; 2591222 |
| 139300 | &nbsp;&nbsp; MVW LLC, Series 2021-1WA, Class B, <br> 1.440%, 1/22/2041(a)<br>| &nbsp;&nbsp; 134566 |
| 1014684 | &nbsp;&nbsp; MVW LLC, Series 2024-2A, Class A, <br> 4.430%, 3/20/2042(a)<br>| &nbsp;&nbsp; 1014625 |
| 580000 | &nbsp;&nbsp; Octane Receivables Trust, Series 2024-2A, Class <br> C, 5.900%, 7/20/2032(a)<br>| &nbsp;&nbsp; 589264 |
| 740000 | &nbsp;&nbsp; Octane Receivables Trust, Series 2025-1A, <br> Class B, 4.610%, 6/20/2031(a)<br>| &nbsp;&nbsp; 741279 |
| 2149826 | &nbsp;&nbsp; OWN Equipment Fund I LLC, Series 2024-2M, <br> Class A, 5.700%, 12/20/2032(a)<br>| &nbsp;&nbsp; 2182822 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $632682 | &nbsp;&nbsp; OWN Equipment Fund II LLC, Series 2025-1M, <br> Class A, 5.480%, 9/26/2033(a)<br>| &nbsp;&nbsp; $636371 |
| 1350000 | &nbsp;&nbsp; OWN Equipment Fund III LLC, Series 2025-2M, <br> Class A, 5.420%, 3/27/2034(a)<br>| &nbsp;&nbsp; 1357850 |
| 237671 | &nbsp;&nbsp; Reach ABS Trust, Series 2025-1A, Class A, <br> 4.960%, 8/16/2032(a)<br>| &nbsp;&nbsp; 238560 |
| 690000 | &nbsp;&nbsp; Regional Management Issuance Trust, <br> Series 2024-1, Class A, 5.830%, 7/15/2036(a)<br>| &nbsp;&nbsp; 703800 |
| 400000 | &nbsp;&nbsp; Regional Management Issuance Trust, <br> Series 2024-2, Class C, 5.740%, 12/15/2033(a)<br>| &nbsp;&nbsp; 404163 |
| 1515000 | &nbsp;&nbsp; Regional Management Issuance Trust, <br> Series 2025-2, Class B, 5.000%, 11/16/2037(a)<br>| &nbsp;&nbsp; 1510502 |
| 1824274 | &nbsp;&nbsp; Republic Finance Issuance Trust, Series 2021-A, <br> Class B, 2.800%, 12/22/2031(a)<br>| &nbsp;&nbsp; 1817664 |
| 1055000 | &nbsp;&nbsp; Republic Finance Issuance Trust, Series 2024-A, <br> Class A, 5.910%, 8/20/2032(a)<br>| &nbsp;&nbsp; 1065685 |
| 3820000 | &nbsp;&nbsp; SCF Equipment Leasing LLC, Series 2025-1A, <br> Class A3, 5.110%, 11/21/2033(a)<br>| &nbsp;&nbsp; 3903891 |
| 1220000 | &nbsp;&nbsp; SCF Equipment Leasing LLC, Series 2025-2A, <br> Class C, 4.820%, 6/20/2036(a)<br>| &nbsp;&nbsp; 1218057 |
| 738150 | &nbsp;&nbsp; SEB Funding LLC, Series 2021-1A, Class A2, <br> 4.969%, 1/30/2052(a)<br>| &nbsp;&nbsp; 737207 |
| 2385000 | &nbsp;&nbsp; SEB Funding LLC, Series 2024-1A, Class A2, <br> 7.386%, 4/30/2054(a)<br>| &nbsp;&nbsp; 2439582 |
| 3195000 | &nbsp;&nbsp; SF ABS Issuer LLC, Series 2025-1A, Class A2, <br> 5.377%, 11/25/2055(a)<br>| &nbsp;&nbsp; 3125458 |
| 1660000 | &nbsp;&nbsp; Shentel Issuer LLC, Series 2025-1A, Class A2, <br> 5.640%, 12/20/2055(a)<br>| &nbsp;&nbsp; 1674855 |
| 88703 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2021-1A, Class B, 1.340%, 11/20/2037(a)<br>| &nbsp;&nbsp; 88534 |
| 282434 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2023-1A, Class A, 5.200%, 1/20/2040(a)<br>| &nbsp;&nbsp; 286467 |
| 603271 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2024-3A, Class A, 4.830%, 8/20/2041(a)<br>| &nbsp;&nbsp; 608516 |
| 3303987 | &nbsp;&nbsp; Slam Ltd., Series 2021-1A, Class A, <br> 2.434%, 6/15/2046(a)<br>| &nbsp;&nbsp; 3153599 |
| 1692278 | &nbsp;&nbsp; Slam Ltd., Series 2024-1A, Class A, <br> 5.335%, 9/15/2049(a)<br>| &nbsp;&nbsp; 1700025 |
| 622434 | &nbsp;&nbsp; Slam Ltd., Series 2025-1A, Class A, <br> 5.807%, 5/15/2050(a)<br>| &nbsp;&nbsp; 638051 |
| 1041961 | &nbsp;&nbsp; SpringCastle America Funding LLC, <br> Series 2020-AA, Class A, 1.970%, 9/25/2037(a)<br>| &nbsp;&nbsp; 984374 |
| 323715 | &nbsp;&nbsp; Stellar Jay Ireland DAC, Series 2021-1, Class A, <br> 3.967%, 10/15/2041(a)<br>| &nbsp;&nbsp; 319053 |
| 843599 | &nbsp;&nbsp; Stellar Jay Ireland DAC, Series 2021-1, Class B, <br> 5.926%, 10/15/2041(a)<br>| &nbsp;&nbsp; 836792 |
| 309454 | &nbsp;&nbsp; Sunbird Engine Finance LLC, Series 2020-1A, <br> Class A, 3.671%, 2/15/2045(a)<br>| &nbsp;&nbsp; 306034 |
| 102549 | &nbsp;&nbsp; Sunnova Helios II Issuer LLC, Series 2018-1A, <br> Class A, 4.870%, 7/20/2048(a)<br>| &nbsp;&nbsp; 99090 |
| 331385 | &nbsp;&nbsp; Sunnova Helios II Issuer LLC, Series 2019-AA, <br> Class A, 3.750%, 6/20/2046(a)<br>| &nbsp;&nbsp; 309627 |
| 817974 | &nbsp;&nbsp; Sunnova Helios XIII Issuer LLC, Series 2024-A, <br> Class A, 5.300%, 2/20/2051(a)<br>| &nbsp;&nbsp; 718860 |
| 288073 | &nbsp;&nbsp; Sunnova Sol III Issuer LLC, Series 2021-1, <br> Class A, 2.580%, 4/28/2056(a)<br>| &nbsp;&nbsp; 245815 |
| 1440411 | &nbsp;&nbsp; Sunrun Atlas Issuer LLC, Series 2019-2, Class A, <br> 3.610%, 2/01/2055(a)<br>| &nbsp;&nbsp; 1388622 |
| 304465 | &nbsp;&nbsp; Sunrun Demeter Issuer LLC, Series 2021-2A, <br> Class A, 2.270%, 1/30/2057(a)<br>| &nbsp;&nbsp; 277576 |
| 325067 | &nbsp;&nbsp; Textainer Marine Containers VII Ltd., <br> Series 2021-1A, Class A, 1.680%, 2/20/2046(a)<br>| &nbsp;&nbsp; 305997 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $346108 | &nbsp;&nbsp; TIC Home Improvement Trust, Series 2024-A, <br> Class A, 6.670%, 10/15/2046(a)<br>| &nbsp;&nbsp; $349027 |
| 3607096 | &nbsp;&nbsp; Triumph Rail Holdings LLC, Series 2021-2, <br> Class A, 2.150%, 6/19/2051(a)<br>| &nbsp;&nbsp; 3484566 |
| 880000 | &nbsp;&nbsp; Uniti Fiber ABS Issuer LLC, Series 2025-1A, <br> Class A2, 5.877%, 4/20/2055(a)<br>| &nbsp;&nbsp; 895192 |
| 585000 | &nbsp;&nbsp; Verizon Master Trust, Series 2024-6, Class B, <br> 4.420%, 8/20/2030<br>| &nbsp;&nbsp; 587681 |
| 1042398 | &nbsp;&nbsp; Vivint Solar Financing V LLC, Series 2018-1A, <br> Class A, 4.730%, 4/30/2048(a)<br>| &nbsp;&nbsp; 1004209 |
| 1104959 | &nbsp;&nbsp; Volofin Finance DAC, Series 2024-1A, Class A, <br> 5.935%, 6/15/2037(a)<br>| &nbsp;&nbsp; 1120633 |
| 2668429 | &nbsp;&nbsp; Willis Engine Structured Trust VI, Series 2021-A, <br> Class A, 3.104%, 5/15/2046(a)<br>| &nbsp;&nbsp; 2521170 |
| 666377 | &nbsp;&nbsp; Willis Engine Structured Trust VII, Series 2023-A, <br> Class A, 8.000%, 10/15/2048(a)<br>| &nbsp;&nbsp; 682435 |
| 3330000 | &nbsp;&nbsp; Zayo Issuer LLC, Series 2025-1A, Class A2, <br> 5.648%, 3/20/2055(a)<br>| &nbsp;&nbsp; 3386871 |
| 3645000 | &nbsp;&nbsp; Zayo Issuer LLC, Series 2025-2A, Class A2, <br> 5.953%, 6/20/2055(a)<br>| &nbsp;&nbsp; 3740302 |
| 3195000 | &nbsp;&nbsp; Zayo Issuer LLC, Series 2025-3A, Class A2, <br> 5.570%, 10/20/2055(a)<br>| &nbsp;&nbsp; 3190684 |
|  |  | &nbsp;&nbsp; 141996011 |
|  | **ABS Residential Mortgage — 0.0%** | **ABS Residential Mortgage — 0.0%** |
| 7404 | &nbsp;&nbsp; Countrywide Asset-Backed Certificates, <br> Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)<br>| &nbsp;&nbsp; 7022 |
|  | **ABS Student Loan — 1.2%** | **ABS Student Loan — 1.2%** |
| 1128358 | &nbsp;&nbsp; College Avenue Student Loans LLC, <br> Series 2021-A, Class A2, 1.600%, 7/25/2051(a)<br>| &nbsp;&nbsp; 1036640 |
| 435572 | &nbsp;&nbsp; Commonbond Student Loan Trust, <br> Series 2020-AGS, Class A, 1.980%, 8/25/2050(a)<br>| &nbsp;&nbsp; 392217 |
| 695460 | &nbsp;&nbsp; Education Funding Trust, Series 2020-A, Class A, <br> 2.790%, 7/25/2041(a)<br>| &nbsp;&nbsp; 669389 |
| 862912 | &nbsp;&nbsp; Massachusetts Educational Financing Authority, <br> Series 2018-A, Class A, 3.850%, 5/25/2033<br>| &nbsp;&nbsp; 855774 |
| 363898 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2019-CA, Class A2, 3.130%, 2/15/2068(a)<br>| &nbsp;&nbsp; 360256 |
| 391511 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2019-GA, Class A, 2.400%, 10/15/2068(a)<br>| &nbsp;&nbsp; 382221 |
| 388706 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-BA, Class A2, 2.120%, 1/15/2069(a)<br>| &nbsp;&nbsp; 373308 |
| 650034 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-DA, Class A, 1.690%, 5/15/2069(a)<br>| &nbsp;&nbsp; 618936 |
| 1565000 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-DA, Class B, 3.330%, 5/15/2069(a)<br>| &nbsp;&nbsp; 1393778 |
| 665235 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-GA, Class A, 1.170%, 9/16/2069(a)<br>| &nbsp;&nbsp; 627865 |
| 945000 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-HA, Class B, 2.780%, 1/15/2069(a)<br>| &nbsp;&nbsp; 823493 |
| 827114 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-A, Class A, 0.840%, 5/15/2069(a)<br>| &nbsp;&nbsp; 759943 |
| 699735 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-BA, Class A, 0.940%, 7/15/2069(a)<br>| &nbsp;&nbsp; 641615 |
| 1093034 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-GA, Class A, 1.580%, 4/15/2070(a)<br>| &nbsp;&nbsp; 992867 |
| 1630000 | &nbsp;&nbsp; Nelnet Student Loan Trust, Series 2021-A, <br> Class B1, 2.850%, 4/20/2062(a)<br>| &nbsp;&nbsp; 1463877 |
| 227000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-A, Class A3, 28 day Auction Rate <br> Security, 6.940%, 6/15/2032(b)<br>| &nbsp;&nbsp; 215354 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Student Loan — continued** | **ABS Student Loan — continued** |
| $50000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-A, Class A4, 28 day Auction Rate <br> Security, 6.940%, 6/15/2032(b)<br>| &nbsp;&nbsp; $48554 |
| 89000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-B, Class A3, 28 day Auction Rate <br> Security, 7.040%, 3/15/2033(b)<br>| &nbsp;&nbsp; 84542 |
| 1336000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-B, Class A4, 28 day Auction Rate <br> Security, 7.040%, 3/15/2033(b)<br>| &nbsp;&nbsp; 1269085 |
| 110000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-C, Class A3, 28 day Auction Rate <br> Security, 7.100%, 9/15/2032(b)<br>| &nbsp;&nbsp; 104682 |
| 129000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-C, Class A4, 28 day Auction Rate <br> Security, 7.110%, 9/15/2032(b)<br>| &nbsp;&nbsp; 122763 |
| 622866 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-A, Class A2B, 1 mo. USD SOFR + <br> 0.914%, 4.665%, 2/15/2036(a)(b)<br>| &nbsp;&nbsp; 622595 |
| 115000 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-A, Class B, 3.960%, 7/15/2042(a)<br>| &nbsp;&nbsp; 113466 |
| 327464 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-B, Class A2A, 3.600%, 1/15/2037(a)<br>| &nbsp;&nbsp; 325695 |
| 986851 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-C, Class A2A, 3.630%, 11/15/2035(a)<br>| &nbsp;&nbsp; 983481 |
| 1371393 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2021-A, Class APT2, 1.070%, 1/15/2053(a)<br>| &nbsp;&nbsp; 1255951 |
| 538462 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2021-D, Class A1A, 1.340%, 3/17/2053(a)<br>| &nbsp;&nbsp; 509870 |
| 1808502 | &nbsp;&nbsp; SoFi Professional Loan Program LLC, <br> Series 2020-A, Class A2FX, 2.540%, 5/15/2046(a)<br>| &nbsp;&nbsp; 1749669 |
| 1150778 | &nbsp;&nbsp; SoFi Professional Loan Program LLC, <br> Series 2021-B, Class AFX, 1.140%, 2/15/2047(a)<br>| &nbsp;&nbsp; 1008028 |
|  |  | &nbsp;&nbsp; 19805914 |
|  | **ABS Whole Business — 0.5%** | **ABS Whole Business — 0.5%** |
| 4752625 | &nbsp;&nbsp; EWC Master Issuer LLC, Series 2022-1A, <br> Class A2, 5.500%, 3/15/2052(a)<br>| &nbsp;&nbsp; 4697475 |
| 186675 | &nbsp;&nbsp; Hardee's Funding LLC, Series 2024-1A, Class A2, <br> 7.253%, 3/20/2054(a)<br>| &nbsp;&nbsp; 192953 |
| 2275000 | &nbsp;&nbsp; Taco Bell Funding LLC, Series 2025-1A, <br> Class A2I, 4.821%, 8/25/2055(a)<br>| &nbsp;&nbsp; 2268932 |
|  |  | &nbsp;&nbsp; 7159360 |
|  | **Agency Commercial Mortgage-Backed Securities — 6.6%** | **Agency Commercial Mortgage-Backed Securities — 6.6%** |
| 700000 | &nbsp;&nbsp; Arixa Mortgage Trust, Series 2025-RTL1, <br> Class A1, 5.735%, 8/25/2030(a)<br>| &nbsp;&nbsp; 704107 |
| 4334435 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 3.450%, 5/01/2037<br>| &nbsp;&nbsp; 3932723 |
| 4780720 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K054, Class X1, 1.222%, 1/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 46 |
| 6061309 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K055, Class X1, 1.335%, 3/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 6415 |
| 23067719 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K057, Class X1, 1.167%, 7/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 80183 |
| 7690992 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K058, Class X1, 0.893%, 8/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 25534 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $21344251 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K059, Class X1, 0.247%, 9/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; $22381 |
| 83931884 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K060, Class X1, <br> 0.047%, 10/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 32354 |
| 17831829 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K103, Class X1, 0.634%, 11/25/2029(b)(d)<br>| &nbsp;&nbsp; 379729 |
| 17120594 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K105, Class X1, 1.515%, 1/25/2030(b)(d)<br>| &nbsp;&nbsp; 879297 |
| 11276629 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K107, Class X1, 1.585%, 1/25/2030(b)(d)<br>| &nbsp;&nbsp; 599962 |
| 13556715 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K108, Class X1, 1.690%, 3/25/2030(b)(d)<br>| &nbsp;&nbsp; 784459 |
| 14162025 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K117, Class X1, 1.217%, 8/25/2030(b)(d)<br>| &nbsp;&nbsp; 652606 |
| 253672736 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K138, Class X1, 0.146%, 1/25/2032(b)(d)<br>| &nbsp;&nbsp; 2156979 |
| 32618975 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K141, Class X1, 0.305%, 2/25/2032(b)(d)<br>| &nbsp;&nbsp; 557621 |
| 78994121 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K142, Class X1, 0.297%, 3/25/2032(b)(d)<br>| &nbsp;&nbsp; 1298505 |
| 35744144 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K143, Class X1, 0.343%, 4/25/2055(b)(d)<br>| &nbsp;&nbsp; 702494 |
| 45846907 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K144, Class X1, 0.326%, 4/25/2032(b)(d)<br>| &nbsp;&nbsp; 903436 |
| 19712282 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K145, Class X1, 0.316%, 5/25/2032(b)(d)<br>| &nbsp;&nbsp; 375068 |
| 66288889 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K146, Class X1, 0.230%, 6/25/2032(b)(d)<br>| &nbsp;&nbsp; 988301 |
| 50670835 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K147, Class X1, 0.370%, 6/25/2032(b)(d)<br>| &nbsp;&nbsp; 1144350 |
| 81977659 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K149, Class X1, 0.265%, 8/25/2032(b)(d)<br>| &nbsp;&nbsp; 1445020 |
| 102885964 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-150, Class X1, 0.310%, 9/25/2032(b)(d)<br>| &nbsp;&nbsp; 2107063 |
| 100000000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-151, Class XAM, <br> 0.180%, 11/25/2032(b)(d)<br>| &nbsp;&nbsp; 1368160 |
| 3324400 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1513, Class X1, <br> 0.851%, 8/25/2034(b)(c)(d)<br>| &nbsp;&nbsp; 164945 |
| 20521208 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1514, Class X1, 0.576%, 10/25/2034(b)(d)<br>| &nbsp;&nbsp; 770305 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $51468361 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1516, Class X1, 1.504%, 5/25/2035(b)(d)<br>| &nbsp;&nbsp; $5471699 |
| 53617880 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1517, Class X1, 1.322%, 7/25/2035(b)(d)<br>| &nbsp;&nbsp; 4821695 |
| 13490020 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K152, Class X1, 0.949%, 1/25/2031(b)(d)<br>| &nbsp;&nbsp; 487187 |
| 95044599 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1521, Class X1, 0.978%, 8/25/2036(b)(d)<br>| &nbsp;&nbsp; 7120884 |
| 121141784 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K157, Class X1, 0.009%, 8/25/2033(b)(d)<br>| &nbsp;&nbsp; 425159 |
| 28427 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KF57, Class A, 30 day USD SOFR Average <br> + 0.654%, 4.663%, 12/25/2028(b)<br>| &nbsp;&nbsp; 28415 |
| 9973 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KF66, Class A, 30 day USD SOFR Average <br> + 0.634%, 4.643%, 7/25/2029(b)<br>| &nbsp;&nbsp; 9983 |
| 5246771 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KS03, Class X, 8/25/2025(b)(c)(d)<br>| &nbsp;&nbsp; 51 |
| 21078393 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KW02, Class X1, <br> 0.098%, 12/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 11934 |
| 22338909 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2019-M17, Class X, <br> 0.319%, 8/25/2034(b)(c)(d)<br>| &nbsp;&nbsp; 228610 |
| 11927222 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M33, Class X, <br> 1.960%, 6/25/2028(b)(c)(d)<br>| &nbsp;&nbsp; 157046 |
| 14748068 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M37, Class X, <br> 0.984%, 4/25/2032(b)(d)<br>| &nbsp;&nbsp; 500594 |
| 14637339 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M43, Class X1, <br> 1.869%, 8/25/2034(b)(d)<br>| &nbsp;&nbsp; 782699 |
| 13382003 | &nbsp;&nbsp; FRESB Mortgage Trust, Series 2021-SB90, <br> Class X1, 0.579%, 6/25/2041(b)(d)<br>| &nbsp;&nbsp; 333294 |
| 21830657 | &nbsp;&nbsp; FRESB Mortgage Trust, Series 2021-SB91, <br> Class X1, 0.560%, 8/25/2041(b)(d)<br>| &nbsp;&nbsp; 576897 |
| 81711227 | &nbsp;&nbsp; FRESB Mortgage Trust, Series 2022-SB95, <br> Class X1, 0.075%, 11/25/2041(b)(d)<br>| &nbsp;&nbsp; 1192510 |
| 2465796 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2006-46, 0.481%, 4/16/2046(b)(c)(d)<br>| &nbsp;&nbsp; 23675 |
| 1209263 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2006-51, 0.943%, 8/16/2046(b)(c)(d)<br>| &nbsp;&nbsp; 21852 |
| 3551008 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2009-114, 10/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 396 |
| 1519976 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-124, 1.011%, 12/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 21359 |
| 209368 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-49, Class IA, <br> 1.450%, 10/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 8112 |
| 1364617 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-119, 0.116%, 8/16/2051(b)(c)(d)<br>| &nbsp;&nbsp; 1186 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $474525 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-38, 0.530%, 4/16/2053(b)(c)(d)<br>| &nbsp;&nbsp; $3168 |
| 15684535 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-142, 0.151%, 4/16/2054(b)(c)(d)<br>| &nbsp;&nbsp; 42127 |
| 3315423 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-23, 0.237%, 6/16/2053(b)(c)(d)<br>| &nbsp;&nbsp; 22284 |
| 3360537 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-55, 4/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 33 |
| 3048154 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-79, 0.397%, 3/16/2053(b)(c)(d)<br>| &nbsp;&nbsp; 26131 |
| 7642380 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-85, 0.411%, 9/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 67613 |
| 714857 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-175, 0.132%, 5/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 932 |
| 2001429 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-101, 0.522%, 4/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 26619 |
| 8910540 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-130, Class IB, <br> 0.177%, 8/16/2054(b)(c)(d)<br>| &nbsp;&nbsp; 29241 |
| 2085802 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-24, Class IX, <br> 0.225%, 1/16/2054(b)(c)(d)<br>| &nbsp;&nbsp; 20 |
| 4249041 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-70, 0.482%, 3/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 58339 |
| 3128166 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-86, 0.397%, 4/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 32062 |
| 12536918 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-120, 0.580%, 3/16/2057(b)(c)(d)<br>| &nbsp;&nbsp; 232533 |
| 8273736 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-146, Class IB, <br> 0.116%, 7/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 25886 |
| 5021308 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-171, 0.824%, 11/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 157578 |
| 4896206 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-189, Class IG, <br> 0.596%, 1/16/2057(b)(c)(d)<br>| &nbsp;&nbsp; 128888 |
| 3114997 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-21, 0.666%, 7/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 83728 |
| 9909961 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-32, 0.568%, 9/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 204421 |
| 6412836 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-6, 0.454%, 2/16/2051(b)(c)(d)<br>| &nbsp;&nbsp; 87152 |
| 7502504 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-68, 0.319%, 7/16/2057(b)(c)(d)<br>| &nbsp;&nbsp; 87347 |
| 10050653 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-70, 0.556%, 12/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 187773 |
| 3934224 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-73, 0.414%, 11/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 43218 |
| 15381886 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-132, 0.602%, 7/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 314712 |
| 6182910 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-143, 0.947%, 10/16/2056(c)(d)<br>| &nbsp;&nbsp; 300361 |
| 3283905 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-128, 0.837%, 12/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 155714 |
| 20205540 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-168, 0.553%, 12/16/2059(b)(d)<br>| &nbsp;&nbsp; 709445 |
| 18829903 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-90, 0.665%, 1/16/2059(b)(d)<br>| &nbsp;&nbsp; 716013 |
| 7057661 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-110, 0.600%, 1/16/2060(b)(c)(d)<br>| &nbsp;&nbsp; 263057 |
| 11436772 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-129, 0.621%, 7/16/2060(b)(d)<br>| &nbsp;&nbsp; 437200 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $4142602 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-133, 1.101%, 6/16/2058(b)(d)<br>| &nbsp;&nbsp; $270193 |
| 11202243 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-143, 0.504%, 10/16/2060(b)(d)<br>| &nbsp;&nbsp; 578372 |
| 10289275 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-2, 0.703%, 12/16/2059(b)(d)<br>| &nbsp;&nbsp; 436852 |
| 26931207 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-82, 0.443%, 5/16/2058(b)(d)<br>| &nbsp;&nbsp; 751860 |
| 18344118 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-96, 0.460%, 8/16/2060(b)(d)<br>| &nbsp;&nbsp; 578830 |
| 16605219 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-116, 0.619%, 12/16/2061(b)(d)<br>| &nbsp;&nbsp; 737654 |
| 9204966 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-75, 0.852%, 12/16/2060(b)(d)<br>| &nbsp;&nbsp; 543706 |
| 6814446 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-94, 0.954%, 8/16/2061(b)(c)(d)<br>| &nbsp;&nbsp; 414594 |
| 43623203 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-108, 0.847%, 6/16/2062(b)(d)<br>| &nbsp;&nbsp; 2495745 |
| 18305928 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-128, 0.916%, 10/16/2062(b)(d)<br>| &nbsp;&nbsp; 1216671 |
| 29097345 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-130, 1.007%, 8/16/2060(b)(d)<br>| &nbsp;&nbsp; 2032749 |
| 38589814 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-136, 1.016%, 8/16/2062(b)(d)<br>| &nbsp;&nbsp; 2806178 |
| 33390716 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-172, 1.125%, 9/16/2062(b)(d)<br>| &nbsp;&nbsp; 2578631 |
| 15313138 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-174, 0.848%, 1/16/2063(b)(d)<br>| &nbsp;&nbsp; 966613 |
| 35106987 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-179, 1.011%, 9/16/2062(b)(d)<br>| &nbsp;&nbsp; 2355960 |
| 38856667 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-197, 0.949%, 10/16/2062(b)(d)<br>| &nbsp;&nbsp; 2630643 |
| 31432915 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-26, 0.718%, 10/15/2061(b)(d)<br>| &nbsp;&nbsp; 1445103 |
| 8769501 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-10, 0.987%, 5/16/2063(b)(d)<br>| &nbsp;&nbsp; 611699 |
| 39482634 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-106, 0.856%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 2583507 |
| 38798150 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-12, 0.956%, 3/16/2063(b)(d)<br>| &nbsp;&nbsp; 2464691 |
| 42226979 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-128, 0.992%, 6/16/2061(b)(d)<br>| &nbsp;&nbsp; 2704359 |
| 52119802 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-132, Class BI, 0.917%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 3536589 |
| 50572861 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-133, 0.883%, 7/16/2063(b)(d)<br>| &nbsp;&nbsp; 3063704 |
| 10664060 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-145, 0.770%, 7/16/2061(b)(d)<br>| &nbsp;&nbsp; 606156 |
| 44601547 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-151, 0.907%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 2862304 |
| 47743693 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-163, 0.809%, 3/16/2064(b)(d)<br>| &nbsp;&nbsp; 2752672 |
| 19531258 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-180, 0.916%, 11/16/2063(b)(d)<br>| &nbsp;&nbsp; 1374044 |
| 34023478 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-20, 1.145%, 8/16/2062(b)(d)<br>| &nbsp;&nbsp; 2683194 |
| 32869780 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-33, 0.844%, 10/16/2062(b)(d)<br>| &nbsp;&nbsp; 2093779 |
| 28591167 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-40, 0.822%, 2/16/2063(b)(d)<br>| &nbsp;&nbsp; 1720045 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $43854972 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-52, 0.722%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; $2377233 |
| 26899682 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2022-17, 0.802%, 6/16/2064(b)(d)<br>| &nbsp;&nbsp; 1511934 |
|  |  | &nbsp;&nbsp; 104537139 |
|  | **Collateralized Mortgage Obligations — 11.2%** | **Collateralized Mortgage Obligations — 11.2%** |
| 1071855 | &nbsp;&nbsp; Ajax Mortgage Loan Trust, Series 2019-D, <br> Class A1, 2.956%, 9/25/2065(a)(b)<br>| &nbsp;&nbsp; 1040339 |
| 108059 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 224, <br> 6.000%, 3/01/2033(c)(d)<br>| &nbsp;&nbsp; 12780 |
| 34299 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 2649, Class IM, REMICS, <br> 7.000%, 7/15/2033(c)(d)<br>| &nbsp;&nbsp; 4161 |
| 25675 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3013, Class AS, REMICS, <br> 7.292%, 5/15/2035(b)(c)<br>| &nbsp;&nbsp; 25023 |
| 1718307 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3149, Class LS, REMICS, <br> 3.102%, 5/15/2036(b)(c)(d)<br>| &nbsp;&nbsp; 200605 |
| 534302 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3229, Class BI, REMICS, <br> 2.522%, 10/15/2036(b)(c)(d)<br>| &nbsp;&nbsp; 48354 |
| 590321 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3416, Class BI, REMICS, <br> 2.152%, 2/15/2038(b)(c)(d)<br>| &nbsp;&nbsp; 55801 |
| 161567 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3417, Class VS, REMICS, <br> 6.159%, 2/15/2038(b)(c)<br>| &nbsp;&nbsp; 179143 |
| 151612 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3417, Class WS, REMICS, <br> 6.611%, 2/15/2038(b)(c)<br>| &nbsp;&nbsp; 156766 |
| 641078 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3561, Class W, REMICS, <br> 2.543%, 6/15/2048(b)<br>| &nbsp;&nbsp; 601947 |
| 154465 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3620, Class AT, REMICS, <br> 4.583%, 12/15/2036(b)(c)<br>| &nbsp;&nbsp; 157688 |
| 778192 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3747, Class CS, REMICS, <br> 2.402%, 10/15/2040(b)(c)(d)<br>| &nbsp;&nbsp; 69894 |
| 183907 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3808, Class SH, REMICS, <br> 0.922%, 2/15/2041(b)(c)<br>| &nbsp;&nbsp; 128570 |
| 678329 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3922, Class SH, REMICS, <br> 1.802%, 9/15/2041(b)(c)(d)<br>| &nbsp;&nbsp; 63672 |
| 952714 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4041, Class ES, REMICS, <br> 3.508%, 8/15/2040(b)<br>| &nbsp;&nbsp; 1033645 |
| 559810 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4097, Class US, REMICS, <br> 2.052%, 8/15/2032(b)(c)(d)<br>| &nbsp;&nbsp; 24503 |
| 3627498 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4136, Class SG, REMICS, <br> 2.052%, 11/15/2042(b)(c)(d)<br>| &nbsp;&nbsp; 488441 |
| 1720372 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4321, Class BS, REMICS, <br> 1.717%, 6/15/2039(b)(c)(d)<br>| &nbsp;&nbsp; 164756 |
| 901107 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4512, Class IE, REMICS, <br> 4.500%, 3/15/2044(c)(d)<br>| &nbsp;&nbsp; 165278 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $2846008 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4672, Class SP, REMICS, <br> 2.002%, 4/15/2047(b)(c)(d)<br>| &nbsp;&nbsp; $292800 |
| 1132332 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4749, REMICS, 4.000%, 12/15/2047(c)(d)<br>| &nbsp;&nbsp; 197896 |
| 8778020 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4892, Class SI, REMICS, <br> 2.011%, 2/25/2047(b)(d)<br>| &nbsp;&nbsp; 949915 |
| 2265570 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5048, Class HI, REMICS, <br> 4.500%, 1/15/2042(d)<br>| &nbsp;&nbsp; 426477 |
| 5777508 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5065, Class HI, REMICS, <br> 4.713%, 4/15/2042(b)(d)<br>| &nbsp;&nbsp; 877951 |
| 113331 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5065, Class EI, REMICS, <br> 5.332%, 11/25/2044(b)(d)<br>| &nbsp;&nbsp; 20654 |
| 1166239 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5078, Class MI, REMICS, <br> 4.000%, 9/25/2043(c)(d)<br>| &nbsp;&nbsp; 259897 |
| 13851550 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5094, REMICS, 1.393%, 12/15/2048(b)(d)<br>| &nbsp;&nbsp; 894561 |
| 251516 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5214, Class BI, REMICS, <br> 0.885%, 4/25/2052(b)(d)<br>| &nbsp;&nbsp; 9312 |
| 12574657 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5407, Class LA, REMICS, <br> 6.000%, 8/25/2050<br>| &nbsp;&nbsp; 12700393 |
| 42034765 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5457, Class GA, REMICS, <br> 4.500%, 11/25/2050<br>| &nbsp;&nbsp; 41947106 |
| 31301341 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5471, Class DA, REMICS, <br> 5.000%, 8/25/2051<br>| &nbsp;&nbsp; 31302715 |
| 9936743 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5531, Class SG, REMICS, <br> 2.052%, 10/15/2048(b)(d)<br>| &nbsp;&nbsp; 1053394 |
| 10000000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5617, Class AP, REMICS, <br> 4.500%, 1/25/2046<br>| &nbsp;&nbsp; 9885320 |
| 1734381 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured <br> Pass-Through Certificates, Series T-61, <br> Class 1A1, 1 yr. USD MTA + 1.400%, <br> 5.429%, 7/25/2044(b)<br>| &nbsp;&nbsp; 1688039 |
| 444236 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2005-22, Class DG, REMICS, <br> 6.810%, 4/25/2035(b)(c)<br>| &nbsp;&nbsp; 425647 |
| 529763 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2005-45, Class DA, REMICS, <br> 9.795%, 6/25/2035(b)(c)<br>| &nbsp;&nbsp; 635721 |
| 477285 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2006-46, Class SK, REMICS, <br> 9.575%, 6/25/2036(b)(c)<br>| &nbsp;&nbsp; 586144 |
| 24542 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2006-69, Class KI, REMICS, <br> 3.311%, 8/25/2036(b)(c)(d)<br>| &nbsp;&nbsp; 2452 |
| 147141 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-15, Class AS, REMICS, <br> 13.057%, 8/25/2036(b)(c)<br>| &nbsp;&nbsp; 198353 |
| 424062 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-86, Class LA, REMICS, <br> 3.476%, 8/25/2038(b)<br>| &nbsp;&nbsp; 415437 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $112957 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-87, Class LD, REMICS, <br> 3.843%, 11/25/2038(b)(c)<br>| &nbsp;&nbsp; $110851 |
| 420843 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2009-11, Class VP, REMICS, <br> 2.612%, 3/25/2039(b)(c)<br>| &nbsp;&nbsp; 393855 |
| 44633 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2010-75, Class MT, REMICS, <br> 1.910%, 12/25/2039(b)(c)<br>| &nbsp;&nbsp; 40927 |
| 282244 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2011-100, Class SH, REMICS, <br> 3.561%, 11/25/2040(b)<br>| &nbsp;&nbsp; 257868 |
| 1829745 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2011-51, Class SM, REMICS, <br> 1.861%, 6/25/2041(b)(c)(d)<br>| &nbsp;&nbsp; 149308 |
| 895499 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-14, Class MS, REMICS, <br> 2.511%, 3/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 119859 |
| 523358 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-21, Class SB, REMICS, <br> 1.961%, 3/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 52551 |
| 2308300 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-97, Class SB, REMICS, <br> 2.011%, 9/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 233631 |
| 396352 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-109, Class US, REMICS, <br> 2.456%, 7/25/2043(b)<br>| &nbsp;&nbsp; 347216 |
| 1033494 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-117, Class S, REMICS, <br> 2.611%, 11/25/2043(b)(c)(d)<br>| &nbsp;&nbsp; 127743 |
| 972449 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-34, Class PS, REMICS, <br> 2.161%, 8/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 52590 |
| 2469414 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-66, Class LI, REMICS, <br> 7.000%, 7/25/2043(c)(d)<br>| &nbsp;&nbsp; 299295 |
| 8157111 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2014-15, Class SA, REMICS, <br> 2.061%, 4/25/2044(b)(c)(d)<br>| &nbsp;&nbsp; 800294 |
| 565033 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2014-28, Class SD, REMICS, <br> 2.061%, 5/25/2044(b)(c)(d)<br>| &nbsp;&nbsp; 39562 |
| 5823946 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2014-90, Class SA, REMICS, <br> 2.161%, 1/25/2045(b)(d)<br>| &nbsp;&nbsp; 638590 |
| 265557 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2015-55, Class KT, REMICS, <br> 1.304%, 5/25/2041(b)(c)<br>| &nbsp;&nbsp; 225846 |
| 4600036 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-22, Class ST, REMICS, <br> 2.111%, 4/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 385254 |
| 4847155 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-32, Class SA, REMICS, <br> 2.111%, 10/25/2034(b)(d)<br>| &nbsp;&nbsp; 278624 |
| 6110836 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-60, Class ES, REMICS, <br> 2.111%, 9/25/2046(b)(d)<br>| &nbsp;&nbsp; 448095 |
| 3842922 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-60, Class QS, REMICS, <br> 2.111%, 9/25/2046(b)(d)<br>| &nbsp;&nbsp; 239837 |
| 2464639 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-82, Class SC, REMICS, <br> 2.111%, 11/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 237546 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $2529309 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-82, Class SG, REMICS, <br> 2.111%, 11/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; $179595 |
| 2647326 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-93, Class SL, REMICS, <br> 2.661%, 12/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 228165 |
| 3970130 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2017-26, Class SA, REMICS, <br> 2.161%, 4/25/2047(b)(c)(d)<br>| &nbsp;&nbsp; 275538 |
| 30246425 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2017-57, Class SD, REMICS, <br> 8/25/2047(b)(d)<br>| &nbsp;&nbsp; 1087667 |
| 8180582 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-37, Class QI, REMICS, <br> 4.500%, 6/25/2050(d)<br>| &nbsp;&nbsp; 1491194 |
| 2232085 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-72, Class LI, REMICS, <br> 5.000%, 12/25/2040(d)<br>| &nbsp;&nbsp; 432637 |
| 12832871 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2021-24, REMICS, 1.069%, 3/25/2059(b)(d)<br>| &nbsp;&nbsp; 704227 |
| 16296416 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2024-86, Class CA, REMICS, <br> 5.000%, 9/25/2051<br>| &nbsp;&nbsp; 16330915 |
| 147715 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 334, Class 11, 6.000%, 3/25/2033(c)(d)<br>| &nbsp;&nbsp; 16309 |
| 37852 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 334, Class 19, 7.000%, 2/25/2033(b)(c)(d)<br>| &nbsp;&nbsp; 5073 |
| 157640 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 339, Class 13, 6.000%, 6/25/2033(c)(d)<br>| &nbsp;&nbsp; 19145 |
| 99402 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 339, Class 7, 5.500%, 11/25/2033(c)(d)<br>| &nbsp;&nbsp; 11987 |
| 395255 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 356, Class 13, 5.500%, 6/25/2035(c)(d)<br>| &nbsp;&nbsp; 61442 |
| 161511 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 359, Class 17, 6.000%, 7/25/2035(c)(d)<br>| &nbsp;&nbsp; 25245 |
| 91075 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 18, 6.500%, 8/25/2036(c)(d)<br>| &nbsp;&nbsp; 14774 |
| 210943 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 20, 6.500%, 9/25/2036(c)(d)<br>| &nbsp;&nbsp; 35151 |
| 89106 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 22, 7.000%, 10/25/2036(c)(d)<br>| &nbsp;&nbsp; 16519 |
| 96769 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 23, 7.000%, 10/25/2036(c)(d)<br>| &nbsp;&nbsp; 14936 |
| 137192 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 24, 7.000%, 6/25/2037(c)(d)<br>| &nbsp;&nbsp; 24863 |
| 120584 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 12, 6.000%, 11/25/2035(c)(d)<br>| &nbsp;&nbsp; 17230 |
| 60634 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 13, 6.000%, 11/25/2035(b)(c)(d)<br>| &nbsp;&nbsp; 8859 |
| 80215 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 18, 7.000%, 3/25/2037(c)(d)<br>| &nbsp;&nbsp; 12714 |
| 47158 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 19, 7.000%, 3/25/2037(b)(c)(d)<br>| &nbsp;&nbsp; 7945 |
| 14603 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 383, Class 32, 6.000%, 1/25/2038(c)(d)<br>| &nbsp;&nbsp; 2495 |
| 417162 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 20, 5.500%, 5/25/2036(b)(c)(d)<br>| &nbsp;&nbsp; 62609 |
| 149734 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 31, 6.500%, 7/25/2037(c)(d)<br>| &nbsp;&nbsp; 26146 |
| 60674 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 36, 7.000%, 7/25/2037(b)(c)(d)<br>| &nbsp;&nbsp; 6328 |
| 99232 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 4, 4.500%, 9/25/2036(b)(c)(d)<br>| &nbsp;&nbsp; 5953 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $71131 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 385, Class 23, 7.000%, 7/25/2037(c)(d)<br>| &nbsp;&nbsp; $11626 |
| 11319 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 386, Class 25, 7.000%, 3/25/2038(b)(c)(d)<br>| &nbsp;&nbsp; 2338 |
| 24740 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H02, Class FA, 1 mo. USD SOFR + <br> 0.794%, 4.710%, 2/20/2060(b)(c)<br>| &nbsp;&nbsp; 24563 |
| 13525 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H22, Class FE, 1 mo. USD SOFR + <br> 0.464%, 4.464%, 5/20/2059(b)(c)<br>| &nbsp;&nbsp; 12953 |
| 19926 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H24, Class FA, 1 mo. USD SOFR + <br> 0.464%, 4.464%, 10/20/2060(b)(c)<br>| &nbsp;&nbsp; 19670 |
| 30366 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H05, Class FB, 1 mo. USD SOFR + <br> 0.614%, 4.614%, 12/20/2060(b)(c)<br>| &nbsp;&nbsp; 30069 |
| 10224 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H11, Class FA, 1 mo. USD SOFR + <br> 0.614%, 4.614%, 3/20/2061(b)(c)<br>| &nbsp;&nbsp; 10124 |
| 10006 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H21, Class FA, 1 mo. USD SOFR + <br> 0.714%, 4.714%, 10/20/2061(b)(c)<br>| &nbsp;&nbsp; 9924 |
| 23743 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H21, Class FT, 1 yr. CMT + 0.700%, <br> 4.360%, 10/20/2061(b)(c)<br>| &nbsp;&nbsp; 23053 |
| 4212 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H11, Class BA, 2.000%, 5/20/2062(c)<br>| &nbsp;&nbsp; 3806 |
| 30143 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H22, Class HD, <br> 5.309%, 1/20/2061(b)(c)<br>| &nbsp;&nbsp; 29579 |
| 1933 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H24, Class FE, 1 mo. USD SOFR + <br> 0.714%, 4.600%, 10/20/2062(b)(c)<br>| &nbsp;&nbsp; 1916 |
| 653355 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-71, Class DF, 1 mo. USD SOFR + <br> 1.114%, 4.848%, 5/20/2043(b)(c)<br>| &nbsp;&nbsp; 607894 |
| 75266 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H01, Class JA, 1 mo. USD SOFR + <br> 0.434%, 4.434%, 1/20/2063(b)(c)<br>| &nbsp;&nbsp; 72832 |
| 26858 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)<br>| &nbsp;&nbsp; 26051 |
| 537459 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H13, Class SI, <br> 1.342%, 6/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 20158 |
| 1082785 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H16, Class AI, <br> 1.494%, 7/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 27597 |
| 151444 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H18, Class EI, <br> 2.011%, 7/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 14001 |
| 142181 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H18, Class JI, <br> 1.408%, 8/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 2386 |
| 25360 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H20, Class FA, 1 mo. USD SOFR + <br> 0.714%, 4.714%, 8/20/2063(b)(c)<br>| &nbsp;&nbsp; 24648 |
| 257248 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-H24, Class HI, <br> 0.928%, 9/20/2064(b)(c)(d)<br>| &nbsp;&nbsp; 10175 |
| 818877 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H01, Class XZ, 4.545%, 10/20/2064(b)<br>| &nbsp;&nbsp; 812910 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $57983 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H04, Class HA, <br> 3.500%, 11/20/2064(b)(c)<br>| &nbsp;&nbsp; $56448 |
| 153656 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H10, Class JA, 2.250%, 4/20/2065<br>| &nbsp;&nbsp; 147816 |
| 5781 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H13, Class FL, 1 mo. USD SOFR + <br> 0.394%, 4.394%, 5/20/2063(b)(c)<br>| &nbsp;&nbsp; 5533 |
| 4515 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H19, Class FA, 1 mo. USD SOFR + <br> 0.314%, 4.314%, 4/20/2063(b)(c)<br>| &nbsp;&nbsp; 4341 |
| 4805 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H28, Class JZ, <br> 4.703%, 3/20/2065(b)(c)<br>| &nbsp;&nbsp; 4660 |
| 245 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H29, Class FA, 1 mo. USD SOFR + <br> 0.814%, 4.814%, 10/20/2065(b)(c)<br>| &nbsp;&nbsp; 238 |
| 158605 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H29, Class HZ, <br> 4.485%, 9/20/2065(b)(c)<br>| &nbsp;&nbsp; 155784 |
| 2515 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H30, Class FA, 1 mo. USD SOFR + <br> 0.794%, 4.794%, 8/20/2061(b)(c)<br>| &nbsp;&nbsp; 2443 |
| 282004 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-23, Class PA, 5.516%, 7/20/2037(b)(c)<br>| &nbsp;&nbsp; 282613 |
| 3556148 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H01, Class AI, <br> 1.738%, 1/20/2066(b)(c)(d)<br>| &nbsp;&nbsp; 125108 |
| 4891186 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H09, Class JI, <br> 2.219%, 4/20/2066(b)(c)(d)<br>| &nbsp;&nbsp; 191018 |
| 93285 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H14, Class JZ, <br> 4.403%, 8/20/2063(b)(c)<br>| &nbsp;&nbsp; 90080 |
| 971617 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H17, Class HA, 2.250%, 3/20/2066(c)<br>| &nbsp;&nbsp; 938927 |
| 22820 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H19, Class CZ, <br> 4.468%, 8/20/2066(b)(c)<br>| &nbsp;&nbsp; 21932 |
| 13057 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H19, Class EZ, <br> 4.900%, 6/20/2061(b)(c)<br>| &nbsp;&nbsp; 12688 |
| 2503687 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-26, Class IM, 6.500%, 2/20/2047(c)(d)<br>| &nbsp;&nbsp; 220855 |
| 712046 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-H05, Class AI, <br> 2.498%, 1/20/2067(b)(c)(d)<br>| &nbsp;&nbsp; 32435 |
| 140205 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-H12, Class HZ, <br> 4.665%, 8/20/2068(b)(c)<br>| &nbsp;&nbsp; 134779 |
| 280000 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-111, Class LP, 3.500%, 9/20/2049(c)<br>| &nbsp;&nbsp; 214368 |
| 324000 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-132, Class LP, 3.500%, 10/20/2049(c)<br>| &nbsp;&nbsp; 246571 |
| 8447001 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-152, Class LI, <br> 1.702%, 2/20/2044(b)(c)(d)<br>| &nbsp;&nbsp; 929491 |
| 1751112 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-44, Class BS, <br> 2.202%, 4/20/2049(b)(c)(d)<br>| &nbsp;&nbsp; 161645 |
| 6928671 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-45, Class FL, 1 mo. USD SOFR + <br> 0.814%, 4.500%, 4/20/2049(b)<br>| &nbsp;&nbsp; 6614197 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $7226757 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-70, Class SK, 2.152%, 8/20/2043(b)(d)<br>| &nbsp;&nbsp; $759243 |
| 2161304 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H02, Class JA, 3.500%, 12/20/2068<br>| &nbsp;&nbsp; 2089361 |
| 733888 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H06, Class HA, <br> 2.800%, 4/20/2069(b)(c)<br>| &nbsp;&nbsp; 718218 |
| 389145 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H12, Class JA, 2.500%, 7/20/2069(c)<br>| &nbsp;&nbsp; 383747 |
| 1852895 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-138, Class IL, 3.500%, 9/20/2050(c)(d)<br>| &nbsp;&nbsp; 352020 |
| 9563379 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-148, Class EI, 3.000%, 11/20/2049(d)<br>| &nbsp;&nbsp; 1907167 |
| 4075853 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-148, Class IJ, 3.000%, 6/20/2049(c)(d)<br>| &nbsp;&nbsp; 846694 |
| 10928712 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-47, Class IQ, 3.500%, 3/20/2050(d)<br>| &nbsp;&nbsp; 2330258 |
| 788345 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-H11, Class GA, 1.250%, 7/20/2067(c)<br>| &nbsp;&nbsp; 770709 |
| 22055609 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H03, 0.035%, 4/20/2070(b)(c)(d)<br>| &nbsp;&nbsp; 193306 |
| 3718570 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H08, Class IA, <br> 0.124%, 1/20/2068(b)(c)(d)<br>| &nbsp;&nbsp; 33810 |
| 1331568 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H12, Class GA, 4.522%, 7/20/2071(b)<br>| &nbsp;&nbsp; 1327496 |
| 615768 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H17, 0.116%, 3/20/2070(b)(c)(d)<br>| &nbsp;&nbsp; 20448 |
| 782740 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H17, Class BA, <br> 2.854%, 10/20/2071(b)(c)<br>| &nbsp;&nbsp; 762252 |
| 44711672 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H03, Class IA, <br> 0.543%, 1/20/2075(b)(d)<br>| &nbsp;&nbsp; 3272134 |
| 17667653 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H03, Class IC, <br> 0.567%, 1/20/2075(b)(d)<br>| &nbsp;&nbsp; 1283431 |
| 12008351 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H04, Class GI, <br> 0.596%, 1/20/2075(b)(d)<br>| &nbsp;&nbsp; 924775 |
| 14884453 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H04, Class HI, <br> 0.491%, 2/20/2075(b)(d)<br>| &nbsp;&nbsp; 1065593 |
| 33123838 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H07, Class LI, 0.580%, 2/20/2075(b)(d)<br>| &nbsp;&nbsp; 2507011 |
| 26165631 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H13, Class EI, <br> 0.345%, 5/20/2075(b)(d)<br>| &nbsp;&nbsp; 1667745 |
| 14273457 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H13, Class IC, <br> 0.440%, 5/20/2075(b)(d)<br>| &nbsp;&nbsp; 972456 |
| 48479532 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H14, Class AI, <br> 0.326%, 7/20/2075(b)(d)<br>| &nbsp;&nbsp; 2875437 |
| 21891049 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2025-H22, Class AI, <br> 0.385%, 10/20/2075(b)(d)<br>| &nbsp;&nbsp; 1565429 |
|  |  | &nbsp;&nbsp; 177017536 |
|  | **Mortgage Related — 42.5%** |  |
| 6785803 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 9/01/2050<br>| &nbsp;&nbsp; 5607123 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Mortgage Related — continued** |  |
| $1420759 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 10/01/2050<br>| &nbsp;&nbsp; $1173956 |
| 6008407 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 2/01/2052<br>| &nbsp;&nbsp; 5084614 |
| 7147681 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 4/01/2052<br>| &nbsp;&nbsp; 6076883 |
| 6579862 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 3.500%, 6/01/2052<br>| &nbsp;&nbsp; 6097999 |
| 15615770 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 4.000%, 9/01/2052<br>| &nbsp;&nbsp; 14902965 |
| 23680715 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 4.500%, 12/01/2054<br>| &nbsp;&nbsp; 23123923 |
| 7888424 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 5.500%, 6/01/2055<br>| &nbsp;&nbsp; 8094994 |
| 18101501 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 6.000%, 6/01/2055<br>| &nbsp;&nbsp; 18631373 |
| 18336100 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 6.500%, 5/01/2055<br>| &nbsp;&nbsp; 19068683 |
| 1101687 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.000%, 10/01/2050<br>| &nbsp;&nbsp; 871857 |
| 289161 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.000%, 12/01/2050<br>| &nbsp;&nbsp; 228831 |
| 3588657 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 10/01/2050<br>| &nbsp;&nbsp; 3058211 |
| 11838030 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 1/01/2052<br>| &nbsp;&nbsp; 10013479 |
| 8327557 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 1/01/2052<br>| &nbsp;&nbsp; 7067094 |
| 74338123 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 2/01/2052<br>| &nbsp;&nbsp; 62908637 |
| 4948688 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 2/01/2052<br>| &nbsp;&nbsp; 4200199 |
| 1844573 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 7/01/2053<br>| &nbsp;&nbsp; 1563099 |
| 8416117 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 12/01/2061<br>| &nbsp;&nbsp; 6929858 |
| 94721850 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 3/01/2062<br>| &nbsp;&nbsp; 77827261 |
| 37995050 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 3/01/2062<br>| &nbsp;&nbsp; 31285333 |
| 19119785 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 3/01/2062<br>| &nbsp;&nbsp; 15743280 |
| 73906403 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 5/01/2062<br>| &nbsp;&nbsp; 60764957 |
| 58760202 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 5/01/2062<br>| &nbsp;&nbsp; 48382912 |
| 11762378 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 12/01/2063<br>| &nbsp;&nbsp; 9685038 |
| 1462066 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 10/01/2047<br>| &nbsp;&nbsp; 1322139 |
| 1753589 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 7/01/2049<br>| &nbsp;&nbsp; 1567202 |
| 30495222 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 2/01/2052<br>| &nbsp;&nbsp; 27212365 |
| 29223147 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 2/01/2052<br>| &nbsp;&nbsp; 26033792 |
| 25531216 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 6/01/2052<br>| &nbsp;&nbsp; 22627390 |
| 2902653 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 6/01/2063<br>| &nbsp;&nbsp; 2507139 |
| 14452126 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 12/01/2063<br>| &nbsp;&nbsp; 12511941 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Mortgage Related — continued** |  |
| $16246153 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 6/01/2064<br>| &nbsp;&nbsp; $14065083 |
| 32557481 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.500%, 9/01/2062<br>| &nbsp;&nbsp; 29583064 |
| 14790874 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.500%, 12/01/2063<br>| &nbsp;&nbsp; 13480896 |
| 23443111 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.500%, 6/01/2064<br>| &nbsp;&nbsp; 21366472 |
| 442608 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 4.000%, 1/01/2052<br>| &nbsp;&nbsp; 422165 |
| 8566477 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 5.500%, 10/01/2054<br>| &nbsp;&nbsp; 8689913 |
| 29090757 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 5.500%, 7/01/2055<br>| &nbsp;&nbsp; 29577732 |
| 9521631 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 10/01/2055<br>| &nbsp;&nbsp; 9890755 |
| 8 | &nbsp;&nbsp; Government National Mortgage Association, <br> 5.470%, 11/20/2059(b)<br>| &nbsp;&nbsp; 8 |
| 6032000 | &nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA, <br> 2.500%, 1/01/2056(e)<br>| &nbsp;&nbsp; 5098454 |
|  |  | &nbsp;&nbsp; 674349069 |
|  | **Non-Agency Commercial Mortgage-Backed** <br> **Securities — 9.4%** | **Non-Agency Commercial Mortgage-Backed** <br> **Securities — 9.4%** |
| 3720000 | &nbsp;&nbsp; Bank, Series 2019-BN20, Class A3, <br> 3.011%, 9/15/2062<br>| &nbsp;&nbsp; 3519386 |
| 3525000 | &nbsp;&nbsp; Bank, Series 2019-BN22, Class A4, <br> 2.978%, 11/15/2062<br>| &nbsp;&nbsp; 3343175 |
| 1770000 | &nbsp;&nbsp; Bank, Series 2020-BN25, Class A5, <br> 2.649%, 1/15/2063<br>| &nbsp;&nbsp; 1646681 |
| 3649000 | &nbsp;&nbsp; Bank, Series 2020-BN26, Class A4, <br> 2.403%, 3/15/2063<br>| &nbsp;&nbsp; 3348165 |
| 785000 | &nbsp;&nbsp; Bank, Series 2020-BN28, Class AS, <br> 2.140%, 3/15/2063<br>| &nbsp;&nbsp; 694498 |
| 3615000 | &nbsp;&nbsp; Bank, Series 2021-BN34, Class A5, <br> 2.438%, 6/15/2063<br>| &nbsp;&nbsp; 3197790 |
| 5300000 | &nbsp;&nbsp; Bank, Series 2022-BNK39, Class A4, <br> 2.928%, 2/15/2055(b)<br>| &nbsp;&nbsp; 4833222 |
| 1830000 | &nbsp;&nbsp; Bank, Series 2022-BNK42, Class A5, <br> 4.493%, 6/15/2055(b)<br>| &nbsp;&nbsp; 1796790 |
| 896024 | &nbsp;&nbsp; Bank of America Merrill Lynch Commercial <br> Mortgage Trust, Series 2016-UB10, Class A4, <br> 3.170%, 7/15/2049<br>| &nbsp;&nbsp; 892918 |
| 2140000 | &nbsp;&nbsp; Bank5 Trust, Series 2024-5YR6, Class AS, <br> 6.790%, 5/15/2057(b)<br>| &nbsp;&nbsp; 2268578 |
| 3330000 | &nbsp;&nbsp; Benchmark Mortgage Trust, Series 2019-B10, <br> Class A4, 3.717%, 3/15/2062<br>| &nbsp;&nbsp; 3262153 |
| 5185000 | &nbsp;&nbsp; Benchmark Mortgage Trust, Series 2019-B13, <br> Class A4, 2.952%, 8/15/2057<br>| &nbsp;&nbsp; 4926992 |
| 1325000 | &nbsp;&nbsp; BFLD Commercial Mortgage Trust, <br> Series 2025-660F, Class A, 1 mo. USD SOFR + <br> 1.500%, 5.250%, 11/15/2042(a)(b)<br>| &nbsp;&nbsp; 1328725 |
| 4970000 | &nbsp;&nbsp; BMO Mortgage Trust, Series 2022-C1, Class A5, <br> 3.374%, 2/15/2055(b)<br>| &nbsp;&nbsp; 4615742 |
| 2770000 | &nbsp;&nbsp; BX Commercial Mortgage Trust, <br> Series 2022-AHP, Class B, 1 mo. USD SOFR + <br> 1.840%, 5.590%, 1/17/2039(a)(b)<br>| &nbsp;&nbsp; 2767475 |
| 1485000 | &nbsp;&nbsp; BX Commercial Mortgage Trust, <br> Series 2024-VLT5, Class A, <br> 5.410%, 11/13/2046(a)(b)<br>| &nbsp;&nbsp; 1503590 |
| 720000 | &nbsp;&nbsp; BX Trust, Series 2024-VLT4, Class A, 1 mo. USD <br> SOFR + 1.491%, 5.242%, 6/15/2041(a)(b)<br>| &nbsp;&nbsp; 719775 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $690000 | &nbsp;&nbsp; BX Trust, Series 2025-DELC, Class A, 1 mo. USD <br> SOFR + 1.550%, 5.507%, 12/15/2042(a)(b)<br>| &nbsp;&nbsp; $690861 |
| 4470000 | &nbsp;&nbsp; BX Trust, Series 2025-VLT6, Class A, 1 mo. USD <br> SOFR + 1.443%, 5.193%, 3/15/2042(a)(b)<br>| &nbsp;&nbsp; 4464413 |
| 510000 | &nbsp;&nbsp; CALI Mortgage Trust, Series 2019-101C, Class A, <br> 3.957%, 3/10/2039(a)<br>| &nbsp;&nbsp; 492930 |
| 3305000 | &nbsp;&nbsp; CHI Commercial Mortgage Trust, <br> Series 2025-SFT, Class A, 5.482%, 4/15/2042(a)(b)<br>| &nbsp;&nbsp; 3387193 |
| 1338942 | &nbsp;&nbsp; Commercial Mortgage Pass-Through <br> Certificates, Series 2012-LTRT, Class A2, <br> 3.400%, 10/05/2030(a)<br>| &nbsp;&nbsp; 1329971 |
| 6160000 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2014-USA, <br> Class A2, 3.953%, 9/15/2037(a)<br>| &nbsp;&nbsp; 5658535 |
| 2110000 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2014-USA, <br> Class B, 4.185%, 9/15/2037(a)<br>| &nbsp;&nbsp; 1846935 |
| 3600000 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2014-USA, <br> Class C, 4.336%, 9/15/2037(a)<br>| &nbsp;&nbsp; 3099192 |
| 2405000 | &nbsp;&nbsp; CSAIL Commercial Mortgage Trust, <br> Series 2019-C18, Class A4, 2.968%, 12/15/2052<br>| &nbsp;&nbsp; 2277253 |
| 2520000 | &nbsp;&nbsp; DC Commercial Mortgage Trust, Series 2023-DC, <br> Class A, 6.314%, 9/12/2040(a)<br>| &nbsp;&nbsp; 2594509 |
| 5365000 | &nbsp;&nbsp; DROP Mortgage Trust, Series 2021-FILE, Class A, <br> 1 mo. USD SOFR + 1.264%, <br> 5.015%, 10/15/2043(a)(b)<br>| &nbsp;&nbsp; 5233303 |
| 395000 | &nbsp;&nbsp; Extended Stay America Trust, Series 2025-ESH, <br> Class A, 1 mo. USD SOFR + 1.300%, <br> 5.050%, 10/15/2042(a)(b)<br>| &nbsp;&nbsp; 395617 |
| 210000 | &nbsp;&nbsp; Extended Stay America Trust, Series 2025-ESH, <br> Class B, 1 mo. USD SOFR + 1.600%, <br> 5.350%, 10/15/2042(a)(b)<br>| &nbsp;&nbsp; 210328 |
| 3502953 | &nbsp;&nbsp; GS Mortgage Securities Corp. Trust, <br> Series 2012-BWTR, Class A, <br> 2.954%, 11/05/2034(a)<br>| &nbsp;&nbsp; 3075769 |
| 5775000 | &nbsp;&nbsp; GS Mortgage Securities Corp. Trust, <br> Series 2013-PEMB, Class A, <br> 3.550%, 3/05/2033(a)(b)<br>| &nbsp;&nbsp; 4129125 |
| 520000 | &nbsp;&nbsp; GS Mortgage Securities Corp. Trust, <br> Series 2023-SHIP, Class A, <br> 4.322%, 9/10/2038(a)(b)<br>| &nbsp;&nbsp; 519223 |
| 2000000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2014-GC22, Class AS, 4.113%, 6/10/2047<br>| &nbsp;&nbsp; 1861174 |
| 2373000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2014-GC22, Class C, 4.572%, 6/10/2047(b)<br>| &nbsp;&nbsp; 1342613 |
| 5000000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2019-GSA1, Class A4, 3.048%, 11/10/2052<br>| &nbsp;&nbsp; 4740727 |
| 2555000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2020-GC45, Class A5, 2.911%, 2/13/2053<br>| &nbsp;&nbsp; 2406514 |
| 5885000 | &nbsp;&nbsp; Hudsons Bay Simon JV Trust, Series 2015-HB10, <br> Class A10, 4.155%, 8/05/2034(a)<br>| &nbsp;&nbsp; 5879360 |
| 526672 | &nbsp;&nbsp; JP Morgan Chase Commercial Mortgage <br> Securities Trust, Series 2012-LC9, Class C, <br> 3.571%, 12/15/2047(a)(b)<br>| &nbsp;&nbsp; 511382 |
| 2969000 | &nbsp;&nbsp; JP Morgan Chase Commercial Mortgage <br> Securities Trust, Series 2015-JP1, Class AS, <br> 4.119%, 1/15/2049(b)<br>| &nbsp;&nbsp; 2933941 |
| 3350000 | &nbsp;&nbsp; JP Morgan Chase Commercial Mortgage <br> Securities Trust, Series 2025-BMS, Class A, <br> 1 mo. USD SOFR + 1.600%, <br> 5.350%, 1/15/2042(a)(b)<br>| &nbsp;&nbsp; 3348949 |
| 730000 | &nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, <br> Series 2014-C25, Class AS, 4.065%, 11/15/2047<br>| &nbsp;&nbsp; 708151 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $600000 | &nbsp;&nbsp; LEX Mortgage Trust, Series 2024-BBG, Class A, <br> 4.874%, 10/13/2033(a)(b)<br>| &nbsp;&nbsp; $603538 |
| 290462 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2011-C2, <br> Class D, 5.211%, 6/15/2044(a)(b)<br>| &nbsp;&nbsp; 287642 |
| 3160580 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, <br> Series 2013-ALTM, Class A2, <br> 3.705%, 2/05/2035(a)(b)<br>| &nbsp;&nbsp; 3034125 |
| 3399917 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2017-H1, <br> Class A5, 3.530%, 6/15/2050<br>| &nbsp;&nbsp; 3368809 |
| 5780000 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2019-L3, <br> Class A4, 3.127%, 11/15/2052<br>| &nbsp;&nbsp; 5509218 |
| 2085000 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2021-L5, <br> Class A4, 2.728%, 5/15/2054<br>| &nbsp;&nbsp; 1897175 |
| 1049902 | &nbsp;&nbsp; MSBAM Commercial Mortgage Securities Trust, <br> Series 2012-CKSV, Class A2, <br> 3.277%, 10/15/2030(a)<br>| &nbsp;&nbsp; 1007895 |
| 3180000 | &nbsp;&nbsp; NY Commercial Mortgage Trust, <br> Series 2025-299P, Class A, <br> 5.664%, 2/10/2047(a)(b)<br>| &nbsp;&nbsp; 3342203 |
| 3115000 | &nbsp;&nbsp; RFR Trust, Series 2025-SGRM, Class A, <br> 5.379%, 3/11/2041(a)(b)<br>| &nbsp;&nbsp; 3187646 |
| 2160000 | &nbsp;&nbsp; SCOTT Trust, Series 2023-SFS, Class A, <br> 5.910%, 3/10/2040(a)<br>| &nbsp;&nbsp; 2216498 |
| 1606458 | &nbsp;&nbsp; Starwood Retail Property Trust, <br> Series 2014-STAR, Class A, Prime + 0.000%, <br> 6.750%, 11/15/2027(a)(b)<br>| &nbsp;&nbsp; 971120 |
| 6500000 | &nbsp;&nbsp; Starwood Retail Property Trust, <br> Series 2014-STAR, Class B, Prime + 0.000%, <br> 6.750%, 11/15/2027(a)(b)(c)<br>| &nbsp;&nbsp; 1300000 |
| 540000 | &nbsp;&nbsp; TCO Commercial Mortgage Trust, <br> Series 2024-DPM, Class A, 1 mo. USD SOFR + <br> 1.243%, 4.993%, 12/15/2039(a)(b)<br>| &nbsp;&nbsp; 541171 |
| 2870000 | &nbsp;&nbsp; TYSN Mortgage Trust, Series 2023-CRNR, <br> Class A, 6.580%, 12/10/2033(a)(b)<br>| &nbsp;&nbsp; 3021263 |
| 1350000 | &nbsp;&nbsp; UBS Commercial Mortgage Trust, <br> Series 2019-C16, Class A4, 3.605%, 4/15/2052<br>| &nbsp;&nbsp; 1307714 |
| 5000000 | &nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, <br> Series 2018-C48, Class A5, 4.302%, 1/15/2052<br>| &nbsp;&nbsp; 5010633 |
| 5012000 | &nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, <br> Series 2019-C54, Class A4, 3.146%, 12/15/2052<br>| &nbsp;&nbsp; 4790120 |
|  |  | &nbsp;&nbsp; 149200393 |
|  | &nbsp;&nbsp; Total Bonds and Notes <br>(Identified Cost $1,547,803,426)<br>| &nbsp;&nbsp; 1490328258 |
| **Collateralized Loan Obligations — 4.0%** | **Collateralized Loan Obligations — 4.0%** | **Collateralized Loan Obligations — 4.0%** |
| 5255000 | &nbsp;&nbsp; Alinea CLO Ltd., Series 2018-1A, Class BR, 3 mo. <br> USD SOFR + 1.150%, 5.034%, 7/20/2031(a)(b)<br>| &nbsp;&nbsp; 5255746 |
| 3245000 | &nbsp;&nbsp; BCC Middle Market CLO LLC, Series 2019-1A, <br> Class A1RR, 3 mo. USD SOFR + 1.450%, <br> 5.355%, 7/15/2036(a)(b)<br>| &nbsp;&nbsp; 3246126 |
| 3300000 | &nbsp;&nbsp; Cerberus Loan Funding XLVII LLC, <br> Series 2024-3A, Class A, 3 mo. USD SOFR + <br> 1.750%, 5.655%, 7/15/2036(a)(b)<br>| &nbsp;&nbsp; 3307950 |
| 3125000 | &nbsp;&nbsp; Diameter Capital CLO 12 Ltd., Series 2025-12A, <br> Class A, 3 mo. USD SOFR + 1.240%, <br> 5.156%, 10/20/2038(a)(b)<br>| &nbsp;&nbsp; 3120778 |
| 3835000 | &nbsp;&nbsp; Dryden 53 CLO Ltd., Series 2017-53A, Class BR, <br> 3 mo. USD SOFR + 1.300%, <br> 5.205%, 1/15/2031(a)(b)<br>| &nbsp;&nbsp; 3835794 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
| $3020000 | &nbsp;&nbsp; Eldridge CLO Ltd., Series 2025-1A, Class A1, <br> 3 mo. USD SOFR + 1.330%, <br> 5.250%, 10/20/2038(a)(b)<br>| &nbsp;&nbsp; $3020389 |
| 1530000 | &nbsp;&nbsp; Empower CLO Ltd., Series 2025-1A, Class A, <br> 3 mo. USD SOFR + 1.310%, <br> 5.194%, 7/20/2038(a)(b)<br>| &nbsp;&nbsp; 1534951 |
| 3290000 | &nbsp;&nbsp; Garnet CLO 2 Ltd., Series 2025-2A, Class A, 3 mo. <br> USD SOFR + 1.350%, 5.431%, 10/20/2038(a)(b)<br>| &nbsp;&nbsp; 3296544 |
| 3005000 | &nbsp;&nbsp; LCM 30 Ltd., Series 30A, Class BR, 3 mo. USD <br> SOFR + 1.762%, 5.646%, 4/20/2031(a)(b)<br>| &nbsp;&nbsp; 3006008 |
| 2040000 | &nbsp;&nbsp; Octagon Investment Partners 18-R Ltd., <br> Series 2018-18A, Class A2, 3 mo. USD SOFR + <br> 1.732%, 5.625%, 4/16/2031(a)(b)<br>| &nbsp;&nbsp; 2040882 |
| 4205000 | &nbsp;&nbsp; OHA Credit Funding 3 Ltd., Series 2019-3A, <br> Class B1R2, 3 mo. USD SOFR + 1.600%, <br> 5.484%, 1/20/2038(a)(b)<br>| &nbsp;&nbsp; 4216627 |
| 2455000 | &nbsp;&nbsp; Palmer Square BDC CLO 1 Ltd., Series 1A, <br> Class B1, 3 mo. USD SOFR + 2.150%, <br> 6.055%, 7/15/2037(a)(b)<br>| &nbsp;&nbsp; 2465446 |
| 1900000 | &nbsp;&nbsp; Polen Capital CLO Ltd., Series 2025-1A, Class A1, <br> 3 mo. USD SOFR + 1.320%, <br> 5.204%, 3/06/2038(a)(b)<br>| &nbsp;&nbsp; 1906194 |
| 2940000 | &nbsp;&nbsp; Polen Capital CLO Ltd., Series 2025-2A, Class A1, <br> 3 mo. USD SOFR + 1.330%, <br> 5.040%, 1/20/2039(a)(b)<br>| &nbsp;&nbsp; 2940973 |
| 3800000 | &nbsp;&nbsp; Post CLO Ltd., Series 2022-1A, Class A, 3 mo. <br> USD SOFR + 1.380%, 5.264%, 4/20/2035(a)(b)<br>| &nbsp;&nbsp; 3803675 |
| 7650000 | &nbsp;&nbsp; Rockland Park CLO Ltd., Series 2021-1A, <br> Class A1R, 3 mo. USD SOFR + 1.300%, <br> 5.184%, 7/20/2038(a)(b)<br>| &nbsp;&nbsp; 7666562 |
| 5130000 | &nbsp;&nbsp; Symetra CLO Ltd., Series 2025-1A, Class A1, <br> 3 mo. USD SOFR + 1.290%, <br> 5.174%, 4/20/2038(a)(b)<br>| &nbsp;&nbsp; 5133263 |
| 1315000 | &nbsp;&nbsp; Voya CLO Ltd., Series 2013-3A, Class A2RR, 3 mo. <br> USD SOFR + 1.961%, 5.846%, 10/18/2031(a)(b)<br>| &nbsp;&nbsp; 1315697 |
| 3290000 | &nbsp;&nbsp; Wise CLO Ltd., Series 2024-2A, Class A, 3 mo. <br> USD SOFR + 1.460%, 5.365%, 7/15/2037(a)(b)<br>| &nbsp;&nbsp; 3295567 |
|  | &nbsp;&nbsp; Total Collateralized Loan Obligations <br>(Identified Cost $64,211,976)<br>| &nbsp;&nbsp; 64409172 |
| **Loan Participations — 0.1%** | **Loan Participations — 0.1%** | **Loan Participations — 0.1%** |
|  | **ABS Other — 0.1%** | **ABS Other — 0.1%** |
| 1497137 | &nbsp;&nbsp; Harbour Aircraft Investments Ltd., Series 2017-1, <br> Class A, 6.000%, 11/15/2037<br>| &nbsp;&nbsp; 1406319 |
|  | &nbsp;&nbsp; Total Loan Participations <br>(Identified Cost $1,464,991)<br>| &nbsp;&nbsp; 1406319 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
| **Short-Term Investments — 1.9%** | **Short-Term Investments — 1.9%** | **Short-Term Investments — 1.9%** |
| $24598015 | &nbsp;&nbsp; Tri-Party Repurchase Agreement with Fixed <br> Income Clearing Corporation, dated 12/31/2025 <br> at 2.150% to be repurchased at $24,600,953 on <br> 1/02/2026 collateralized by $1,605,400 <br> U.S. Treasury Note, 0.500% due 6/30/2027 valued <br> at $1,536,486; $24,267,700 U.S. Treasury Note, <br> 2.375% due 3/31/2029 valued at $23,553,652 <br> including accrued interest(f)<br>| &nbsp;&nbsp; $24598015 |
| 5000000 | U.S. Treasury Bills, 3.534%, 4/14/2026(g)(h) | &nbsp;&nbsp; 4950118 |
|  | &nbsp;&nbsp; Total Short-Term Investments <br>(Identified Cost $29,547,452)<br>| &nbsp;&nbsp; 29548133 |
|  | &nbsp;&nbsp; Total Investments — 99.9% <br>(Identified Cost $1,643,027,845)<br>| &nbsp;&nbsp; 1585691882 |
|  | Other assets less liabilities — 0.1% | &nbsp;&nbsp; 1911610 |
|  | Net Assets — 100.0% | &nbsp;&nbsp; $1587603492 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| (†) | &nbsp;&nbsp;&nbsp; Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains <br> readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available <br> are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the <br> Board's oversight. <br>Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment <br> companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures <br> contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most <br> extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share. <br>Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an <br> independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the <br> market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent <br> pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids <br> furnished by an independent pricing service, if available. <br>Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service <br> or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations ("CLOs") are fair valued at bid prices supplied by an <br> independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an <br> independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the <br> investment. <br>The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior <br> to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting <br> of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market <br> disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, <br> among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related <br> market activity and/or information that occurred after the close of the foreign market but before the time the Fund's NAV is calculated. Fair valuation by <br> the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV <br> may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing <br> may not always result in adjustments to the prices of investments held by a Fund. <br>The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in <br> currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of these securities are exempt from registration under Rule 144A
 of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 At December 31, 2025, the value of Rule 144A holdings amounted to $478,256,284 or 30.1% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Variable rate security. Rate as of December 31, 2025 is disclosed. Issuers comprised
 of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted
 average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent
 and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Level 3 security. Value has been determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Interest only security. Security represents right to receive monthly interest payments
 on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery
 transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed
 delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued
 and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated.
 The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market
 fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery
 transactions include those designated as To Be Announced ("TBAs") in the Portfolios of Investments. For TBAs, the actual security that will
 be delivered to fulfill the transaction is not designated at the time of the trade. The security is "to be announced" 48 hours prior to the established trade settlement
 date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the
 other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities. Purchases
 of when-issued or delayed delivery securities may have a similar effect on the Fund's NAV as if the Fund's had created a degree of leverage
 in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the
 transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase
 Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed
 upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price,
 including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit
 of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the
 counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of December 31, 2025, the
 Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Security (or a portion thereof) has been pledged as collateral for open derivative
 contracts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Interest rate represents discount rate at time of purchase; not a coupon rate.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| ABS | Asset-Backed Securities |
| CMT | Constant Maturity Treasury |
| MTA | Monthly Treasury Average Interest |
| REMICS | Real Estate Mortgage Investment Conduits |
| SLM | Sallie Mae |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |

---

**Futures Contracts**

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| At December 31, 2025, the Fund had the following open long futures contracts: | At December 31, 2025, the Fund had the following open long futures contracts: | At December 31, 2025, the Fund had the following open long futures contracts: | At December 31, 2025, the Fund had the following open long futures contracts: | At December 31, 2025, the Fund had the following open long futures contracts: | At December 31, 2025, the Fund had the following open long futures contracts: |
| **Financial Futures** | &nbsp;&nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| **Value** | &nbsp;&nbsp; **Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| CBOT 10 Year U.S. Treasury Notes Futures | 3/20/2026 | 176 | &nbsp;&nbsp;&nbsp; $19945918 | &nbsp;&nbsp;&nbsp; $19789000 | &nbsp;&nbsp;&nbsp; $(156918)<br>|
| CBOT 5 Year U.S. Treasury Notes Futures | 3/31/2026 | 167 | &nbsp;&nbsp;&nbsp; 18329723 | &nbsp;&nbsp;&nbsp; 18253883 | &nbsp;&nbsp;&nbsp; (75840)<br>|
| CBOT U.S. Long Bond Futures | 3/20/2026 | 118 | &nbsp;&nbsp;&nbsp; 13843105 | &nbsp;&nbsp;&nbsp; 13640062 | &nbsp;&nbsp;&nbsp; (203043)<br>|
| CBOT Ultra Long-Term U.S. Treasury Bond Futures | 3/20/2026 | 69 | &nbsp;&nbsp;&nbsp; 8338359 | &nbsp;&nbsp;&nbsp; 8142000 | &nbsp;&nbsp;&nbsp; (196359)<br>|
| Ultra 10 Year U.S. Treasury Notes Futures | 3/20/2026 | 920 | &nbsp;&nbsp;&nbsp; 106736183 | &nbsp;&nbsp;&nbsp; 105814375 | &nbsp;&nbsp;&nbsp; (921808)<br>|
| Total |  |  |  |  | &nbsp;&nbsp;&nbsp; $(1553968)<br>|

---

**Fair Value Measurements**

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of each Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Fund's investments as of December 31, 2025, at value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
| Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Home Equity | $— | $66881023 | $980407 | $67861430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Residential Mortgage |  |  | 7022 | 7022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial Mortgage-Backed Securities |  | 100735529 | 3801610 | 104537139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 159226534 | 17791002 | 177017536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities |  | 147900393 | 1300000 | 149200393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Bonds and Notes(a) |  | 991704738 |  | 991704738 |
| Total Bonds and Notes |  | 1466448217 | 23880041 | 1490328258 |
| Collateralized Loan Obligations |  | 64409172 |  | 64409172 |
| Loan Participations(a) |  | 1406319 |  | 1406319 |
| Short-Term Investments |  | 29548133 |  | 29548133 |
| Total Investments | $— | $1561811841 | $23880041 | $1585691882 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
| Futures Contracts (unrealized depreciation) | $(1553968)<br>| $— | $— | $(1553968)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2025 and/or December 31, 2025:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Investments in Securities | Balance as of <br>September 30, <br>2025<br>| Accrued <br>Discounts <br>(Premiums)<br>| Realized <br>Gain (Loss)<br>| Change in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Purchases | Sales | Transfers <br>into <br>Level 3<br>| Transfers <br>out of <br>Level 3<br>| Balance as of <br>December 31, <br>2025<br>| Change in <br>Unrealized <br>Appreciation <br>(Depreciation) <br>from <br>Investments <br>Still Held at <br>December 31, <br>2025<br>|
| Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; ABS Home Equity | $1012556 | $(7400)<br>| $284 | $1646 | $— | $(26679)<br>| $— | $— | $980407 | $405 |
| &nbsp;&nbsp;&nbsp; ABS Residential Mortgage | 7622 |  | 56 | (2)<br>|  | (654)<br>|  |  | 7022 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial <br> Mortgage-Backed <br> Securities<br>| 4194490 | (399800)<br>|  | (49584)<br>| 56504 |  |  |  | 3801610 | (41315)<br>|

---

------

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Investments in Securities | Balance as of<br> September 30,<br> 2025<br>| Accrued<br> Discounts<br> (Premiums)<br>| Realized<br> Gain (Loss)<br>| Change in<br> Unrealized<br> Appreciation<br> (Depreciation)<br>| Purchases | Sales | Transfers<br> into<br> Level 3<br>| Transfers<br> out of<br> Level 3<br>| Balance as of<br> December 31,<br> 2025<br>| Change in<br> Unrealized<br> Appreciation<br> (Depreciation)<br> from<br> Investments<br> Still Held at<br> December 31,<br> 2025<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| $16621031 | $(429051)<br>| $(37826)<br>| $(15433)<br>| $6082 | $(1752337)<br>| $3398536 | $— | $17791002 | $(70802)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial <br> Mortgage-Backed <br> Securities<br>| 1300000 |  |  |  |  |  |  |  | 1300000 |  |
| Total | $23135699 | $(836251)<br>| $(37486)<br>| $(63373)<br>| $62586 | $(1779670)<br>| $3398536 | $— | $23880041 | $(111693)<br>|

---

Debt securities valued at $3,398,536 were transferred from Level 2 to Level 3 during the period ended December 31, 2025. At September 30, 2025, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At December 31, 2025, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.

The significant unobservable inputs used for those securities fair valued by the valuation designee and categorized in Level 3 for Securitized Asset Fund as of December 31, 2025, were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>**Description** |  | &nbsp;&nbsp; **Valuation** <br>**Technique(s)**<br>| **Unobservable Input** | &nbsp;&nbsp; **Unobservable** <br>**Input Value(s)**<br>| **Value** |
| Bonds and Notes | Bonds and Notes | Bonds and Notes | Bonds and Notes | Bonds and Notes | Bonds and Notes |
|  | ABS Home Equity<sup>1</sup> <br>|  |  | 1.00% | &nbsp;&nbsp; $977234 |
|  |  | Market Discount | Discount Rate | 5.00% | &nbsp;&nbsp; 3173 |
|  | ABS Residential Mortgage<sup>1</sup> <br>| Market Discount | Discount Rate | 5.00% | &nbsp;&nbsp; 7022 |
|  | Agency Commercial Mortgage-Backed Securities<sup>1</sup> <br>|  |  | 1.00% | &nbsp;&nbsp; 3518620 |
|  |  | Market Discount | Discount Rate | 3.00% | &nbsp;&nbsp; 282990 |
|  | Collateralized Mortgage Obligations<sup>1</sup> <br>|  |  | 1.00% | &nbsp;&nbsp; 16538084 |
|  |  | Market Discount | Discount Rate | 3.00% | &nbsp;&nbsp; 1252918 |
|  | Non-Agency Commercial Mortgage-Backed Securities<sup>2</sup> <br>| Discounted Cash Flows | Constant Default Rate | 100% |  |
|  |  |  | Loss Severity | 40% |  |
|  |  |  | Lag Time | 24 months |  |
|  |  |  | Loss Adjusted Spread | 11% | &nbsp;&nbsp; 1300000 |
|  | Total |  |  |  | &nbsp;&nbsp; $23880041 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>1</sup> "Odd lot" securities (those with current principal below the normal trading size) are valued using a discount to the "round lot" price for the same security. The significant unobservable input used in the fair value measurement is the discount rate. Discount rates are set at a specific fixed rate depending on the size of the odd lot. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would have resulted in a lower fair value measurement, and vice versa. 

<sup>2</sup> Security is valued using a discounted cash flow model. The significant unobservable inputs used in the fair value measurement are the constant default rate, loss severity, lag time, and loss adjusted spread. Significant changes in input values could have a material effect on the fair value measurement. There is an inverse relationship between the loss severity, lag time, and loss adjusted spread and the fair value measurement, meaning a significant increase in any of those input values in isolation would have resulted in a lower fair value measurement, and vice versa. The constant default rate of 100% is based on the fact that the underlying loan is in default. 

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LOOMIS SAYLES FUNDS I

- **b. Investment Company Act file number:** 811-08282

- **c. CIK number of Registrant:** 0000917469

- **d. LEI of Registrant:** 549300826G7KS737WZ11

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** Loomis Sayles Securitized Asset Fund

- **b. EDGAR series identifier (if any):** S000006639

- **c. LEI of Series:** 549300LK4FBVP0RT7L56

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

- **a. Date of fiscal year-end:** 2026-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1592310570.73

**Total Liabilities:** $5187471.38

**Net Assets:** $1587123099.35

**Delayed Delivery Securities:** $5130289.31

**Cash Not Reported:** $1222458.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2079.41000000 | **1-Year:** -35429.28000000 | **5-Year:** -64487.64000000 | **10-Year:** -8838.62000000 | **30-Year:** -144.51000000

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

- **3-Month:** -444.11000000 | **1-Year:** -6956.54000000 | **5-Year:** -15598.94000000 | **10-Year:** -18096.05000000 | **30-Year:** -3390.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018125 | 0.59%                | 0.96%                | -0.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $264655.61               | $3626732.23                                |
| Month 2  | $-43495.79               | $7220720.45                                |
| Month 3  | $392805.98               | $-5200786.08                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Apollo Aviation Securitization Equity Trust            | AASET 2024-2 Ltd                                                   | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3004049 | PA      | $3044627.84   | 0.19%             | 2049-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                         | ACHV ABS TRUST 2024-1PL                                            | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180003 | PA      | $181949.14    | 0.01%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Altde Trust                                            | ALTDE 2025-1 Trust                                                 | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224660 | PA      | $1249927.30   | 0.08%             | 2050-08-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                 | Accelerated Assets 2018-1 LLC                                      | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    454209 | PA      | $450196.24    | 0.03%             | 2033-12-02      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                    | Affirm Master Trust Series 2025-3                                  | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $319527.04    | 0.02%             | 2034-10-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2024-A                           | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $555840.83    | 0.04%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2024-A                           | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2125000 | PA      | $2128270.38   | 0.13%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2025-X2                          | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317000 | PA      | $317582.65    | 0.02%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                               | Ajax Mortgage Loan Trust 2019-D                                    | CUSIP: 00968FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1071855 | PA      | $1040339.27   | 0.07%             | 2065-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Alinea CLO LTD                                         | Alinea CLO 2018-1 Ltd                                              | CUSIP: 016269AG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5255000 | PA      | $5255746.21   | 0.33%             | 2031-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6032000 | PA      | $5098453.78   | 0.32%             | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2024-1                    | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    908071 | PA      | $915925.94    | 0.06%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust 2025-4                | CUSIP: 024948AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2305000 | PA      | $2315388.17   | 0.15%             | 2030-01-14      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust 2025-1                | CUSIP: 02528DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2425000 | PA      | $2429321.35   | 0.15%             | 2029-03-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust 2022-4                | CUSIP: 02529XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1415000 | PA      | $1426748.05   | 0.09%             | 2029-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                                 | American Tower Trust #1                                            | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |   3725000 | PA      | $3787378.11   | 0.24%             | 2028-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2023-2                    | CUSIP: 03065UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3159957.10   | 0.20%             | 2029-07-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                             | Applebee's Funding LLC / IHOP Funding LLC                          | CUSIP: 03789XAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3996000 | PA      | $4027284.68   | 0.25%             | 2055-06-07      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust 2024-A                                          | CUSIP: 03837DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371608 | PA      | $1384592.79   | 0.09%             | 2050-04-18      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust 2021-A                                          | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3028772 | PA      | $2786560.02   | 0.18%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arixa Mortgage Trust                                   | Arixa Mortgage Trust 2025-RTL1                                     | CUSIP: 04046BAA1<br>LEI: 254900Q4SU6C9E56ZJ68 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $704106.97    | 0.04%             | 2030-08-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                        | AutoNation Finance Trust 2025-1                                    | CUSIP: 05330QAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1057108.62   | 0.07%             | 2030-06-10      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                              | Auxilior Term Funding 2023-1 LLC                                   | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128458 | PA      | $129095.38    | 0.01%             | 2028-12-15      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                         | Avant Credit Card Master Trust 2025-1                              | CUSIP: 05351KAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905000 | PA      | $903110.36    | 0.06%             | 2031-04-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3215000 | PA      | $3321191.45   | 0.21%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $502750.46    | 0.03%             | 2029-08-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2025-2CON                                 | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1038405 | PA      | $1048226.57   | 0.07%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2022-A                                    | CUSIP: 054977AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $488181.67    | 0.03%             | 2035-02-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BCC Middle Market CLO                                  | BCC Middle Market CLO 2019-1 LLC                                   | CUSIP: 05550GAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3245000 | PA      | $3246126.02   | 0.20%             | 2036-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                             | BFLD Commercial Mortgage Trust 2025-660F                           | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1325000 | PA      | $1328725.37   | 0.08%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2025-DELC                                                 | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $690860.78    | 0.04%             | 2042-12-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                             | BMO 2022-C1 Mortgage Trust                                         | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970000 | PA      | $4615742.38   | 0.29%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2022-AHP                              | CUSIP: 05610FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2770000 | PA      | $2767475.15   | 0.17%             | 2039-01-17      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2024-VLT4                                                 | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $719774.64    | 0.05%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2024-VLT5                             | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485000 | PA      | $1503590.42   | 0.09%             | 2046-11-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust              | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 | CUSIP: 06054MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896024 | PA      | $892918.34    | 0.06%             | 2049-07-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK39                                                    | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $4833222.11   | 0.30%             | 2055-02-15      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK25                                                    | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1646681.27   | 0.10%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK20                                                    | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3720000 | PA      | $3519385.61   | 0.22%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK26                                                    | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3649000 | PA      | $3348164.76   | 0.21%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK22                                                    | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525000 | PA      | $3343175.21   | 0.21%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK28                                                    | CUSIP: 06540YAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $694497.51    | 0.04%             | 2063-03-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2021-BNK34                                                    | CUSIP: 06541JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3615000 | PA      | $3197789.60   | 0.20%             | 2063-06-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK42                                                    | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1796790.44   | 0.11%             | 2055-06-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Bank5                                                  | BANK5 Trust 2024-5YR6                                              | CUSIP: 066043AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $2268577.62   | 0.14%             | 2057-05-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| BasePoint MCA Securitization LLC                       | Basepoint Mca Securitization II LLC                                | CUSIP: 06983XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1495000 | PA      | $1496961.44   | 0.09%             | 2031-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B13 Mortgage Trust                                  | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5185000 | PA      | $4926992.33   | 0.31%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B10 Mortgage Trust                                  | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3262153.25   | 0.21%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2025-1CON                                 | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029688 | PA      | $1037059.22   | 0.07%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2025-1CON                                 | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314321 | PA      | $316330.70    | 0.02%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2023-A                                    | CUSIP: 08860FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1825000 | PA      | $1846157.23   | 0.12%             | 2036-04-17      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2024-1CON                                 | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173616 | PA      | $177670.50    | 0.01%             | 2035-04-17      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Bluepeak ABS Issuer                                    | Bluepeak ABS Issuer LLC                                            | CUSIP: 09631QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2620000 | PA      | $2631543.72   | 0.17%             | 2055-12-20      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                                        | BofA Auto Trust 2024-1                                             | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373757 | PA      | $376758.31    | 0.02%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                           | Business Jet Securities 2024-2 LLC                                 | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1979520 | PA      | $1995071.10   | 0.13%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2025-VLT6                                                 | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4470000 | PA      | $4464412.50   | 0.28%             | 2042-03-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CLSEC Holdings 22T LLC                                 | Clsec Holdings 22t LLC                                             | CUSIP: 12567UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2933968 | PA      | $2780103.99   | 0.18%             | 2037-05-11      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL 2019-C18 Commercial Mortgage Trust                           | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405000 | PA      | $2277252.65   | 0.14%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | Commercial Mortgage Pass Through Certificates                      | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338942 | PA      | $1329971.33   | 0.08%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6160000 | PA      | $5658535.34   | 0.36%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1846934.70   | 0.12%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3099192.12   | 0.20%             | 2037-09-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                  | Countrywide Asset-Backed Certificates                              | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7404 | PA      | $7022.25      | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  3 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                          | CALI Mortgage Trust 2019-101C                                      | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $492930.25    | 0.03%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | Carmax Auto Owner Trust 2022-3                                     | CUSIP: 14318MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3030000 | PA      | $3054556.94   | 0.19%             | 2029-01-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | Carmax Auto Owner Trust 2023-3                                     | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $814224.16    | 0.05%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | CarMax Auto Owner Trust 2024-2                                     | CUSIP: 14319EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2325000 | PA      | $2389132.80   | 0.15%             | 2029-11-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                        | CarMax Select Receivables Trust 2025-A                             | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1694271.43   | 0.11%             | 2029-09-17      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                        | Carmax Select Receivables Trust 2025-B                             | CUSIP: 14320BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1725808.61   | 0.11%             | 2031-06-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2022-P3                             | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1611372.80   | 0.10%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2021-N1                             | CUSIP: 14687DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300010 | PA      | $295938.05    | 0.02%             | 2028-01-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2023-P4                             | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1605000 | PA      | $1660415.67   | 0.10%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2021-P2                             | CUSIP: 14687TAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5410000 | PA      | $5330739.17   | 0.34%             | 2027-06-10      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2024-P1                             | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442000 | PA      | $448902.98    | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2025-P2                             | CUSIP: 14688YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125000 | PA      | $1144357.88   | 0.07%             | 2031-06-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2025-P1                             | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4965000 | PA      | $4987089.29   | 0.31%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust               | Castlelake Aircraft Structured Trust 2019-1                        | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   1320094 | PA      | $1311153.23   | 0.08%             | 2039-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust               | Castlelake Aircraft Structured Trust 2021-1                        | CUSIP: 14856GAA8<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |     30565 | PA      | $30305.74     | 0.00%             | 2046-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Cerberus                                               | Cerberus Loan Funding XLVII LLC                                    | CUSIP: 156945AA5<br>LEI: 635400CIDEC6DQX2EU90 | Long             | ABS-CBDO         | CORP              | US        |   3300000 | PA      | $3307949.70   | 0.21%             | 2036-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2024-1                                      | CUSIP: 16144BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1276924.88   | 0.08%             | 2029-11-26      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2024-2                                      | CUSIP: 16144CAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2886135.00   | 0.18%             | 2029-11-26      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2024-4                                      | CUSIP: 16144YAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2257628.12   | 0.14%             | 2030-07-25      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2025-1                                      | CUSIP: 16145NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $981581.80    | 0.06%             | 2030-10-25      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                              | CHI Commercial Mortgage Trust 2025-SFT                             | CUSIP: 16706GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3305000 | PA      | $3387192.71   | 0.21%             | 2042-04-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                      | Citigroup Mortgage Loan Trust 2019-RP1                             | CUSIP: 17327RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1448850 | PA      | $1351645.64   | 0.09%             | 2066-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                        | Citizens Auto Receivables Trust 2023-1                             | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025000 | PA      | $3074141.13   | 0.19%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                              | College Ave Student Loans 2021-A LLC                               | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128358 | PA      | $1036639.54   | 0.07%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                          | Commonbond Student Loan Trust 2020-A-GS                            | CUSIP: 20267WAA3<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |    435572 | PA      | $392216.79    | 0.02%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC                     | Compass Datacenters Issuer II LLC                                  | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765000 | PA      | $1768428.16   | 0.11%             | 2049-08-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC                    | Compass Datacenters Issuer III LLC                                 | CUSIP: 20469BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1392606.88   | 0.09%             | 2050-02-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC                    | Compass Datacenters Issuer III LLC                                 | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1529132.77   | 0.10%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                            | Corevest American Finance 2019-3 Trust                             | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182231 | PA      | $181869.52    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2023-3                           | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221941 | PA      | $223096.90    | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2025-2                           | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $825339.02    | 0.05%             | 2036-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2024-1                           | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105000 | PA      | $1114688.64   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | Crockett Partners Equipment Co IIA LLC                             | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1323307 | PA      | $1346585.25   | 0.08%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                     | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3020000 | PA      | $2947308.90   | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                     | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1463329.31   | 0.09%             | 2049-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                     | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $994489.59    | 0.06%             | 2050-02-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust 2023-3                                         | CUSIP: 23345WAC9<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |   3970000 | PA      | $4003306.32   | 0.25%             | 2029-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II, LLC                                | DataBank Issuer II LLC                                             | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905000 | PA      | $2880394.65   | 0.18%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                           | DC Commercial Mortgage Trust 2023-DC                               | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520000 | PA      | $2594509.09   | 0.16%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                   | Diameter Capital CLO 12 Ltd                                        | CUSIP: 25255YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3125000 | PA      | $3120778.13   | 0.20%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust 2025-1                                | CUSIP: 262102AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $638032.13    | 0.04%             | 2032-09-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                          | DROP Mortgage Trust 2021-FILE                                      | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5365000 | PA      | $5233302.66   | 0.33%             | 2043-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                | Dryden 53 CLO Ltd                                                  | CUSIP: 26243EAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3835000 | PA      | $3835793.85   | 0.24%             | 2031-01-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| EDI ABS Issuer LLC                                     | EDI ABS Issuer 1 LLC                                               | CUSIP: 268332AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1565000 | PA      | $1516032.72   | 0.10%             | 2055-07-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EWC Master Issuer LLC                                  | EWC Master Issuer LLC                                              | CUSIP: 26929HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4752625 | PA      | $4697474.59   | 0.30%             | 2052-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Education Funding Trust                                | Education Funding Trust Trust                                      | CUSIP: 28141PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695460 | PA      | $669389.17    | 0.04%             | 2041-07-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER                             | Elara HGV Timeshare Issuer 2023-A LLC                              | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884221 | PA      | $915581.19    | 0.06%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Eldridge CLO Ltd                                       | Eldridge CLO 2025-1 Ltd                                            | CUSIP: 284913AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3020000 | PA      | $3020389.58   | 0.19%             | 2038-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                       | Empower CLO 2025-1 Ltd                                             | CUSIP: 29249DAA9<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |   1530000 | PA      | $1534951.23   | 0.10%             | 2038-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing 2025-1 LLC                              | CUSIP: 29390HAD1<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |    595000 | PA      | $609620.34    | 0.04%             | 2031-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| EverBright Solar Trust                                 | EverBright Solar Trust 2024-A                                      | CUSIP: 29977FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    699054 | PA      | $667472.14    | 0.04%             | 2054-06-22      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust 2025-ESH                               | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $395616.71    | 0.02%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust 2025-ESH                               | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $210327.92    | 0.01%             | 2042-10-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica      | FRESB 2021-SB90 Mortgage Trust                                     | CUSIP: 30322KAJ2<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  13382003 | PA      | $333293.50    | 0.02%             | 2041-06-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica      | FRESB 2021-SB91 Mortgage Trust                                     | CUSIP: 30322XAE5<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  21830656 | PA      | $576896.93    | 0.04%             | 2041-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                               | FHF Issuer Trust 2025-2                                            | CUSIP: 30343DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2125000 | PA      | $2127069.75   | 0.13%             | 2030-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                 | CUSIP: 31282YDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108059 | PA      | $12779.69     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DPJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6579862 | PA      | $6097999.38   | 0.38%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7147681 | PA      | $6076882.93   | 0.38%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15615770 | PA      | $14902964.94  | 0.94%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DWNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23680715 | PA      | $23123923.14  | 1.46%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132WVVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4334435 | PA      | $3932722.69   | 0.25%             | 2037-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3133B4CT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6008407 | PA      | $5084614.26   | 0.32%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3133JLMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6785803 | PA      | $5607123.21   | 0.35%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3133JLNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1420759 | PA      | $1173956.48   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A1VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282244 | PA      | $257868.13    | 0.02%             | 2040-11-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A36Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523358 | PA      | $52551.23     | 0.00%             | 2042-03-25      | Floating      | 1.96%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A4WJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    895499 | PA      | $119859.48    | 0.01%             | 2042-03-25      | Floating      | 2.51%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A72Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2308300 | PA      | $233631.45    | 0.01%             | 2042-09-25      | Floating      | 2.01%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ADQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972449 | PA      | $52589.79     | 0.00%             | 2042-08-25      | Floating      | 2.16%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AFUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2469414 | PA      | $299294.60    | 0.02%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AGRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396352 | PA      | $347216.10    | 0.02%             | 2043-07-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AGY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033494 | PA      | $127743.43    | 0.01%             | 2043-11-25      | Floating      | 2.61%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AJN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565033 | PA      | $39561.83     | 0.00%             | 2044-05-25      | Floating      | 2.06%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AJZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8157111 | PA      | $800294.08    | 0.05%             | 2044-04-25      | Floating      | 2.06%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AMCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5823946 | PA      | $638590.44    | 0.04%             | 2045-01-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136APE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265557 | PA      | $225846.09    | 0.01%             | 2041-05-25      | Floating      | 1.30%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ARK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4600036 | PA      | $385253.64    | 0.02%             | 2046-04-25      | Floating      | 2.11%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ASUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4847155 | PA      | $278624.17    | 0.02%             | 2034-10-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ATNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6110836 | PA      | $448095.36    | 0.03%             | 2046-09-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ATNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3842922 | PA      | $239836.79    | 0.02%             | 2046-09-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AUAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2464639 | PA      | $237545.52    | 0.01%             | 2046-11-25      | Floating      | 2.11%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AUBA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2529309 | PA      | $179594.53    | 0.01%             | 2046-11-25      | Floating      | 2.11%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AUUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2647326 | PA      | $228165.43    | 0.01%             | 2046-12-25      | Floating      | 2.66%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AWBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3970130 | PA      | $275537.56    | 0.02%             | 2047-04-25      | Floating      | 2.16%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AXPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30246425 | PA      | $1087667.50   | 0.07%             | 2047-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136B56F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22338909 | PA      | $228610.37    | 0.01%             | 2034-08-25      | Variable      | 0.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136B9S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8180582 | PA      | $1491194.10   | 0.09%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BB2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2232085 | PA      | $432637.26    | 0.03%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136BBAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11927222 | PA      | $157045.73    | 0.01%             | 2028-06-25      | Variable      | 1.96%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136BBGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14748068 | PA      | $500593.68    | 0.03%             | 2032-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136BBS94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14637339 | PA      | $782699.49    | 0.05%             | 2034-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BF2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12832871 | PA      | $704226.89    | 0.04%             | 2059-03-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BTZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16296416 | PA      | $16330915.31  | 1.03%             | 2051-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FA2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157640 | PA      | $19145.04     | 0.00%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FAA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147715 | PA      | $16308.65     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FAB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37852 | PA      | $5073.02      | 0.00%             | 2033-02-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99402 | PA      | $11986.65     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91075 | PA      | $14773.52     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210943 | PA      | $35150.90     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89106 | PA      | $16518.89     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96769 | PA      | $14936.33     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137192 | PA      | $24862.86     | 0.00%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FCQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395255 | PA      | $61442.47     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FCUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161511 | PA      | $25245.38     | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120584 | PA      | $17229.58     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60634 | PA      | $8858.55      | 0.00%             | 2035-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80215 | PA      | $12713.85     | 0.00%             | 2037-03-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47158 | PA      | $7945.22      | 0.00%             | 2037-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FER46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99232 | PA      | $5952.93      | 0.00%             | 2036-09-25      | Variable      | 4.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FET44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417162 | PA      | $62608.83     | 0.00%             | 2036-05-25      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149734 | PA      | $26145.62     | 0.00%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60674 | PA      | $6328.28      | 0.00%             | 2037-07-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71131 | PA      | $11625.76     | 0.00%             | 2037-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14603 | PA      | $2494.88      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FFTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11319 | PA      | $2337.92      | 0.00%             | 2038-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137A6WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183907 | PA      | $128569.97    | 0.01%             | 2041-02-15      | Floating      | 0.92%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137AFJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678329 | PA      | $63671.62     | 0.00%             | 2041-09-15      | Floating      | 1.80%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137AQB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    952714 | PA      | $1033645.15   | 0.07%             | 2040-08-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137ATQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559810 | PA      | $24503.03     | 0.00%             | 2032-08-15      | Floating      | 2.05%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137AWM51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3627498 | PA      | $488440.84    | 0.03%             | 2042-11-15      | Floating      | 2.05%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137B8GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1720372 | PA      | $164755.78    | 0.01%             | 2039-06-15      | Floating      | 1.72%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137BLDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901107 | PA      | $165277.64    | 0.01%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BLME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5246771 | PA      | $50.89        | 0.00%             | 2025-08-25      | Variable      | 0.44%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BNGU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4780719 | PA      | $46.37        | 0.00%             | 2026-01-25      | Variable      | 1.22%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13490020 | PA      | $487186.66    | 0.03%             | 2031-01-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6061309 | PA      | $6415.11      | 0.00%             | 2026-03-25      | Variable      | 1.33%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BRQL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23067719 | PA      | $80183.16     | 0.01%             | 2026-07-25      | Variable      | 1.17%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7690992 | PA      | $25534.25     | 0.00%             | 2026-08-25      | Variable      | 0.89%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSRG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21344251 | PA      | $22380.94     | 0.00%             | 2026-09-25      | Variable      | 0.25%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BTAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  83931884 | PA      | $32354.06     | 0.00%             | 2026-10-25      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BWFX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21078393 | PA      | $11934.38     | 0.00%             | 2026-12-25      | Variable      | 0.10%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137BXM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2846008 | PA      | $292799.59    | 0.02%             | 2047-04-15      | Floating      | 2.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137F7E68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2265570 | PA      | $426477.29    | 0.03%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137F8R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113331 | PA      | $20653.56     | 0.00%             | 2044-11-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137F8RE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5777508 | PA      | $877951.30    | 0.06%             | 2042-04-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FCT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1132332 | PA      | $197896.02    | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FF5G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166239 | PA      | $259897.27    | 0.02%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FHQ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 121141783 | PA      | $425159.20    | 0.03%             | 2033-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FKWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28427 | PA      | $28415.30     | 0.00%             | 2028-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FMT69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8778020 | PA      | $949915.17    | 0.06%             | 2047-02-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FNB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9973 | PA      | $9982.50      | 0.00%             | 2029-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3324400 | PA      | $164945.18    | 0.01%             | 2034-08-25      | Variable      | 0.85%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20521208 | PA      | $770304.59    | 0.05%             | 2034-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17831829 | PA      | $379728.80    | 0.02%             | 2029-11-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17120594 | PA      | $879296.58    | 0.06%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11276629 | PA      | $599961.75    | 0.04%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13556715 | PA      | $784459.29    | 0.05%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51468361 | PA      | $5471699.25   | 0.34%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53617880 | PA      | $4821695.13   | 0.30%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FX3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14162025 | PA      | $652605.94    | 0.04%             | 2030-08-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FYQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13851550 | PA      | $894560.81    | 0.06%             | 2048-12-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  95044599 | PA      | $7120883.92   | 0.45%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H5XW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 253672736 | PA      | $2156979.27   | 0.14%             | 2032-01-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137H6RQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251516 | PA      | $9312.45      | 0.00%             | 2052-04-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32618975 | PA      | $557621.38    | 0.04%             | 2032-02-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78994121 | PA      | $1298505.37   | 0.08%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35744144 | PA      | $702493.95    | 0.04%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7MB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45846907 | PA      | $903436.23    | 0.06%             | 2032-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19712282 | PA      | $375067.57    | 0.02%             | 2032-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66288889 | PA      | $988301.04    | 0.06%             | 2032-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50670835 | PA      | $1144350.14   | 0.07%             | 2032-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  81977659 | PA      | $1445020.20   | 0.09%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 102885964 | PA      | $2107063.38   | 0.13%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9JL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100000000 | PA      | $1368160.00   | 0.09%             | 2032-11-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HCLY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12574657 | PA      | $12700393.35  | 0.80%             | 2050-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HH4F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42034765 | PA      | $41947105.70  | 2.64%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HH6W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31301341 | PA      | $31302714.97  | 1.97%             | 2051-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HKSF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9936743 | PA      | $1053394.10   | 0.07%             | 2048-10-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HPN58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9885320.00   | 0.62%             | 2046-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31394DDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444236 | PA      | $425647.43    | 0.03%             | 2035-04-25      | Floating      | 6.81%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31394DR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529763 | PA      | $635721.14    | 0.04%             | 2035-06-25      | Floating      | 9.79%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31394GGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34299 | PA      | $4160.63      | 0.00%             | 2033-07-15      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities               | Freddie Mac Structured Pass-Through Certificates                   | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1734381 | PA      | $1688039.11   | 0.11%             | 2044-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31395D7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477285 | PA      | $586143.94    | 0.04%             | 2036-06-25      | Floating      | 9.57%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31395XQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25675 | PA      | $25022.65     | 0.00%             | 2035-05-15      | Floating      | 7.29%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31396KPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24542 | PA      | $2451.69      | 0.00%             | 2036-08-25      | Floating      | 3.31%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31396RGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1718307 | PA      | $200605.05    | 0.01%             | 2036-05-15      | Floating      | 3.10%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31396YE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147141 | PA      | $198352.76    | 0.01%             | 2036-08-25      | Floating      | 13.06%                | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397BRJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534302 | PA      | $48353.53     | 0.00%             | 2036-10-15      | Floating      | 2.52%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112957 | PA      | $110851.44    | 0.01%             | 2038-11-25      | Variable      | 3.84%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424062 | PA      | $415437.18    | 0.03%             | 2038-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397NNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420843 | PA      | $393855.19    | 0.02%             | 2039-03-25      | Variable      | 2.61%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397RC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590321 | PA      | $55801.30     | 0.00%             | 2038-02-15      | Floating      | 2.15%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397RKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161568 | PA      | $179142.93    | 0.01%             | 2038-02-15      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397RL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151612 | PA      | $156766.19    | 0.01%             | 2038-02-15      | Floating      | 6.61%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397UJQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1829745 | PA      | $149308.21    | 0.01%             | 2041-06-25      | Floating      | 1.86%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641078 | PA      | $601947.50    | 0.04%             | 2048-06-15      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31398QSU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778192 | PA      | $69894.22     | 0.00%             | 2040-10-15      | Floating      | 2.40%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31398TKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44633 | PA      | $40926.60     | 0.00%             | 2039-12-25      | Variable      | 1.91%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154465 | PA      | $157688.37    | 0.01%             | 2036-12-15      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11762378 | PA      | $9685038.21   | 0.61%             | 2063-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14452126 | PA      | $12511941.21  | 0.79%             | 2063-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14790874 | PA      | $13480895.86  | 0.85%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58760202 | PA      | $48382912.22  | 3.05%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16246153 | PA      | $14065083.21  | 0.89%             | 2064-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23443111 | PA      | $21366472.21  | 1.35%             | 2064-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8416117 | PA      | $6929858.28   | 0.44%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  94721850 | PA      | $77827261.20  | 4.90%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19119785 | PA      | $15743279.62  | 0.99%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37995051 | PA      | $31285333.18  | 1.97%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  73906403 | PA      | $60764957.37  | 3.83%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32557481 | PA      | $29583063.67  | 1.86%             | 2062-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2902653 | PA      | $2507138.59   | 0.16%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140JVVH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753589 | PA      | $1567201.54   | 0.10%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140KQ5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3588657 | PA      | $3058210.51   | 0.19%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140KQTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1101687 | PA      | $871857.34    | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140KVD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289161 | PA      | $228830.81    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140MGSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4948688 | PA      | $4200199.16   | 0.26%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11838030 | PA      | $10013479.07  | 0.63%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  74338123 | PA      | $62908636.62  | 3.96%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30495222 | PA      | $27212364.95  | 1.71%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QNGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29223147 | PA      | $26033791.50  | 1.64%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QPKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25531216 | PA      | $22627389.64  | 1.43%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8327557 | PA      | $7067093.67   | 0.45%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140XRFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1844573 | PA      | $1563099.39   | 0.10%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140Y6YM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29090757 | PA      | $29577732.03  | 1.86%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31417A6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442608 | PA      | $422164.90    | 0.03%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462066 | PA      | $1322138.51   | 0.08%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8566477 | PA      | $8689913.12   | 0.55%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31418FQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9521631 | PA      | $9890755.34   | 0.62%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 31427N4D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18101501 | PA      | $18631372.70  | 1.17%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 31427N7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7888424 | PA      | $8094994.15   | 0.51%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 31427NNM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18336100 | PA      | $19068682.64  | 1.20%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust 2025-1                            | CUSIP: 32059WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $935636.74    | 0.06%             | 2031-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                         | FirstKey Homes 2021-SFR2 Trust                                     | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5430000 | PA      | $5313962.53   | 0.33%             | 2038-09-17      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                         | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3665450.49   | 0.23%             | 2038-08-17      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                         | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2495000 | PA      | $2448741.20   | 0.15%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2023-2                                  | CUSIP: 33843EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4705000 | PA      | $4705984.76   | 0.30%             | 2028-05-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2024-1                                  | CUSIP: 33843VAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1235000 | PA      | $1238688.95   | 0.08%             | 2028-10-16      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2024-3                                  | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1101109 | PA      | $1100197.72   | 0.07%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2022-1                                  | CUSIP: 33845VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1603694 | PA      | $1592219.62   | 0.10%             | 2028-03-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust               | Ford Credit Floorplan Master Owner Trust A                         | CUSIP: 34528QHY3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $331496.72    | 0.02%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit               | Ford Credit Auto Owner Trust 2023-REV2                             | CUSIP: 34535CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920000 | PA      | $957883.85    | 0.06%             | 2036-02-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust 2024-1                                    | CUSIP: 349941AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506663 | PA      | $523311.74    | 0.03%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust 2023-2                                    | CUSIP: 35042RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2508973 | PA      | $2626957.08   | 0.17%             | 2049-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust         | Foursight Capital Automobile Receivables Trust 2023-2              | CUSIP: 35104AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1768993.45   | 0.11%             | 2028-11-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust         | Foursight Capital Automobile Receivables Trust 2024-1              | CUSIP: 35105AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $132032.00    | 0.01%             | 2029-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust         | Foursight Capital Automobile Receivables Trust 2023-1              | CUSIP: 35105NAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1556352.47   | 0.10%             | 2030-02-15      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica      | FRESB 2022-SB95 Mortgage Trust                                     | CUSIP: 35802DAD9<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  81711227 | PA      | $1192510.00   | 0.08%             | 2041-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                    | Frontier Issuer LLC                                                | CUSIP: 35910EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2383000 | PA      | $2406706.08   | 0.15%             | 2053-08-20      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                    | Frontier Issuer LLC                                                | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1615000 | PA      | $1664538.51   | 0.10%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GECU Auto Receivables Trust                            | GECU Auto Receivables Trust 2023-1                                 | CUSIP: 36169EAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2440000 | PA      | $2483251.44   | 0.16%             | 2029-10-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| GGAM Master Trust US LLC                               | GGAM Master Trust International Ltd                                | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2020000 | PA      | $2030833.06   | 0.13%             | 2060-09-30      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2012-BWTR                        | CUSIP: 36192RAA0<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |   3502953 | PA      | $3075768.98   | 0.19%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2013-PEMB                        | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   5775000 | PA      | $4129125.00   | 0.26%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                 | CUSIP: 3620ACDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8 | PA      | $8.29         | 0.00%             | 2059-11-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1861174.40   | 0.12%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2373000 | PA      | $1342613.03   | 0.08%             | 2047-06-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2020-GC45                             | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2406513.88   | 0.15%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2019-GSA1                             | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4740727.00   | 0.30%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2023-SHIP                        | CUSIP: 36270GAA9<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $519223.38    | 0.03%             | 2038-09-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust 2025-1                           | CUSIP: 36271FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $184004.28    | 0.01%             | 2031-02-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2025-1                           | CUSIP: 36271KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4070000 | PA      | $4111086.65   | 0.26%             | 2029-07-16      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                  | GM Financial Automobile Leasing Trust 2025-1                       | CUSIP: 36271VAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $2107169.81   | 0.13%             | 2029-02-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust 2025-3                           | CUSIP: 36272GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010495 | PA      | $1017181.83   | 0.06%             | 2030-10-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Issuer Trust 2025-4                    | CUSIP: 36273DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110000 | PA      | $1115437.56   | 0.07%             | 2031-12-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2025-4                           | CUSIP: 36273HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $426260.55    | 0.03%             | 2029-07-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr      | GM Financial Consumer Automobile Receivables Trust 2025-1          | CUSIP: 362955AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $500242.47    | 0.03%             | 2030-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Garnet CLO Ltd                                         | Garnet CLO 2 Ltd                                                   | CUSIP: 36626CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3290000 | PA      | $3296543.81   | 0.21%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL                                  | Global SC Finance X Ltd                                            | CUSIP: 37893FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2374413 | PA      | $2374788.20   | 0.15%             | 2045-09-20      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2024-3                           | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    651000 | PA      | $657108.98    | 0.04%             | 2031-02-18      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust 2024-3                           | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1780000 | PA      | $1821937.51   | 0.11%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2025-3                           | CUSIP: 37989YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $833778.16    | 0.05%             | 2030-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr      | GM Financial Consumer Automobile Receivables Trust 2024-2          | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970768 | PA      | $978996.50    | 0.06%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38373M8V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3551008 | PA      | $396.11       | 0.00%             | 2049-10-16      | Variable      | 0.23%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38373MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2465796 | PA      | $23674.97     | 0.00%             | 2046-04-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38373MWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1209263 | PA      | $21852.24     | 0.00%             | 2046-08-16      | Variable      | 0.94%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537459 | PA      | $20157.93     | 0.00%             | 2063-06-20      | Variable      | 1.34%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B4X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1082785 | PA      | $27596.66     | 0.00%             | 2063-07-20      | Variable      | 1.49%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B6D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25360 | PA      | $24648.43     | 0.00%             | 2063-08-20      | Floating      | 4.71%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B7G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151444 | PA      | $14000.62     | 0.00%             | 2063-07-20      | Variable      | 2.01%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B7Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142181 | PA      | $2386.07      | 0.00%             | 2063-08-20      | Variable      | 1.41%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24740 | PA      | $24563.33     | 0.00%             | 2060-02-20      | Floating      | 4.71%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75266 | PA      | $72832.40     | 0.00%             | 2063-01-20      | Floating      | 4.43%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19926 | PA      | $19670.38     | 0.00%             | 2060-10-20      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BHR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13525 | PA      | $12952.75     | 0.00%             | 2059-05-20      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30366 | PA      | $30068.76     | 0.00%             | 2060-12-20      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10224 | PA      | $10123.90     | 0.00%             | 2061-03-20      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10006 | PA      | $9923.66      | 0.00%             | 2061-10-20      | Floating      | 4.71%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23743 | PA      | $23053.10     | 0.00%             | 2061-10-20      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4212 | PA      | $3805.83      | 0.00%             | 2062-05-20      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BVA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30143 | PA      | $29579.20     | 0.00%             | 2061-01-20      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1933 | PA      | $1916.02      | 0.00%             | 2062-10-20      | Floating      | 4.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26858 | PA      | $26051.46     | 0.00%             | 2063-04-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375URS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257248 | PA      | $10174.60     | 0.00%             | 2064-09-20      | Variable      | 0.93%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375UTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818877 | PA      | $812909.69    | 0.05%             | 2064-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376G3S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364617 | PA      | $1186.02      | 0.00%             | 2051-08-16      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376GHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209368 | PA      | $8112.40      | 0.00%             | 2052-10-16      | Variable      | 1.45%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376GL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474525 | PA      | $3167.71      | 0.00%             | 2053-04-16      | Variable      | 0.53%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376GVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1519976 | PA      | $21359.01     | 0.00%             | 2052-12-16      | Variable      | 1.01%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153656 | PA      | $147815.91    | 0.01%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5781 | PA      | $5533.21      | 0.00%             | 2063-05-20      | Floating      | 4.39%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RFZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4515 | PA      | $4340.81      | 0.00%             | 2063-04-20      | Floating      | 4.31%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4805 | PA      | $4659.73      | 0.00%             | 2065-03-20      | Variable      | 4.70%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2515 | PA      | $2442.84      | 0.00%             | 2061-08-20      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RLZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158606 | PA      | $155783.70    | 0.01%             | 2065-09-20      | Variable      | 4.49%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       245 | PA      | $237.97       | 0.00%             | 2065-10-20      | Floating      | 4.81%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3556148 | PA      | $125107.57    | 0.01%             | 2066-01-20      | Variable      | 1.74%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4891186 | PA      | $191018.03    | 0.01%             | 2066-04-20      | Variable      | 2.22%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712046 | PA      | $32434.68     | 0.00%             | 2067-01-20      | Variable      | 2.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RVY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93285 | PA      | $90079.60     | 0.01%             | 2063-08-20      | Variable      | 4.40%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971617 | PA      | $938927.33    | 0.06%             | 2066-03-20      | Fixed         | 2.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RZL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22820 | PA      | $21932.38     | 0.00%             | 2066-08-20      | Variable      | 4.47%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13057 | PA      | $12688.16     | 0.00%             | 2061-06-20      | Variable      | 4.90%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BDB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3315423 | PA      | $22284.35     | 0.00%             | 2053-06-16      | Variable      | 0.24%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BR92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15684535 | PA      | $42126.62     | 0.00%             | 2054-04-16      | Variable      | 0.15%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3360537 | PA      | $32.60        | 0.00%             | 2052-04-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3048154 | PA      | $26130.51     | 0.00%             | 2053-03-16      | Variable      | 0.40%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7642380 | PA      | $67613.21     | 0.00%             | 2052-09-16      | Variable      | 0.41%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378N4L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4249041 | PA      | $58338.95     | 0.00%             | 2049-03-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378N8E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3128166 | PA      | $32062.36     | 0.00%             | 2056-04-16      | Variable      | 0.40%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378NHQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714857 | PA      | $932.36       | 0.00%             | 2055-05-16      | Variable      | 0.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378NYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2085802 | PA      | $20.23        | 0.00%             | 2054-01-16      | Variable      | 0.23%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378TAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653355 | PA      | $607893.82    | 0.04%             | 2043-05-20      | Floating      | 4.85%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378U8M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57983 | PA      | $56448.07     | 0.00%             | 2064-11-20      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6412836 | PA      | $87151.92     | 0.01%             | 2051-02-16      | Variable      | 0.45%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378XFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2001429 | PA      | $26618.53     | 0.00%             | 2056-04-16      | Variable      | 0.52%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378XQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8910540 | PA      | $29240.92     | 0.00%             | 2054-08-16      | Variable      | 0.18%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379K2B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8273736 | PA      | $25886.37     | 0.00%             | 2055-07-16      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379K6Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5021308 | PA      | $157578.22    | 0.01%             | 2055-11-16      | Variable      | 0.82%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3114997 | PA      | $83727.70     | 0.01%             | 2056-07-16      | Variable      | 0.67%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12536918 | PA      | $232532.87    | 0.01%             | 2057-03-16      | Variable      | 0.58%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KGH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9909961 | PA      | $204421.09    | 0.01%             | 2049-09-16      | Variable      | 0.57%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3934224 | PA      | $43217.60     | 0.00%             | 2055-11-16      | Variable      | 0.41%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7515023 | PA      | $87492.91     | 0.01%             | 2057-07-16      | Variable      | 0.32%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10050653 | PA      | $187773.24    | 0.01%             | 2049-12-16      | Variable      | 0.56%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379RY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3283905 | PA      | $155713.69    | 0.01%             | 2056-12-16      | Variable      | 0.84%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379RZU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18829903 | PA      | $716012.72    | 0.05%             | 2059-01-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379UAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4896206 | PA      | $128888.22    | 0.01%             | 2057-01-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379US56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6182910 | PA      | $300361.42    | 0.02%             | 2056-10-16      | Fixed         | 0.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379VRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282004 | PA      | $282612.57    | 0.02%             | 2037-07-20      | Variable      | 5.52%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379Y6J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15381886 | PA      | $314712.31    | 0.02%             | 2056-07-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380CG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2503687 | PA      | $220855.17    | 0.01%             | 2047-02-20      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380JDW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20205540 | PA      | $709444.78    | 0.04%             | 2059-12-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380JLX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10289275 | PA      | $436851.74    | 0.03%             | 2059-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380LGT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140205 | PA      | $134778.87    | 0.01%             | 2068-08-20      | Variable      | 4.67%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380LQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2161305 | PA      | $2089360.53   | 0.13%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380LXE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389145 | PA      | $383746.68    | 0.02%             | 2069-07-20      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MBL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18344118 | PA      | $578830.29    | 0.04%             | 2060-08-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7057661 | PA      | $263056.74    | 0.02%             | 2060-01-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4142602 | PA      | $270192.94    | 0.02%             | 2058-06-16      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11436772 | PA      | $437200.35    | 0.03%             | 2060-07-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11202243 | PA      | $578371.78    | 0.04%             | 2060-10-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380N6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31432915 | PA      | $1445103.11   | 0.09%             | 2061-10-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380NDZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9204966 | PA      | $543706.07    | 0.03%             | 2060-12-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380NJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6814446 | PA      | $414593.98    | 0.03%             | 2061-08-16      | Variable      | 0.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380NMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16605219 | PA      | $737653.66    | 0.05%             | 2061-12-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380P3W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29097345 | PA      | $2032749.25   | 0.13%             | 2060-08-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380P4H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18305928 | PA      | $1216670.53   | 0.08%             | 2062-10-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380P6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38589814 | PA      | $2806177.96   | 0.18%             | 2062-08-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43623203 | PA      | $2495744.51   | 0.16%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380QCU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    788345 | PA      | $770709.05    | 0.05%             | 2067-07-20      | Fixed         | 1.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380QS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3718570 | PA      | $33809.84     | 0.00%             | 2068-01-20      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22055609 | PA      | $193305.72    | 0.01%             | 2070-04-20      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15313138 | PA      | $966612.77    | 0.06%             | 2063-01-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28591167 | PA      | $1720044.62   | 0.11%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35106987 | PA      | $2355959.68   | 0.15%             | 2062-09-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RGX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33390716 | PA      | $2578631.40   | 0.16%             | 2062-09-16      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RHZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38856667 | PA      | $2630642.98   | 0.17%             | 2062-10-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43854972 | PA      | $2377233.32   | 0.15%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8769501 | PA      | $611699.01    | 0.04%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38798150 | PA      | $2464691.31   | 0.16%             | 2063-03-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32869780 | PA      | $2093778.72   | 0.13%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34023478 | PA      | $2683193.56   | 0.17%             | 2062-08-16      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380XAG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26931207 | PA      | $751860.04    | 0.05%             | 2058-05-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381D2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  47743693 | PA      | $2752672.19   | 0.17%             | 2064-03-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19531258 | PA      | $1374043.56   | 0.09%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DK58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10664060 | PA      | $606155.86    | 0.04%             | 2061-07-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44601547 | PA      | $2862304.25   | 0.18%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39482634 | PA      | $2583506.65   | 0.16%             | 2063-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50572861 | PA      | $3063703.93   | 0.19%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52119802 | PA      | $3536589.17   | 0.22%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42226979 | PA      | $2704359.31   | 0.17%             | 2061-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381EVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26899682 | PA      | $1511934.31   | 0.10%             | 2064-06-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381TB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733888 | PA      | $718217.82    | 0.05%             | 2069-04-20      | Variable      | 2.80%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381TRX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1751112 | PA      | $161644.59    | 0.01%             | 2049-04-20      | Floating      | 2.20%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381TYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6928671 | PA      | $6614197.12   | 0.42%             | 2049-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381VZ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7226757 | PA      | $759243.12    | 0.05%             | 2043-08-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381Y4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324000 | PA      | $246571.20    | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381YLF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280000 | PA      | $214368.46    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382BYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8447001 | PA      | $929491.15    | 0.06%             | 2044-02-20      | Floating      | 1.70%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382EEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10928712 | PA      | $2330258.13   | 0.15%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382JZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1852895 | PA      | $352020.21    | 0.02%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382KYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9563379 | PA      | $1907167.27   | 0.12%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382KYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4075853 | PA      | $846693.98    | 0.05%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382YBK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1331568 | PA      | $1327495.83   | 0.08%             | 2071-07-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382YHA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615768 | PA      | $20447.80     | 0.00%             | 2070-03-20      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382YHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    782740 | PA      | $762252.34    | 0.05%             | 2071-10-20      | Variable      | 2.85%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38383K6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44711672 | PA      | $3272134.31   | 0.21%             | 2075-01-20      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38383K6S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17667653 | PA      | $1283431.30   | 0.08%             | 2075-01-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12008351 | PA      | $924775.12    | 0.06%             | 2075-01-20      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14884453 | PA      | $1065592.88   | 0.07%             | 2075-02-20      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33123838 | PA      | $2507010.77   | 0.16%             | 2075-02-20      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LNU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14273457 | PA      | $972456.35    | 0.06%             | 2075-05-20      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26165631 | PA      | $1667745.01   | 0.11%             | 2075-05-20      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LQP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48479532 | PA      | $2875437.40   | 0.18%             | 2075-07-20      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LYB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21891049 | PA      | $1565428.89   | 0.10%             | 2075-10-20      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust 2025-1                      | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373892 | PA      | $379510.14    | 0.02%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust 2024-2                      | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165353 | PA      | $168093.50    | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust 2004-3                              | CUSIP: 41161PEC3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    548491 | PA      | $517437.32    | 0.03%             | 2034-05-19      | Variable      | 5.46%                 | No            |                  3 | On Loan: No      |
| CKE Restaurants Holdings Inc                           | Hardee's Funding LLC                                               | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186675 | PA      | $192952.82    | 0.01%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2024-2                                | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1925128 | PA      | $1965686.98   | 0.12%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2024-1B                               | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199709 | PA      | $204482.21    | 0.01%             | 2039-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2020-A                                | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023341 | PA      | $1010186.21   | 0.06%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2023-1                                | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1453378 | PA      | $1486928.54   | 0.09%             | 2038-01-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America 2021-1 Trust                              | CUSIP: 437300AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358638 | PA      | $1233678.19   | 0.08%             | 2041-09-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance I Limited                     | Horizon Aircraft Finance II Ltd                                    | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | KY        |    200821 | PA      | $197958.58    | 0.01%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                             | Hudsons Bay Simon JV Trust 2015-HBS                                | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $5879359.82   | 0.37%             | 2034-08-05      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                           | Huntington Bank Auto Credit-Linked Notes Series 2024-1             | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215444 | PA      | $218704.36    | 0.01%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                         | Hyundai Auto Receivables Trust 2025-A                              | CUSIP: 44935CAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835000 | PA      | $841640.76    | 0.05%             | 2032-06-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Imprint Payments Credit Card Master Trust              | Imprint Payments Credit Card Master Trust                          | CUSIP: 45333GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1645000 | PA      | $1648781.03   | 0.10%             | 2029-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                            | Island Finance Trust 2025-1                                        | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $410480.87    | 0.03%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1      | CUSIP: 46590KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2969000 | PA      | $2933941.16   | 0.18%             | 2049-01-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2025-BMS      | CUSIP: 46596CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3348949.44   | 0.21%             | 2042-01-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9      | CUSIP: 46639EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526672 | PA      | $511382.37    | 0.03%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2014-C25                | CUSIP: 46643PBJ8<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $708151.10    | 0.04%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2017-4                                    | CUSIP: 46648UAQ7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   7875985 | PA      | $94240.41     | 0.01%             | 2048-11-25      | Variable      | 0.37%                 | No            |                  3 | On Loan: No      |
| Kestrel Aircraft Funding Limited                       | Kestrel Aircraft Funding Ltd                                       | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    332529 | PA      | $332485.41    | 0.02%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                    | LCM 30 Ltd                                                         | CUSIP: 50200YAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3005000 | PA      | $3006007.58   | 0.19%             | 2031-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2024-3                                  | CUSIP: 505709AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $344327.38    | 0.02%             | 2030-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2025-1                                  | CUSIP: 505712AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1270581.25   | 0.08%             | 2030-04-15      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2025-2                                  | CUSIP: 505912AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910000 | PA      | $1914597.37   | 0.12%             | 2032-05-17      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2024-2                                  | CUSIP: 505920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $1062261.38   | 0.07%             | 2029-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2020-RPL1                              | CUSIP: 52474HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $4118766.31   | 0.26%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust 2025-3                                      | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2330000 | PA      | $2326586.55   | 0.15%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust 2023-2                               | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3586425 | PA      | $3633441.30   | 0.23%             | 2028-10-16      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                       | LEX 2024-BBG Mortgage Trust                                        | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $603538.26    | 0.04%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| M&T Bank Auto Receivables Trust                        | M&T Bank Auto Receivables Trust 2025-1                             | CUSIP: 55287XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560000 | PA      | $1594965.84   | 0.10%             | 2032-07-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Maps LTD                                               | MAPS 2021-1 Trust                                                  | CUSIP: 55292RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597448 | PA      | $572424.75    | 0.04%             | 2046-06-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | MSBAM Commercial Mortgage Securities Trust 2012-CKSV               | CUSIP: 553514AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1049902 | PA      | $1007895.36   | 0.06%             | 2030-10-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                        | MVW 2024-2 LLC                                                     | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014684 | PA      | $1014624.72   | 0.06%             | 2042-03-20      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                        | MVW 2021-1W LLC                                                    | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139300 | PA      | $134566.16    | 0.01%             | 2041-01-22      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Mach I                                                 | MACH 1 Cayman 2019-1 Ltd                                           | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    532948 | PA      | $528333.06    | 0.03%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust 2024-A                              | CUSIP: 567928AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1345000 | PA      | $1370126.35   | 0.09%             | 2036-09-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust 2025-B                              | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1413744.96   | 0.09%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                 | Marlette Funding Trust 2024-1                                      | CUSIP: 57108VAB8<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |    141981 | PA      | $142525.89    | 0.01%             | 2034-07-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority          | Massachusetts Educational Financing Authority                      | CUSIP: 57563NAB4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-O            | CORP              | US        |    862912 | PA      | $855774.13    | 0.05%             | 2033-05-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC                                        | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    816081 | PA      | $820197.74    | 0.05%             | 2036-05-20      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust                         | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1376402.01   | 0.09%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                     | MetroNet Infrastructure Issuer LLC                                 | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   1295000 | PA      | $1311228.94   | 0.08%             | 2055-08-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                     | MetroNet Infrastructure Issuer LLC                                 | CUSIP: 59170JAZ1<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1642879.93   | 0.10%             | 2055-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Trust 2015-2                                    | CUSIP: 599808BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4006000 | PA      | $3911038.57   | 0.25%             | 2057-09-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2018-2                               | CUSIP: 59980MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603172 | PA      | $595852.19    | 0.04%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2018-3                               | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259519 | PA      | $256879.18    | 0.02%             | 2058-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646966 | PA      | $1574623.81   | 0.10%             | 2069-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2021-NMR1                            | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450894 | PA      | $435011.94    | 0.03%             | 2060-11-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                  | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MAY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3344000 | PA      | $3365007.34   | 0.21%             | 2029-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                  | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MBE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1920000 | PA      | $1933310.98   | 0.12%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                             | MMAF Equipment Finance LLC 2020-A                                  | CUSIP: 60700MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $295405.01    | 0.02%             | 2042-10-09      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2013-ALTM                           | CUSIP: 61690LAC4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3160580 | PA      | $3034124.84   | 0.19%             | 2035-02-05      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2017-H1                             | CUSIP: 61691JAV6<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3399917 | PA      | $3368808.78   | 0.21%             | 2050-06-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2019-L3                             | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5509217.98   | 0.35%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2021-L5                             | CUSIP: 61691YAJ0<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $1897174.65   | 0.12%             | 2054-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2011-C2                             | CUSIP: 617459AJ1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    290462 | PA      | $287641.76    | 0.02%             | 2044-06-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                 | Mosaic Solar Loan Trust 2024-1                                     | CUSIP: 618937AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360332 | PA      | $349624.28    | 0.02%             | 2049-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                 | Mosaic Solar Loan Trust 2024-2                                     | CUSIP: 61947BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2632398 | PA      | $2591221.71   | 0.16%             | 2052-04-22      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                             | NLT 2023-1 Trust                                                   | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089432 | PA      | $1003750.55   | 0.06%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                           | NY Commercial Mortgage Trust 2025-299P                             | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3180000 | PA      | $3342203.21   | 0.21%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-H                   | CUSIP: 63935BAB9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $823492.85    | 0.05%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2019-C                   | CUSIP: 63940YAB2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    363898 | PA      | $360255.56    | 0.02%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-B                   | CUSIP: 63941GAB0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    388706 | PA      | $373308.05    | 0.02%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    650034 | PA      | $618935.93    | 0.04%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAB8<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1565000 | PA      | $1393778.51   | 0.09%             | 2069-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2019-G                   | CUSIP: 63941JAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    391511 | PA      | $382220.60    | 0.02%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-G                   | CUSIP: 63941UAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    665235 | PA      | $627864.59    | 0.04%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-A                   | CUSIP: 63942BAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    827114 | PA      | $759942.72    | 0.05%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-G                   | CUSIP: 63942KAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1093034 | PA      | $992867.26    | 0.06%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-B                   | CUSIP: 63942LAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    699735 | PA      | $641615.42    | 0.04%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                              | Nelnet Student Loan Trust 2021-A                                   | CUSIP: 64035DAE6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1463877.25   | 0.09%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                            | Continental Finance Credit Card ABS Master Trust                   | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1238295.12   | 0.08%             | 2035-12-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2018-EXP1 Trust                                                | CUSIP: 67097VAC8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     83456 | PA      | $79623.07     | 0.01%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                               | OHA Credit Funding 3 LTD                                           | CUSIP: 67112RBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4205000 | PA      | $4216626.83   | 0.27%             | 2038-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                | NYMT Loan Trust 2024-CP1                                           | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    616281 | PA      | $575198.09    | 0.04%             | 2068-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                | NYMT Loan Trust Series 2024-BPL3                                   | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1623776.54   | 0.10%             | 2039-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                        | Octagon Investment Partners 18-R Ltd                               | CUSIP: 67576FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $2040882.30   | 0.13%             | 2031-04-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust 2024-2                                    | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $589264.34    | 0.04%             | 2032-07-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust 2025-1                                    | CUSIP: 67580EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $741278.72    | 0.05%             | 2031-06-20      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | OWN Equipment Fund II LLC                                          | CUSIP: 690912AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632682 | PA      | $636371.44    | 0.04%             | 2033-09-26      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | OWN Equipment Fund I LLC                                           | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2149826 | PA      | $2182822.01   | 0.14%             | 2032-12-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | OWN Equipment Fund III LLC                                         | CUSIP: 69122AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1357850.25   | 0.09%             | 2034-03-27      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2024-RCF1 LLC                                                 | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324279 | PA      | $320605.66    | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2023-RCF2 LLC                                                 | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201495 | PA      | $199762.86    | 0.01%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2024-RCF2 LLC                                                 | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908142 | PA      | $894720.22    | 0.06%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square BDC CLO Ltd                              | Palmer Square BDC CLO 1 Ltd                                        | CUSIP: 696928AC4<br>LEI: 254900LU0WIJ7Y0O9X14 | Long             | ABS-CBDO         | CORP              | KY        |   2455000 | PA      | $2465446.03   | 0.16%             | 2037-07-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                    | PenFed Auto Receivables Owner Trust 2025-A                         | CUSIP: 706916AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895000 | PA      | $897721.70    | 0.06%             | 2031-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Polen Capital CLO Ltd                                  | Polen Capital CLO 2025-2 Ltd                                       | CUSIP: 73110AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2940000 | PA      | $2940973.14   | 0.19%             | 2039-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Polen Capital CLO Ltd                                  | Polen Capital CLO 2025-1 Ltd                                       | CUSIP: 73110MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1906194.00   | 0.12%             | 2038-03-06      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                           | Post CLO 2022-1 LTD                                                | CUSIP: 73742YAA3<br>LEI: 5493007CUC7FI0ONIF25 | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3803674.60   | 0.24%             | 2035-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                        | Prestige Auto Receivables Trust 2023-2                             | CUSIP: 74113VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290151 | PA      | $1290259.81   | 0.08%             | 2027-12-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR5 Trust                               | CUSIP: 74333FAC3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $818929.46    | 0.05%             | 2038-07-17      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust                                         | CUSIP: 74333HAE5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1692522.52   | 0.11%             | 2038-07-17      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR9 Trust                               | CUSIP: 74333QAE5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   5450000 | PA      | $5096026.86   | 0.32%             | 2040-11-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR3                                     | CUSIP: 74333VAC8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1892000 | PA      | $1876345.40   | 0.12%             | 2026-05-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2006-QS6 Trust                                         | CUSIP: 74922EAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112 | PA      | $0.01         | 0.00%             | 2062-04-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2006-QS18 Trust                                        | CUSIP: 74922RAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6954 | PA      | $2966.49      | 0.00%             | 2056-06-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| RFR Trust                                              | RFR Trust 2025-SGRM                                                | CUSIP: 74984NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3115000 | PA      | $3187645.85   | 0.20%             | 2041-03-11      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2006-QS13 Trust                                        | CUSIP: 75115DAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       484 | PA      | $206.96       | 0.00%             | 2061-11-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| Reach Financial LLC                                    | Reach ABS Trust 2025-1                                             | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237671 | PA      | $238560.31    | 0.02%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Red Oak Funding Master Trust                           | Red Oak Funding Master Trust                                       | CUSIP: 75679JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250192.00    | 0.02%             | 2030-12-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust 2024-1                          | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690000 | PA      | $703800.00    | 0.04%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust 2024-2                          | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $404163.08    | 0.03%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust 2025-2                          | CUSIP: 75908BAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1515000 | PA      | $1510501.97   | 0.10%             | 2037-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust 2024-A                             | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055000 | PA      | $1065684.83   | 0.07%             | 2032-08-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust 2021-A                             | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1824274 | PA      | $1817663.74   | 0.11%             | 2031-12-22      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd                                  | Rockland Park CLO Ltd                                              | CUSIP: 773663AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7650000 | PA      | $7666562.25   | 0.48%             | 2038-07-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust              | SFS Auto Receivables Securitization Trust 2023-1                   | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $128564.81    | 0.01%             | 2031-02-20      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust              | SFS Auto Receivables Securitization Trust 2025-3                   | CUSIP: 78398KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510000 | PA      | $1514512.18   | 0.10%             | 2031-11-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SF ABS Issuer LLC                                      | SF Abs Issuer LLC                                                  | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3195000 | PA      | $3125457.63   | 0.20%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                        | SEB Funding LLC                                                    | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    738150 | PA      | $737207.31    | 0.05%             | 2052-01-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                        | SEB Funding LLC                                                    | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2439582.16   | 0.15%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                | SCF Equipment Leasing 2025-1 LLC                                   | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3820000 | PA      | $3903891.02   | 0.25%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                            | SBNA Auto Receivables Trust 2024-A                                 | CUSIP: 78437PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $203274.00    | 0.01%             | 2030-01-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                  | SBNA Auto Lease Trust 2024-B                                       | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $718789.09    | 0.05%             | 2028-12-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                | SCF Equipment Leasing 2025-2 LLC                                   | CUSIP: 78439XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1218056.54   | 0.08%             | 2036-06-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAJ3<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |    227000 | PA      | $215354.45    | 0.01%             | 2032-06-15      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAK0<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $48554.40     | 0.00%             | 2032-06-15      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAN4<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |     89000 | PA      | $84542.35     | 0.01%             | 2033-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAP9<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |   1336000 | PA      | $1269085.10   | 0.08%             | 2033-03-15      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBA1<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $104681.61    | 0.01%             | 2032-09-15      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBB9<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    129000 | PA      | $122762.98    | 0.01%             | 2032-09-15      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2021-A                            | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371393 | PA      | $1255951.06   | 0.08%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LLC                                        | Slam 2021-1 Ltd                                                    | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3303987 | PA      | $3153599.09   | 0.20%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-B                            | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    327464 | PA      | $325694.52    | 0.02%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2021-D                            | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538462 | PA      | $509869.68    | 0.03%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    622866 | PA      | $622595.14    | 0.04%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAD1<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $113466.25    | 0.01%             | 2042-07-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-C                            | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    986851 | PA      | $983480.95    | 0.06%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SLAM LLC                                               | SLAM 2025-1 Ltd                                                    | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    622434 | PA      | $638050.80    | 0.04%             | 2050-05-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2024-2                      | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510858.40    | 0.03%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2023-2                      | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3075000 | PA      | $3123081.62   | 0.20%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2025-1                      | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    915000 | PA      | $917079.80    | 0.06%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2024-5                      | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382482 | PA      | $383136.12    | 0.02%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2025-4                      | CUSIP: 802923AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630000 | PA      | $631395.58    | 0.04%             | 2032-01-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| SCOTT Trust 2023-SFS                                   | SCOTT Trust 2023-SFS                                               | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160000 | PA      | $2216497.61   | 0.14%             | 2040-03-10      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust                | Securitized Term Auto Receivables Trust                            | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |    361002 | PA      | $364564.74    | 0.02%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust              | SFS Auto Receivables Securitization Trust 2025-1                   | CUSIP: 81885BAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $307329.00    | 0.02%             | 2031-02-20      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Shentel Issuer LLC                                     | Shentel Issuer LLC                                                 | CUSIP: 82321AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1674855.34   | 0.11%             | 2055-12-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                      | Sierra Timeshare 2021-1 Receivables Funding LLC                    | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88703 | PA      | $88533.61     | 0.01%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                      | Sierra Timeshare 2024-3 Receivables Funding LLC                    | CUSIP: 82653BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    603271 | PA      | $608516.38    | 0.04%             | 2041-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                      | Sierra Timeshare 2023-1 Receivables Funding LLC                    | CUSIP: 826943AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282434 | PA      | $286467.01    | 0.02%             | 2040-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SLAM LLC                                               | Slam Ltd                                                           | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692278 | PA      | $1700024.80   | 0.11%             | 2049-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                   | SoFi Professional Loan Program 2021-B Trust                        | CUSIP: 83405NAA4<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |   1150778 | PA      | $1008027.64   | 0.06%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                   | SoFi Professional Loan Program 2020-ATrust                         | CUSIP: 83406TAB8<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |   1808502 | PA      | $1749669.02   | 0.11%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                       | SpringCastle America Funding LLC                                   | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1041960 | PA      | $984373.72    | 0.06%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                         | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   1606458 | PA      | $971119.77    | 0.06%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                         | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAL1<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $1300000.00   | 0.08%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  3 | On Loan: No      |
| Fixed Income Clearing Corp                             | FIXED INC CLEARING CORP.REPO                                       | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  24598015 | PA      | $24598015.03  | 1.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                                | Stellar Jay Ireland DAC                                            | CUSIP: 858558AA7<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |    323715 | PA      | $319053.43    | 0.02%             | 2041-10-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                                | Stellar Jay Ireland DAC                                            | CUSIP: 858558AB5<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |    843599 | PA      | $836792.03    | 0.05%             | 2041-10-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust | Stellantis Financial Underwritten Enhanced Lease Trust 2025-B      | CUSIP: 858933AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $1480279.03   | 0.09%             | 2030-01-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Project Sunbird                                        | Sunbird Engine Finance LLC                                         | CUSIP: 86709LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    309454 | PA      | $306033.61    | 0.02%             | 2045-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                     | Sunnova Helios XIII Issuer LLC                                     | CUSIP: 86745CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817974 | PA      | $718860.36    | 0.05%             | 2051-02-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                     | SUNNOVA HELIOS II ISSUER LLC 2018-1                                | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102549 | PA      | $99089.92     | 0.01%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                     | SUNNOVA HELIOS II ISSUER LLC 2019-A                                | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331385 | PA      | $309626.95    | 0.02%             | 2046-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol III Issuer LLC                             | Sunnova Sol III Issuer LLC                                         | CUSIP: 86745QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288073 | PA      | $245814.88    | 0.02%             | 2056-04-28      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                             | Sunrun Atlas Issuer 2019-2 LLC                                     | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440411 | PA      | $1388621.90   | 0.09%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                              | Sunrun Demeter Issuer 2021-2 LLC                                   | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304465 | PA      | $277575.61    | 0.02%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Symetra CLO Ltd                                        | Symetra CLO 2025-1 Ltd                                             | CUSIP: 87153AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5130000 | PA      | $5133262.68   | 0.32%             | 2038-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                          | Synchrony Card Funding LLC                                         | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395000 | PA      | $1414445.60   | 0.09%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust              | TCO Commercial Mortgage Trust 2024-DPM                             | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $541170.61    | 0.03%             | 2039-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| TIC Home Improvement Trust                             | TIC Home Improvement Trust 2024-A                                  | CUSIP: 87252DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346108 | PA      | $349027.31    | 0.02%             | 2046-10-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                          | TYSN 2023-CRNR Mortgage Trust                                      | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2870000 | PA      | $3021263.35   | 0.19%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                 | Taco Bell Funding LLC                                              | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2275000 | PA      | $2268932.58   | 0.14%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Tesla Electric Vehicle Trust                           | Tesla Electric Vehicle Trust 2023-1                                | CUSIP: 881943AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1660484.91   | 0.10%             | 2031-05-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Limited                    | Textainer Marine Containers VII Ltd                                | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    325067 | PA      | $305996.75    | 0.02%             | 2046-02-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-3                                   | CUSIP: 89169DAB7<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   3400971 | PA      | $3363441.64   | 0.21%             | 2057-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-4                                   | CUSIP: 89173UAB3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   4036054 | PA      | $3858861.95   | 0.24%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-3                                   | CUSIP: 89175MAA1<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    392278 | PA      | $386507.96    | 0.02%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-4                                   | CUSIP: 89175TAB4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   2325000 | PA      | $2001426.96   | 0.13%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2020-2                                   | CUSIP: 89176UAR5<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   5555000 | PA      | $4649532.22   | 0.29%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-2                                   | CUSIP: 89177JAB4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   5530000 | PA      | $5076908.30   | 0.32%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2020-4                                   | CUSIP: 89179JAB2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4115220.50   | 0.26%             | 2060-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                  | Tricon American Homes 2019-SFR1 Trust                              | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1669937 | PA      | $1663184.38   | 0.10%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                  | Tricon American Homes 2020-SFR1                                    | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1256739.45   | 0.08%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                  | Tricon American Homes 2020-SFR2 Trust                              | CUSIP: 89613JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305000 | PA      | $1240417.38   | 0.08%             | 2039-11-17      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                       | Triumph Rail Holdings LLC                                          | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3607096 | PA      | $3484566.26   | 0.22%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust 2019-C16                             | CUSIP: 90276YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1307714.36   | 0.08%             | 2052-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| USB Auto Owner Trust                                   | USB Auto Owner Trust 2025-1                                        | CUSIP: 90367VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $634788.75    | 0.04%             | 2031-01-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bills                                                | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4950118.40   | 0.31%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | Uniti Fiber Abs Issuer LLC                                         | CUSIP: 91326EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $895192.32    | 0.06%             | 2055-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                   | Verizon Master Trust                                               | CUSIP: 92348KDG5<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $587680.88    | 0.04%             | 2030-08-20      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust 2025-1                                | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362101 | PA      | $361554.94    | 0.02%             | 2028-09-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING LLC                             | Vivint Solar Financing V LLC                                       | CUSIP: 92854VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1042398 | PA      | $1004209.27   | 0.06%             | 2048-04-30      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Volofin Finance Designated Activity Company            | Volofin Finance Designated Activity Co                             | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1104959 | PA      | $1120632.93   | 0.07%             | 2037-06-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                         | VStrong Auto Receivables Trust 2024-A                              | CUSIP: 92891PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3155000 | PA      | $3204389.63   | 0.20%             | 2030-07-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                           | Voya CLO 2013-3 Ltd                                                | CUSIP: 92916XAL1<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | PA      | $1315696.95   | 0.08%             | 2031-10-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                         | VStrong Auto Receivables Trust 2023-A                              | CUSIP: 92920CAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3605000 | PA      | $3797185.43   | 0.24%             | 2030-02-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust      | CUSIP: 92926UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423943 | PA      | $365556.80    | 0.02%             | 2036-11-25      | Variable      | 4.17%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2018-C48                     | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5010633.00   | 0.32%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2019-C54                     | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5012000 | PA      | $4790119.76   | 0.30%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2024-2                       | CUSIP: 96042YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1238633.37   | 0.08%             | 2030-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2024-3                       | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1525137.60   | 0.10%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2025-3                       | CUSIP: 96043QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1085000 | PA      | $1088579.42   | 0.07%             | 2029-06-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2024-1                       | CUSIP: 96043RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1647112.68   | 0.10%             | 2027-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2025-1                       | CUSIP: 96043VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1008477.00   | 0.06%             | 2030-09-16      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                         | Wheels Fleet Lease Funding 1 LLC                                   | CUSIP: 96328GAT4<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1347900.24   | 0.08%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                         | Wheels Fleet Lease Funding 1 LLC                                   | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $872929.29    | 0.06%             | 2040-09-18      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                     | Willis Engine Structured Trust VI                                  | CUSIP: 97064GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2668429 | PA      | $2521169.69   | 0.16%             | 2046-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                     | Willis Engine Structured Trust VII                                 | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    666377 | PA      | $682435.45    | 0.04%             | 2048-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Wise CLO 2024-2 Ltd                                    | Wise CLO 2024-2 Ltd                                                | CUSIP: 97718GAA1<br>LEI: 254900UJ1RZE30CBZ497 | Long             | ABS-CBDO         | CORP              | KY        |   3290000 | PA      | $3295566.68   | 0.21%             | 2037-07-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| World Financial Network Credit Card Master Trust       | World Financial Network Credit Card Master Trust                   | CUSIP: 981464HR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1060915.44   | 0.07%             | 2031-02-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                      | World Omni Auto Receivables Trust 2024-B                           | CUSIP: 98164HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352175 | PA      | $355504.52    | 0.02%             | 2029-09-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust       | World Omni Automobile Lease Securitization Trust 2025-A            | CUSIP: 98164PAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045000 | PA      | $1054217.95   | 0.07%             | 2030-05-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | Zayo Issuer LLC                                                    | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3330000 | PA      | $3386871.41   | 0.21%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | Zayo Issuer LLC                                                    | CUSIP: 98919WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3645000 | PA      | $3740302.17   | 0.24%             | 2055-06-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | Zayo Issuer LLC                                                    | CUSIP: 98919WAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3195000 | PA      | $3190683.56   | 0.20%             | 2055-10-20      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 5YR NOTE (CBT) DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       176 | NC      | $49722.29     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US 5YR NOTE (CBT) DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -176 | NC      | $55916.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US LONG BOND(CBT) MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       118 | NC      | $-203042.36   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US 10YR NOTE (CBT)MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       176 | NC      | $-156917.90   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US ULTRA BOND CBT MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        69 | NC      | $-196359.23   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US 5YR NOTE (CBT) MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       167 | NC      | $-75840.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US 10YR ULTRA FUT MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       920 | NC      | $-921807.80   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Harbour Aircraft Investments Ltd                       | Harbour Aircraft Investments Ltd                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1497137 | PA      | $1406319.40   | 0.09%             | 2037-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** LOOMIS SAYLES FUNDS I

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer