# EDGAR Filing Document

**Accession Number:** 0001829774
**File Stem:** 0000910472-26-005868
**Filing Date:** 2026-4
**Character Count:** 375181
**Document Hash:** bddc1f35e045665aa841a21b427b601d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-26-005868.hdr.sgml**: 20260428

**ACCESSION NUMBER**: 0000910472-26-005868

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260428

**DATE AS OF CHANGE**: 20260428

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** James Alpha Funds Trust
- **CENTRAL INDEX KEY:** 0001829774

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23611
- **FILM NUMBER:** 26903132

**BUSINESS ADDRESS:**
- **STREET 1:** 515 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** 888-814-8180

**MAIL ADDRESS:**
- **STREET 1:** 515 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

## Series and Classes Contracts Data

### Easterly Income Opportunities Fund (Series ID: S000070607)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000224285 | Easterly Income Opportunities Fund Class A  | JASVX           |
| C000224286 | Easterly Income Opportunities Fund Class C  | JSVCX           |
| C000224287 | Easterly Income Opportunities Fund Class R6 | JASSX           |
| C000224288 | Easterly Income Opportunities Fund Class I  | JSVIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** James Alpha Funds Trust

- **b. Investment Company Act file number:** 811-23611

- **c. CIK number of Registrant:** 0001829774

- **d. LEI of Registrant:** 5493007JDS1R5QEQGK05

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

  - **Street Address 1:** 515 Madison Ave

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022

  - **Telephone number:** 646-201-4042

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

- **a. Name of Series:** Easterly Income Opportunity Fund

- **b. EDGAR series identifier (if any):** S000070607

- **c. LEI of Series:** 5493001V2WFB1F6L7V25

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $424574443.10

**Total Liabilities:** $148733.81

**Net Assets:** $424425709.29

**Cash Not Reported:** $21144730.46

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1458.75187200 | **1-Year:** 7055.18962600 | **5-Year:** 21941.41710500 | **10-Year:** 56523.46968500 | **30-Year:** 19736.78799500

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

- **3-Month:** 271.69341500 | **1-Year:** -2213.52267300 | **5-Year:** -5168.44240500 | **10-Year:** 18283.05704400 | **30-Year:** 14697.82816100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000224285 | 0.52%                | 0.41%                | 1.15%                |
| Class ID C000224287 | 0.54%                | 0.52%                | 1.16%                |
| Class ID C000224286 | 0.47%                | 0.35%                | 1.13%                |
| Class ID C000224288 | 0.56%                | 0.44%                | 1.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $402340.37               | $365949.54                                 |
| Month 2  | $1269961.49              | $-867335.46                                |
| Month 3  | $-2182938.45             | $3975873.94                                |

**Designated Index Information**

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

- **Index Identifier:** I00001US-USD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CSMC TRUST 2021-RPL2                                                                                     | CSMC 2021-RPL2 M3         | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279423 | PA      | $197854.27    | 0.05%             | 2060-01-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 01/29/31        | CUSIP: 22546VTV8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   1220000 | PA      | $1091900.00   | 0.26%             | 2031-01-29      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2003-AR3 B1         | CUSIP: 939336H30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139695 | PA      | $121953.32    | 0.03%             | 2033-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                                    | CBASS 2003-CB1 M1         | CUSIP: 79549ARX9<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |     42873 | PA      | $42849.41     | 0.01%             | 2033-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C22                                                                 | WFRBS 2014-C22 AS         | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865712 | PA      | $829851.07    | 0.20%             | 2057-09-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | RAST 2003-A10 A5          | CUSIP: 45660NUH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359119 | PA      | $359977.61    | 0.08%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2017-1 B3            | CUSIP: 81746TCD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59680 | PA      | $50446.91     | 0.01%             | 2047-02-25      | Floating      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2006-3 1A9           | CUSIP: 17310BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23327 | PA      | $21549.28     | 0.01%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SHELLPOINT CO-ORIGINATOR TRUST                                                                           | SCOT 2017-1 B4            | CUSIP: 82280RCE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64677 | PA      | $47669.29     | 0.01%             | 2047-04-25      | Floating      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | GMACM 2005-AR5 4A1        | CUSIP: 76112BYD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1219438 | PA      | $1025436.80   | 0.24%             | 2035-09-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VELOCITY COM CAP LN TR 2021-4                                                                            | VCC 2021-4 M5             | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902530 | PA      | $1533454.51   | 0.36%             | 2051-12-26      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-5 B             | CUSIP: 78444YAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459000 | PA      | $486520.49    | 0.11%             | 2073-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2004-2 Trust                                                                     | BAFC 2010-R3 4A3          | CUSIP: 05955YAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883974 | PA      | $769632.47    | 0.18%             | 2036-06-26      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/27/28         | CUSIP: 61760QDJ0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $897006.25    | 0.21%             | 2028-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                   | JPMCC 2012-WLDN A         | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121686 | PA      | $1110469.14   | 0.26%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS 8 10/31/31            | CUSIP: 22548QKB0<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   1079000 | PA      | $977843.75    | 0.23%             | 2031-10-31      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C FLOAT 12/29/34          | CUSIP: 1730T03J6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    507000 | PA      | $382785.00    | 0.09%             | 2034-12-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2007-4                                                                            | SEMT 2007-4 1A1           | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254981 | PA      | $194993.66    | 0.05%             | 2036-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2004-7 1A1            | CUSIP: 36228F4P8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     86283 | PA      | $83663.64     | 0.02%             | 2034-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 05/29/35         | CUSIP: 61760QGD0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93000.00     | 0.02%             | 2035-05-29      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                                                         | GECMS 1999-HE1 A6         | CUSIP: 36157RD77<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27745 | PA      | $28004.89     | 0.01%             | 2029-04-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2004-4XS 1A5         | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74254 | PA      | $73855.41     | 0.02%             | 2034-02-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 3A1       | CUSIP: 12667FYS8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     67183 | PA      | $60222.46     | 0.01%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 12/31/34            | CUSIP: 61760QFN9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    230000 | PA      | $164450.00    | 0.04%             | 2034-12-31      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| MOO SECURITIZATION TRUST 2025-RM1                                                                        | MOOST 2025-RM1 M2         | CUSIP: 614872AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $425065.44    | 0.10%             | 2065-12-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 01/31/37             | CUSIP: 61766YAZ4<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1707000 | PA      | $1527765.00   | 0.36%             | 2037-01-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                 | JPALT 2005-S1 1A8         | CUSIP: 46627MAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244758 | PA      | $40017.19     | 0.01%             | 2035-12-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J11 1A3        | CUSIP: 12668AJB2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     49581 | PA      | $26545.95     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 09/30/30            | CUSIP: 61760QHJ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    428000 | PA      | $385735.00    | 0.09%             | 2030-09-30      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2005-4 1A1           | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171916 | PA      | $145001.03    | 0.03%             | 2035-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2013-8                                                                            | SEMT 2013-8 A1            | CUSIP: 81745EAA7<br>LEI: 549300EU86QZR1NB5U93 | Long             | ABS-O            | CORP              | US        |     10169 | PA      | $9475.08      | 0.00%             | 2043-06-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                                          | MLCC 2007-3 2A2           | CUSIP: 59022XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38609 | PA      | $29040.87     | 0.01%             | 2037-09-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/29/29         | CUSIP: 61761JRD3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97750.00     | 0.02%             | 2029-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2018-2                                                            | VCC 2018-2 M6             | CUSIP: 92259BAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014516 | PA      | $900089.62    | 0.21%             | 2048-10-26      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 03/31/35         | CUSIP: 61760QFU3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    888000 | PA      | $659340.00    | 0.16%             | 2035-03-31      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                               | NOMURA FLOAT 02/28/34     | CUSIP: 65539ABB5<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |     65000 | PA      | $51779.91     | 0.01%             | 2034-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 04/30/30         | CUSIP: 61760QFX7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4385000 | PA      | $3951981.25   | 0.93%             | 2030-04-30      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| WinWater Mortgage Loan Trust 2015-4                                                                      | WIN 2015-1 B2             | CUSIP: 97652TBC6<br>LEI: 549300PWVP7DMQC42S40 | Long             | ABS-O            | CORP              | US        |    187462 | PA      | $179529.95    | 0.04%             | 2045-01-20      | Floating      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J3 2A1         | CUSIP: 12669FFD0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     33670 | PA      | $35012.21     | 0.01%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                                                     | NATCM 2008-1 2A2          | CUSIP: 635419AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18106 | PA      | $18577.32     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2009-10 6A2         | CUSIP: 17316AAZ3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    133841 | PA      | $123910.18    | 0.03%             | 2034-09-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                         | MSAC 2003-SD1 M2          | CUSIP: 61746RCG4<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    228088 | PA      | $208924.21    | 0.05%             | 2033-03-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                         | BALTA 2004-11 2A1         | CUSIP: 07386HMV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3339 | PA      | $3152.92      | 0.00%             | 2034-11-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-1 21A1         | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8267 | PA      | $8228.68      | 0.00%             | 2034-04-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon 06-Ar3                                                                                       | FHASI 2006-AR3 1A1        | CUSIP: 32052EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76934 | PA      | $33697.83     | 0.01%             | 2036-11-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-7 6A1           | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35786 | PA      | $37034.37     | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Np Spe X Lp 2019-2                                                                                       | NPRL 2019-2A A2           | CUSIP: 62947AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448473 | PA      | $388567.27    | 0.09%             | 2049-11-19      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MOR                                                                           | CSFB 2005-10 2A1          | CUSIP: 225470DV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5706 | PA      | $0.36         | 0.00%             | 2025-01-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOFI PERSONAL LN TR 2024-1                                                                               | SPLT 2024-1A A            | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55367 | PA      | $55856.98     | 0.01%             | 2031-02-12      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-3 2A1           | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41174 | PA      | $42577.45     | 0.01%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-7 B1            | CUSIP: 576433HV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34092 | PA      | $33828.43     | 0.01%             | 2034-01-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 9 11/30/35             | CUSIP: 61760QJD7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    176000 | PA      | $163680.00    | 0.04%             | 2035-11-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2023-4                                                                              | CHNGE 2023-4 B1           | CUSIP: 12569QAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3644000 | PA      | $3679532.64   | 0.87%             | 2058-09-25      | Floating      | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2005-8 9A9           | CUSIP: 2254582T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99709 | PA      | $65104.28     | 0.02%             | 2035-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BBH                                                                                                      | BBH SWEEP VEHICLE         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |  21625234 | PA      | $21625233.80  | 5.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 14 04/30/33            | CUSIP: 61766YCR0<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    737000 | PA      | $658693.75    | 0.16%             | 2033-04-30      | Floating      | 15.21%                | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2          | CBAC 2007-1A A            | CUSIP: 14984WAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380557 | PA      | $1279073.29   | 0.30%             | 2039-07-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                                                     | GFMT 2017-1 A22           | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17141 | PA      | $15496.77     | 0.00%             | 2056-07-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Csmc Ser 2014-10r                                                                                        | CSMC 2014-10R 1A2         | CUSIP: 12649BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2184984 | PA      | $497686.96    | 0.12%             | 2036-05-27      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 04/30/35         | CUSIP: 61760QFY5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1033000 | PA      | $960690.00    | 0.23%             | 2035-04-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                 | JPALT 2006-A1 1A2         | CUSIP: 46627MCT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    637508 | PA      | $543943.22    | 0.13%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                       | SASC 2005-RF2 A           | CUSIP: 86359DEX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62990 | PA      | $57658.94     | 0.01%             | 2035-04-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Corp. & Bishops Gate Residential Mortgage Trust Pass Through Certificates Series 2002 2 | CDMC 2004-1 A7            | CUSIP: 151314GB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858862 | PA      | $860544.06    | 0.20%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2024-1                                                                           | MSAIC 2024-1A C           | CUSIP: 618937AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $169886.72    | 0.04%             | 2049-09-20      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | RAMP 2002-SL1 AII4        | CUSIP: 760985LJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216668 | PA      | $181374.14    | 0.04%             | 2032-06-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST 2021-1                                                                                   | GOODG 2021-1A C           | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1479658 | PA      | $1101311.51   | 0.26%             | 2056-10-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-J2 3A12         | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    469378 | PA      | $285016.65    | 0.07%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA4 A1         | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13346 | PA      | $13178.76     | 0.00%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                                               | MSSTR 2004-1 4A1          | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43781 | PA      | $43190.09     | 0.01%             | 2032-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-12R A3         | CUSIP: 12667GAR4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     29972 | PA      | $29783.89     | 0.01%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                                    | LMT 2006-2 2A3            | CUSIP: 52520MGL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112217 | PA      | $114954.85    | 0.03%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 0 03/31/35             | CUSIP: 61760QFV1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    346000 | PA      | $250850.00    | 0.06%             | 2035-03-31      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS FLOAT 11/27/33     | CUSIP: 5394E8CE7<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    655000 | PA      | $422550.98    | 0.10%             | 2033-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C 10 03/29/34             | CUSIP: 17326YL95<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191000.00    | 0.05%             | 2034-03-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                                   | MSC 2014-150E AS          | CUSIP: 61764BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $380539.70    | 0.09%             | 2032-09-09      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-54CB 1A11      | CUSIP: 12668APD1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     27188 | PA      | $20900.48     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2006-8AR 4A2          | CUSIP: 61749LAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8240 | PA      | $7421.75      | 0.00%             | 2036-06-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Trust Series 2006-Wf1                                                            | NHELI 2006-HE2 M1         | CUSIP: 65536MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70174 | PA      | $66838.36     | 0.02%             | 2036-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust 2004-Hltv1                                                                  | GMACM 2004-GH1 M1         | CUSIP: 36185HEC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116738 | PA      | $115763.95    | 0.03%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA1 A1         | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101838 | PA      | $102121.81    | 0.02%             | 2034-06-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2020-B19 B          | CUSIP: 08162WBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $399648.23    | 0.09%             | 2053-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 03/24/26                | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14966974.50  | 3.53%             | 2026-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ACHM TRUST 2023-HE2                                                                                      | ACHM 2023-HE2 A           | CUSIP: 00111NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813231 | PA      | $858275.99    | 0.20%             | 2038-10-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ML-Cfc Commercial Mortgage Trust 2007-8                                                                  | MLCFC 2007-5 AJ           | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3047646 | PA      | $513428.52    | 0.12%             | 2048-08-12      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 1998-1 A            | CUSIP: 36228FAA4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     14603 | PA      | $14364.43     | 0.00%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2021-                                                                      | CBSLT 2021-BGS B          | CUSIP: 20268AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839642 | PA      | $697641.43    | 0.16%             | 2051-09-25      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                               | IMSA 2006-1 2A1           | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75011 | PA      | $73143.05     | 0.02%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital Llc                                                                             | CDMC 2004-4 A8            | CUSIP: 15132EJW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60404 | PA      | $60928.04     | 0.01%             | 2034-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR 10 10/18/28          | CUSIP: 06741TS24<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $44187.50     | 0.01%             | 2028-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-6                                                                            | SEMT 2013-6 B1            | CUSIP: 81745BAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65124 | PA      | $64366.93     | 0.02%             | 2043-05-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2002-9 1A2           | CUSIP: 22540VG71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357855 | PA      | $322111.63    | 0.08%             | 2032-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 08/15/33       | CUSIP: 06741TZW0<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $51750.00     | 0.01%             | 2033-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern Pacific Secured Assets Corp.                                                                    | SPSAC 1997-2 M1F          | CUSIP: 843590BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94913 | PA      | $144966.27    | 0.03%             | 2027-05-25      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-3                                                                        | VERUS 2023-3 A3           | CUSIP: 92539GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154898 | PA      | $154708.56    | 0.04%             | 2068-03-25      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMM CAP TR 2019-3                                                                              | VCC 2019-3 M6             | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325655 | PA      | $280438.40    | 0.07%             | 2049-10-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                                                | CHASE 2020-CL1 M3         | CUSIP: 46591HAJ9<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    122321 | PA      | $131247.38    | 0.03%             | 2057-10-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2004-4XS 1M1         | CUSIP: 86359BHR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391934 | PA      | $420709.32    | 0.10%             | 2034-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                                   | MSC 2018-BOP A            | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124657 | PA      | $97593.94     | 0.02%             | 2033-08-15      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC                                                                    | USRE 2021-1 B1            | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $161292.83    | 0.04%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-AR3 2A1          | CUSIP: 36242D4S9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     13538 | PA      | $11159.63     | 0.00%             | 2035-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 8A1         | CUSIP: 55265K2N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151124 | PA      | $139443.47    | 0.03%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-25 1A8          | CUSIP: 22541QYL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40845 | PA      | $40641.99     | 0.01%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 09/30/36             | CUSIP: 61766YAP6<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $1024413.75   | 0.24%             | 2036-09-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS X ISSUER LLC                                                                              | SNVA 2022-C A             | CUSIP: 86744WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482857 | PA      | $454756.78    | 0.11%             | 2049-11-22      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-8AR 2A           | CUSIP: 61748HED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15174 | PA      | $13919.04     | 0.00%             | 2034-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 08/31/26         | CUSIP: 61745E7E5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118750.00    | 0.03%             | 2026-08-31      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 10/30/30         | CUSIP: 61760QHW7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    151000 | PA      | $130048.75    | 0.03%             | 2030-10-30      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Lehman Abs 07-1                                                                                          | LABSM 2007-1 2A2          | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566280 | PA      | $362722.98    | 0.09%             | 2037-06-25      | Floating      | 3.99%                 | Yes           |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2022-NQM3                                                                | BRAVO 2024-NQM6 B1        | CUSIP: 05613JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960000 | PA      | $984921.17    | 0.23%             | 2064-08-01      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                                          | MSDWC 2003-HYB1 A3        | CUSIP: 61746WB90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39762 | PA      | $35820.94     | 0.01%             | 2033-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO XI-C LTD /LLC                                                                                 | CARVL 2024-3A A1          | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    180000 | PA      | $180484.25    | 0.04%             | 2037-10-20      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 02/27/35         | CUSIP: 61760QFS8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29000.00     | 0.01%             | 2035-02-27      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                    | SOCGEN 21 10/29/32        | CUSIP: 83369EE55<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    744000 | PA      | $671460.00    | 0.16%             | 2032-10-29      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-Ms1                                                                  | MSC 2015-MS1 D            | CUSIP: 61765DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $988986.00    | 0.23%             | 2048-05-15      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/16/31         | CUSIP: 61745EL58<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    268200 | PA      | $234004.50    | 0.06%             | 2031-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CTY SOLAR LN 2019-1                                                                                 | MCSLT 2019-1A A           | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    407054 | PA      | $387046.52    | 0.09%             | 2043-03-20      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2018-1                                                                           | MSAIC 2018-1A B           | CUSIP: 61946FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89833 | PA      | $73230.48     | 0.02%             | 2043-06-22      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2018-1                                                            | VCC 2018-1 M6             | CUSIP: 92257AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807590 | PA      | $744808.16    | 0.18%             | 2048-04-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 10/30/30            | CUSIP: 61760QHY3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    171000 | PA      | $124818.54    | 0.03%             | 2030-10-30      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                                    | BSABS 2006-AC2 21A6       | CUSIP: 07387UGU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582637 | PA      | $212173.50    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C2 C           | CUSIP: 12634NAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645256 | PA      | $623538.42    | 0.15%             | 2057-06-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                        | NWG FLOAT 08/26/31        | CUSIP: 78009PBK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $75875.00     | 0.02%             | 2031-08-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| USASF RECEIVABLES LLC 21-1A                                                                              | USAUT 2021-1A D           | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $814.45       | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                                       | MSBAM 2015-C22 AS         | CUSIP: 61690FAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $436919.41    | 0.10%             | 2048-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Financial Asset Securities Corp.                                                                         | AAA 2005-2 A3             | CUSIP: 31738PBG2<br>LEI: 213800MPFYUR94LO7914 | Long             | ABS-O            | CORP              | US        |     41117 | PA      | $38644.21     | 0.01%             | 2035-11-26      | Floating      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 10/31/34         | CUSIP: 61760QFE9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    295000 | PA      | $223831.25    | 0.05%             | 2034-10-31      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2020-B17 E          | CUSIP: 08162MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $527678.19    | 0.12%             | 2053-03-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2005-RP2 1AF        | CUSIP: 36242DT52<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     25049 | PA      | $23513.06     | 0.01%             | 2035-03-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2004-4XS A3A         | CUSIP: 86359BHJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377119 | PA      | $375149.58    | 0.09%             | 2034-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-23 1A11         | CUSIP: 22541QVP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70693 | PA      | $67395.90     | 0.02%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 8 08/31/37            | CUSIP: 47233JAV0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $832702.50    | 0.20%             | 2037-08-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-25 1A11         | CUSIP: 22541QF56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122535 | PA      | $122062.84    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                                     | BAYV 2006-A B1            | CUSIP: 07325NDC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581885 | PA      | $583683.52    | 0.14%             | 2041-02-28      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J8 2A1         | CUSIP: 12667FSH9<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    125225 | PA      | $136619.66    | 0.03%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C 10 08/31/35             | CUSIP: 1730T3AV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     55000 | PA      | $40150.00     | 0.01%             | 2035-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 11/26/34         | CUSIP: 25152RXG3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    961000 | PA      | $697926.25    | 0.16%             | 2034-11-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 8 12/23/35             | CUSIP: 61760QJF2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    241000 | PA      | $224130.00    | 0.05%             | 2035-12-23      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                                           | CBASS 2004-RP1 B1         | CUSIP: 124860EL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360918 | PA      | $1351619.87   | 0.32%             | 2050-05-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2015-1                                                            | VCC 2020-1 M2             | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55917 | PA      | $45859.31     | 0.01%             | 2050-02-25      | Floating      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SARM 2004-2 4A1           | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32578 | PA      | $31293.63     | 0.01%             | 2034-03-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2020-B17 C          | CUSIP: 08162MBD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $363923.91    | 0.09%             | 2053-03-15      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 9A6         | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42115 | PA      | $42161.02     | 0.01%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2016-A                                                              | NAVSL 2020-FA B           | CUSIP: 63941XAB3<br>LEI: 549300JSCKIU587G1R13 | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $147716.45    | 0.03%             | 2069-07-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2003-L 2A1          | CUSIP: 05948XQ95<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     18886 | PA      | $18907.26     | 0.00%             | 2034-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C Float 11/22/32          | CUSIP: 17324CP34<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     35000 | PA      | $31325.00     | 0.01%             | 2032-11-22      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp.                                                                         | MRFC 2000-TBC3 B4         | CUSIP: 585525EU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68139 | PA      | $64413.78     | 0.02%             | 2030-12-15      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1A3          | CUSIP: 36242DJT1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    251535 | PA      | $250784.22    | 0.06%             | 2034-06-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 12/03/28         | CUSIP: 61760QDT8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $108750.00    | 0.03%             | 2028-12-03      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-4 B1           | CUSIP: 07384MVW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47284 | PA      | $42433.01     | 0.01%             | 2033-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2003-A4 3A           | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23951 | PA      | $23613.62     | 0.01%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF FLOAT 02/28/38        | CUSIP: 47233JBJ6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    762000 | PA      | $638756.10    | 0.15%             | 2038-02-28      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-216 IO           | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    679599 | PA      | $37043.46     | 0.01%             | 2065-07-16      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| Napier Park Global Capital                                                                               | NPRL 2017-1A A2           | CUSIP: 62946AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3190042 | PA      | $2807300.53   | 0.66%             | 2047-10-21      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA3 A1         | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6098 | PA      | $6208.40      | 0.00%             | 2034-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2003-4 3M2            | CUSIP: 45254NEK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30941 | PA      | $30846.02     | 0.01%             | 2033-07-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2023-2                                                                              | CHNGE 2023-2 M1           | CUSIP: 169926AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2007100.20   | 0.47%             | 2058-06-25      | Floating      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2016-A                                                              | NAVSL 2019-FA B           | CUSIP: 63935CAC5<br>LEI: 549300JSCKIU587G1R13 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $204731.02    | 0.05%             | 2068-08-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-4 2M1            | CUSIP: 45254NPN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166633 | PA      | $163134.46    | 0.04%             | 2035-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A7 2A1R        | CUSIP: 46629DAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119934 | PA      | $96664.47     | 0.02%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| EVERBRIGHT SOLAR TRUST 2024-A                                                                            | EVBRT 2024-A A            | CUSIP: 29977FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822261 | PA      | $720647.26    | 0.17%             | 2054-06-22      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2005-1 2A9          | CUSIP: 57643MKL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54735 | PA      | $41932.45     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT FUND                                                                                                | COLT 2021-3R A2           | CUSIP: 19688DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20385 | PA      | $19164.98     | 0.00%             | 2064-12-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Residential                                                                                        | OCMBS 1999-R2 B2          | CUSIP: 675748CF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13567 | PA      | $19366.35     | 0.00%             | 2039-06-25      | Floating      | 0.56%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2005-RA1 3B4        | CUSIP: 9393364V2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3571 | PA      | $2946.01      | 0.00%             | 2035-01-25      | Floating      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2004-AR11 2A         | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16754 | PA      | $15924.75     | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 03/31/31         | CUSIP: 61745E6X4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17150.00     | 0.00%             | 2031-03-31      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB 7 1/2 01/31/33         | CUSIP: 25152RUV3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    120000 | PA      | $84300.00     | 0.02%             | 2033-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2004-S2 4A5         | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16675 | PA      | $15462.10     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-5 1A1          | CUSIP: 07384MWF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21548 | PA      | $21181.43     | 0.00%             | 2033-08-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV1                                                                                           | GCAT 2024-INV1 1A2        | CUSIP: 36831BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90701 | PA      | $91656.44     | 0.02%             | 2054-01-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2015-RP2 A          | CUSIP: 17323TAC4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     33030 | PA      | $32742.02     | 0.01%             | 2053-01-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 11/28/34         | CUSIP: 61760QFJ8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     60000 | PA      | $45525.00     | 0.01%             | 2034-11-28      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2007-1 M2            | CUSIP: 07325MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54873 | PA      | $52336.52     | 0.01%             | 2037-03-25      | Floating      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                                    | SBM7 2002-WMC1 M1         | CUSIP: 79549AKF5<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |      1543 | PA      | $1542.88      | 0.00%             | 2032-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2B             | CUSIP: 45254NRY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56687 | PA      | $56992.96     | 0.01%             | 2036-02-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J2 A1          | CUSIP: 12669E4A1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     80689 | PA      | $83188.03     | 0.02%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                              | DELHE 1999-3 A2F          | CUSIP: 24763LFV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98303 | PA      | $94044.07     | 0.02%             | 2029-09-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2005-8 B             | CUSIP: 78442GQT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51369 | PA      | $49358.42     | 0.01%             | 2055-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2022-1 M5             | CUSIP: 92258XAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661704 | PA      | $1243865.94   | 0.29%             | 2052-02-25      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| TRESTLES CLO VII LTD /LLC                                                                                | TREST 2024-7A A1          | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |    120000 | PA      | $120409.44    | 0.03%             | 2037-10-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-J9 2A6          | CUSIP: 12669GFL0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     44991 | PA      | $45252.98     | 0.01%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                                                                   | CMHAT 2019-MH1 M          | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1346091.00   | 0.32%             | 2044-11-01      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                                      | NAA 2007-1 1A3            | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61675 | PA      | $59317.61     | 0.01%             | 2047-03-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage Trust Series 2008-Cim1                                                                      | PHHMC 2008-CIM1 21A1      | CUSIP: 69337LAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59173 | PA      | $60445.81     | 0.01%             | 2038-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-6 3A           | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80469 | PA      | $78229.22     | 0.02%             | 2034-09-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 08/29/34            | CUSIP: 61760QES9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $326250.00    | 0.08%             | 2034-08-29      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Ryland Mortgage Securities Corp.                                                                         | RYMS 1994-1 B             | CUSIP: 783766QB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1414 | PA      | $0.00         | 0.00%             | 2030-04-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Republic Mortgage Loan Trust                                                                       | FRMT 2020-1 B1            | CUSIP: 33616LAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    967509 | PA      | $929279.59    | 0.22%             | 2050-04-25      | Floating      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2007-4 1A5           | CUSIP: 17312XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167343 | PA      | $149314.06    | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI As Ln 2007-Ar2                                                                                       | HALO 2007-AR2 4A1         | CUSIP: 44329EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149475 | PA      | $115184.84    | 0.03%             | 2037-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2003-S3 1A4          | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67969 | PA      | $68033.36     | 0.02%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2019-8 B4           | CUSIP: 46591KBW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164635 | PA      | $155575.53    | 0.04%             | 2050-03-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                                                       | WFALT 2007-PA1 A7         | CUSIP: 94984TAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129528 | PA      | $122128.11    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 10 10/31/37           | CUSIP: 47233JBB3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    240000 | PA      | $186300.00    | 0.04%             | 2037-10-31      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Kgs-Alpha Sba Coof Tr 2014-4                                                                             | KSBA 2014-5 A             | CUSIP: 48249WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    972357 | PA      | $27622.14     | 0.01%             | 2040-10-25      | Floating      | 3.02%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2024-1                                                                           | MSAIC 2024-1A B           | CUSIP: 618937AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1206374 | PA      | $1056221.58   | 0.25%             | 2049-09-20      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/36             | CUSIP: 61766YAL5<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62737.50     | 0.01%             | 2036-08-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J11 3A1        | CUSIP: 12667FXN0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     13646 | PA      | $13904.24     | 0.00%             | 2032-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2007-4 1A1           | CUSIP: 86363LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399864 | PA      | $367883.89    | 0.09%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loan Tst                                                                      | SNMLT 2005-2A A4          | CUSIP: 81441PCT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1540157.18   | 0.36%             | 2035-02-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Strats (SM) Trust For Goldman Sachs Capital I Securities Series 2005-1                                   | STRATS FLOAT 02/15/34     | CUSIP: 86312BAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $107601.28    | 0.03%             | 2034-02-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust 2017-1                                                                  | NWSB 2021-1 A             | CUSIP: 65253MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20048 | PA      | $20047.86     | 0.00%             | 2048-12-25      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                                    | ARMT 2005-6A 2A2          | CUSIP: 007036PH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447362 | PA      | $122040.01    | 0.03%             | 2035-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2005-4                                                                            | SEMT 2005-3 B1            | CUSIP: 81744FHP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214824 | PA      | $145322.41    | 0.03%             | 2035-05-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2003-1 A            | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129589 | PA      | $118454.34    | 0.03%             | 2033-05-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 8 09/29/37             | CUSIP: 61766YBY6<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    168000 | PA      | $150360.00    | 0.04%             | 2037-09-29      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2003-R4 2A           | CUSIP: 12669FFS7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     93298 | PA      | $86030.81     | 0.02%             | 2034-01-25      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                                                      | BFLD 2020-EYP A           | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $275975.70    | 0.07%             | 2035-10-15      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                               | JPMCC 2013-LC11 E         | CUSIP: 46639YAC1<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $0.00         | 0.00%             | 2046-04-15      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                                    | MHL 2005-2 2A             | CUSIP: 61915RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54077 | PA      | $53231.96     | 0.01%             | 2035-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                                      | GMSL 2004-A A3            | CUSIP: 378961AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    286868 | PA      | $288571.21    | 0.07%             | 2032-11-25      | Floating      | 8.77%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-3 B             | CUSIP: 78444GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $389386.01    | 0.09%             | 2083-04-26      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAA 2003-8 1CB1          | CUSIP: 05948XTV3<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    124711 | PA      | $127238.30    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-UST1 A4        | CUSIP: 17307GLB2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     50481 | PA      | $48019.38     | 0.01%             | 2034-08-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-12R A4         | CUSIP: 12667GAS2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    738357 | PA      | $734529.13    | 0.17%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                      | BNS FLOAT 06/27/33        | CUSIP: 064159CK0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    190000 | PA      | $128250.00    | 0.03%             | 2033-06-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                                       | GSR 2006-10F 4A1          | CUSIP: 36266WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2332946 | PA      | $293775.72    | 0.07%             | 2037-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 12/28/40          | CUSIP: 17328YDR2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |    295000 | PA      | $240425.00    | 0.06%             | 2040-12-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FN 257064                 | CUSIP: 31371NQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31232 | PA      | $31398.15     | 0.01%             | 2037-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-AR3 1A1          | CUSIP: 36242D4R1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     16824 | PA      | $16065.10     | 0.00%             | 2035-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC1 TRUST                                                                                    | PRKCM 2023-AFC1 A3        | CUSIP: 693981AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    687178 | PA      | $687514.57    | 0.16%             | 2058-02-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                        | NWG FLOAT 08/18/31        | CUSIP: 78009PBE0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $99531.25     | 0.02%             | 2031-08-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Inc.                                                                        | CMSI 2005-4 1A5           | CUSIP: 172973W47<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     85780 | PA      | $86494.92     | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                                        | CFAB 2002-4 2A1           | CUSIP: 161546DQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3712 | PA      | $3736.61      | 0.00%             | 2032-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                         | CWALT 2006-40T1 2A1       | CUSIP: 02148KAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105251 | PA      | $28595.93     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWTEK SML BUS LN TR 2022-1                                                                              | NWSB 2022-1 A             | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28465 | PA      | $28690.22     | 0.01%             | 2049-10-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                                     | FRESB 2018-SB48 B         | CUSIP: 30296RAJ9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    820479 | PA      | $499081.25    | 0.12%             | 2038-02-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| SG Structured Products, Inc.                                                                             | SOCGEN FLOAT 03/31/26     | CUSIP: 78423AJ45<br>LEI: 549300D8JJ608SOIGA98 | Long             | DBT              | CORP              | US        |    202000 | PA      | $200990.00    | 0.05%             | 2026-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEQUOIA MORTGAGE TRUST    | CUSIP: 81745LAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225839 | PA      | $215030.95    | 0.05%             | 2044-11-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                                                               | CSMC 2007-5R A5           | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309613 | PA      | $64178.54     | 0.02%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLCC 2004-HB1 A3          | CUSIP: 59020UEV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81402 | PA      | $69061.38     | 0.02%             | 2029-04-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                                    | GT 1996-5 B1              | CUSIP: 393505ND0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87573 | PA      | $88131.25     | 0.02%             | 2026-07-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM2 TRUST                                                                                     | GCAT 2023-NQM2 A2         | CUSIP: 36169DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933338 | PA      | $931093.05    | 0.22%             | 2067-11-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Access Group Inc                                                                                         | ACCSS 2004-2 B            | CUSIP: 00432CBZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24421 | PA      | $22491.73     | 0.01%             | 2043-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018 C5                                                              | CGCMT 2015-GC35 C         | CUSIP: 17324KAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $678910.95    | 0.16%             | 2048-11-10      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2008-92 Z             | CUSIP: 38373M4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1455430 | PA      | $1412878.72   | 0.33%             | 2048-10-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2003-2F M2            | CUSIP: 45254NDT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18331 | PA      | $18345.34     | 0.00%             | 2033-01-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-55 IO            | CUSIP: 38381EX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7430037 | PA      | $294241.34    | 0.07%             | 2063-01-16      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                                      | NAA 2005-AR3 1A1          | CUSIP: 65535VMJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377523 | PA      | $348358.76    | 0.08%             | 2035-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2022-4                                                            | VCC 2022-4 M4             | CUSIP: 92259KAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650199 | PA      | $636588.47    | 0.15%             | 2052-08-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| CDX.NA.HY SERIES 44                                                                                      | MARKIT CDX.NA.HY.44 06/30 | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              | CORP              | N/A       |  -4950000 | PA      | $354474.47    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-82 Z             | CUSIP: 38381HCN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1832289 | PA      | $893607.91    | 0.21%             | 2064-02-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2019-2                                                            | VCC 2019-2 M6             | CUSIP: 92257NAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1232726 | PA      | $946616.39    | 0.22%             | 2049-07-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                               | NOMURA FLOAT 12/31/33     | CUSIP: 655365AA2<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |    274000 | PA      | $194197.50    | 0.05%             | 2033-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2001-26 5A1          | CUSIP: 22540VFQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106761 | PA      | $106555.95    | 0.03%             | 2031-11-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 5YR NOTE (CBT) Jun26   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        70 | NC      | $21583.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2020-IG3 A4         | CUSIP: 08162QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $217433.31    | 0.05%             | 2048-09-15      | Fixed         | 2.44%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/37             | CUSIP: 61766YBW0<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    869000 | PA      | $745167.50    | 0.18%             | 2037-08-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/28         | CUSIP: 61760QCY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87835.50     | 0.02%             | 2028-07-31      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust 2004-2                                                           | AHM 2004-1 2M1            | CUSIP: 02660TAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74247 | PA      | $70478.21     | 0.02%             | 2044-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-R2 2A4          | CUSIP: 12669GP47<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |      3501 | PA      | $3683.22      | 0.00%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-16CB 1A1       | CUSIP: 12667FLT0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |      6188 | PA      | $6202.93      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                                              | CSFB 2004-6 1A3           | CUSIP: 2254W0GW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127045 | PA      | $124605.64    | 0.03%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-INV2                                                                     | VERUS 2023-INV2 B1        | CUSIP: 92540BAE9<br>LEI: 213800D3C9UXVQ7TZF09 | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $3065043.52   | 0.72%             | 2068-08-25      | Floating      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                                         | WFRBS 2011-C4 D           | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190911 | PA      | $188261.36    | 0.04%             | 2044-06-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust 2013-PEMB                                                             | GSMS 2013-PEMB A          | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-O            | CORP              | US        |   5970000 | PA      | $4729359.38   | 1.11%             | 2033-03-05      | Floating      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2021-A Llc                                                                  | CASL 2021-A D             | CUSIP: 19424KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43193 | PA      | $41580.95     | 0.01%             | 2051-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018 C5                                                              | CGCMT 2015-GC35 D         | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $237044.18    | 0.06%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 01/30/35         | CUSIP: 61760QFP4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    567000 | PA      | $438716.25    | 0.10%             | 2035-01-30      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                                                  | SORT 2021-1X A1           | CUSIP: U1579MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765198 | PA      | $1457110.93   | 0.34%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                  | KNFP Float 07/31/34       | CUSIP: 63873HLU6<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1044592.50   | 0.25%             | 2034-07-31      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| RAAC Series 2007 RP3 Trust                                                                               | RAAC 2007-RP3 A           | CUSIP: 74978BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422852 | PA      | $419308.04    | 0.10%             | 2046-10-25      | Floating      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Sunrun Inc.                                                                                              | SUNRN 2021-2A A           | CUSIP: 86772HAA5<br>LEI: 54930007SJ77CI66U531 | Long             | ABS-O            | CORP              | US        |    116567 | PA      | $107157.13    | 0.03%             | 2057-01-30      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                         | MSAC 2004-SD2 M2          | CUSIP: 61744CEB8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    807726 | PA      | $813157.96    | 0.19%             | 2034-04-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2006-RP1 1A2        | CUSIP: 3623413E7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     87736 | PA      | $78372.54     | 0.02%             | 2036-01-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Rbsgc Structured T                                                                                       | RBSGC 2008-A A1           | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250758 | PA      | $210744.00    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-2 4A1           | CUSIP: 576433DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15960 | PA      | $15264.15     | 0.00%             | 2033-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-7                                                                                        | CSMC 2013-7 A2            | CUSIP: 12647PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93827 | PA      | $87217.94     | 0.02%             | 2043-08-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                              | FFML 2002-FF1 M2          | CUSIP: 32027NAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362293 | PA      | $368215.62    | 0.09%             | 2032-04-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2004-RA3 CB1        | CUSIP: 939336T37<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86653 | PA      | $82877.88     | 0.02%             | 2038-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 04/01/41          | CUSIP: 17329F6J8<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |    553000 | PA      | $508760.00    | 0.12%             | 2041-04-01      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2019-1                                                            | VCC 2019-1 M5             | CUSIP: 92257CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329438 | PA      | $301565.25    | 0.07%             | 2049-03-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-11 1A31         | CUSIP: 22541QBS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52648 | PA      | $53518.40     | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vivint Solar Licensing LLC                                                                               | VSLR 2020-1A A            | CUSIP: 92855HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100169 | PA      | $92819.53     | 0.02%             | 2051-07-31      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                                  | BAYV 2004-B A1            | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2594471 | PA      | $2110874.60   | 0.50%             | 2039-05-28      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                            | CWL 2005-13 AF4           | CUSIP: 126670GR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75280 | PA      | $72455.18     | 0.02%             | 2036-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                                                               | AMRES 1999-1 A            | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382297 | PA      | $400968.52    | 0.09%             | 2029-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                                   | MSC 2015-420 A            | CUSIP: 61765BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4129989 | PA      | $4308326.26   | 1.02%             | 2050-10-12      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                                    | ARMT 2005-7 2A21          | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105240 | PA      | $92828.00     | 0.02%             | 2035-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3Inv                                                                        | FSMT 2018-3INV B4         | CUSIP: 33851JAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312176 | PA      | $299981.39    | 0.07%             | 2048-05-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2006-A1 1A1          | CUSIP: 59020U5U5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132581 | PA      | $70499.65     | 0.02%             | 2036-03-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2007-HF1 4PO         | CUSIP: 55291YAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    866079 | PA      | $8.66         | 0.00%             | 2047-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2008-R2 2A          | CUSIP: 46632TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182250 | PA      | $156387.86    | 0.04%             | 2035-12-27      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| VELOCIT COM CAP LN TR 2022-2                                                                             | VCC 2022-2 M5             | CUSIP: 92259UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2570353 | PA      | $2222643.94   | 0.52%             | 2052-04-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2021-3 M6             | CUSIP: 92258RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371697 | PA      | $1086900.24   | 0.26%             | 2051-10-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| CNL Commercial Mortgage Loan Trust 2001-1                                                                | CNL 2003-1A A1            | CUSIP: 12614MAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143739 | PA      | $142924.91    | 0.03%             | 2031-05-15      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                | GMACM 2004-J2 A8          | CUSIP: 36185N2E9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59211 | PA      | $59831.19     | 0.01%             | 2034-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2021-                                                                      | CPS 2021-1A A             | CUSIP: 12657TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560576 | PA      | $560903.64    | 0.13%             | 2026-06-16      | Fixed         | 7.86%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 1998-4 IIA3         | CUSIP: 12669ATG9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     12846 | PA      | $12852.00     | 0.00%             | 2028-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2003-MS7 A12        | CUSIP: 939336TS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139080 | PA      | $141163.43    | 0.03%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Resecuritization Pass-Through Certificates Series 2008-2R                                      | CWALT 2008-2R 2A1         | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367482 | PA      | $160200.98    | 0.04%             | 2037-08-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1A2          | CUSIP: 36242DJS3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1313990 | PA      | $1315918.88   | 0.31%             | 2034-06-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | HEAT 2002-2 A2            | CUSIP: 22541NCP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236013 | PA      | $234838.29    | 0.06%             | 2032-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-R1 2A           | CUSIP: 12669F7L1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |      8918 | PA      | $8826.89      | 0.00%             | 2034-11-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNGT 2004-T5 AB1          | CUSIP: 31394AXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    516364 | PA      | $491329.36    | 0.12%             | 2035-05-28      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 01/30/35            | CUSIP: 61760QFQ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $326250.00    | 0.08%             | 2035-01-30      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2003-AR9 1A7         | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176908 | PA      | $174196.55    | 0.04%             | 2033-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GC FTPYME Pastor 4 FTA                                                                                   | PAST 4 E                  | CUSIP: E5650RAB3<br>LEI: 54930081SHHWJEY6G124 | Long             | ABS-O            | CORP              | ES        |    200000 | PA      | $44933.43     | 0.01%             | 2045-07-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| UNIT AUTO CR SEC TR 2022-2                                                                               | UACST 2022-2 D            | CUSIP: 90944KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1541192 | PA      | $1547831.69   | 0.36%             | 2028-01-10      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                                   | BOAA 2007-1 1A1           | CUSIP: 059496AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40504 | PA      | $37899.22     | 0.01%             | 2057-02-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                             | T 3 5/8 12/31/30          | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $12056484.60  | 2.84%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-NCM2 1CB2      | CUSIP: 17307GGY8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     34141 | PA      | $35330.87     | 0.01%             | 2034-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                                | COMM 2014-CR16 B          | CUSIP: 12591VAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23188 | PA      | $22626.27     | 0.01%             | 2047-04-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                                     | TBMLT 2018-3 B4           | CUSIP: 88632ACE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233635 | PA      | $190790.21    | 0.04%             | 2048-11-25      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                         | CWALT 2007-9T1 3A1        | CUSIP: 02150JBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18394 | PA      | $9514.36      | 0.00%             | 2022-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-AR24 3A1        | CUSIP: 22541QUP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70104 | PA      | $68350.96     | 0.02%             | 2033-10-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                                  | BAYV 2005-A M1            | CUSIP: 073250BQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007714 | PA      | $972588.92    | 0.23%             | 2040-02-28      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TR 2021-INV3                                                                           | HAWT 2021-INV3 B3         | CUSIP: 44555QCF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130641 | PA      | $114738.57    | 0.03%             | 2051-12-25      | Floating      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| VCC 2025-MC1 TRUST                                                                                       | VCC 2025-MC1 A1           | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1058243 | PA      | $1075008.09   | 0.25%             | 2055-05-25      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 03/29/34          | CUSIP: 17326YVR4<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58500.00     | 0.01%             | 2034-03-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 13 05/26/37            | CUSIP: 61766YBM2<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $978075.00    | 0.23%             | 2037-05-26      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2004-4 1A5           | CUSIP: 22541STP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346122 | PA      | $355679.80    | 0.08%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                                    | MHL 2004-2 B2             | CUSIP: 61913PAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88912 | PA      | $89688.83     | 0.02%             | 2034-12-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Trust 2019-5                                                                      | RCMT 2019-5 E             | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2082571.65   | 0.49%             | 2052-02-25      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Navient Pvt Education Loan Trust 2023-B                                                                  | NAVSL 2023-BA A1B         | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89891 | PA      | $90767.61     | 0.02%             | 2072-03-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR2022-HB1                                                                           | RBIT 2022-HB1 M4          | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1203325.88   | 0.28%             | 2032-04-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2016-H24 AI           | CUSIP: 38376RE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    463942 | PA      | $22139.86     | 0.01%             | 2066-11-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2002-AR2 A           | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11789 | PA      | $11562.61     | 0.00%             | 2034-02-27      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2008-1                                                                    | BAYC 2008-1 M1            | CUSIP: 07324AAG6<br>LEI: 549300DNB16HFXTEDZ43 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $474706.73    | 0.11%             | 2038-01-25      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2016-Ashf                                                     | BAMLL 2016-ISQ A          | CUSIP: 05523GAA9<br>LEI: 549300MWBLMUUG6B8094 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1693625.00   | 0.40%             | 2034-08-14      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare 2013-1 Receivables Funding LLC                                                          | SRFC 2022-3A D            | CUSIP: 826934AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365019 | PA      | $379682.46    | 0.09%             | 2039-07-20      | Fixed         | 10.52%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 06/30/31         | CUSIP: 61745EX63<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119843.75    | 0.03%             | 2031-06-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                                          | BANK 2019-BN20 B          | CUSIP: 06540AAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $872917.56    | 0.21%             | 2062-09-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming Loan Trust 2005-2                                                                     | MARP 2006-2 2A1           | CUSIP: 57645LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111707 | PA      | $103489.00    | 0.02%             | 2036-05-25      | Floating      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust 2024-CES1                                                               | VSTA 2024-CES1 M1         | CUSIP: 92839HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3069000 | PA      | $3142711.40   | 0.74%             | 2054-05-25      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-HYB2 2A         | CUSIP: 12669FTH6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     16070 | PA      | $15471.09     | 0.00%             | 2034-07-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2007-3                                                                            | SEMT 2007-3 1A1           | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116088 | PA      | $100544.75    | 0.02%             | 2036-07-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-37A B1I         | CUSIP: 86359BCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       640 | PA      | $619.68       | 0.00%             | 2033-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                              | DELHE 1999-2 A1A          | CUSIP: 24763LFS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55532 | PA      | $55338.72     | 0.01%             | 2030-08-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 06/30/37             | CUSIP: 61766YBQ3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    333000 | PA      | $309690.00    | 0.07%             | 2037-06-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNR 2002-26 A1            | CUSIP: 31392CR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     68434 | PA      | $72127.39     | 0.02%             | 2048-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc America Funding 2007-2 Trust                                                                        | BAFC 2007-2 1A8           | CUSIP: 05951GAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71897 | PA      | $13291.44     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2023-A LL                                                                      | CASL 2023-A A1            | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241620 | PA      | $245899.46    | 0.06%             | 2055-05-25      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                                        | CFAB 2004-1 1A7           | CUSIP: 161546HU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23168 | PA      | $23051.89     | 0.01%             | 2033-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SBALR COMML MTG 2020-RR1 TRUST                                                                           | SBALR 2020-RR1 D          | CUSIP: 78397EAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6075000 | PA      | $379362.49    | 0.09%             | 2053-02-13      | Floating      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2022-SJ1                                                                       | TPMT 2022-SJ1 B1          | CUSIP: 89180GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $513334.45    | 0.12%             | 2062-03-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-3 A4            | CUSIP: 12669FPC1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     20945 | PA      | $21151.78     | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 11/30/30            | CUSIP: 61760QJC9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40250.00     | 0.01%             | 2030-11-30      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                                             | RBSSP 2010-4 6A2          | CUSIP: 74927DAM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32550 | PA      | $32256.38     | 0.01%             | 2036-02-26      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2006-1F 2A16          | CUSIP: 362334AN4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    104583 | PA      | $42896.26     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-6F 1A7           | CUSIP: 362341DR7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      2039 | PA      | $1954.80      | 0.00%             | 2035-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2003-4 1A1           | CUSIP: 81743PBH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184121 | PA      | $172586.00    | 0.04%             | 2033-07-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2019-Icon                                           | JPMCC 2019-UES B          | CUSIP: 46651CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99405.96     | 0.02%             | 2032-05-05      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 2A4       | CUSIP: 12667FYL3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    347711 | PA      | $326616.34    | 0.08%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2015-1                                                            | VCC 2020-1 M5             | CUSIP: 92259LAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151459 | PA      | $119660.21    | 0.03%             | 2050-02-25      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank                                                            | ACAFP 10 04/22/36         | CUSIP: 22533ADJ3<br>LEI: 1VUV7VQFKUOQSJ21A208 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $410000.00    | 0.10%             | 2036-04-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | RAST 2003-A9 A3           | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119882 | PA      | $1026885.72   | 0.24%             | 2033-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-40A 3A2         | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20027 | PA      | $19431.81     | 0.00%             | 2034-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                            | BAFC 2005-E 8A1           | CUSIP: 05946XXW8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     36750 | PA      | $28809.86     | 0.01%             | 2035-06-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| E3 2019-1                                                                                                | E3 2019-1 A               | CUSIP: 269330AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405943 | PA      | $363914.56    | 0.09%             | 2055-09-20      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 07/31/35         | CUSIP: 61760QGS7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    458000 | PA      | $425940.00    | 0.10%             | 2035-07-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 6A1           | CUSIP: 576434SJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559616 | PA      | $569259.69    | 0.13%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/15/28         | CUSIP: 61760QDM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    772000 | PA      | $668745.00    | 0.16%             | 2028-10-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS Float 11/22/37         | CUSIP: 61766YCA7<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    422000 | PA      | $343930.00    | 0.08%             | 2037-11-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-6CB 1A6        | CUSIP: 12667F5H4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    103231 | PA      | $88597.44     | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2005-A7 1A4         | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20693 | PA      | $20029.86     | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| AAMC Inc.                                                                                                | AMAC 2003-11 A4           | CUSIP: 000780MP8<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |     63082 | PA      | $63922.02     | 0.02%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2005-A4 1A           | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149559 | PA      | $64552.78     | 0.02%             | 2035-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation Trust 2006-2                                                                   | HALO 2007-AR1 4A1         | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156313 | PA      | $118717.08    | 0.03%             | 2037-01-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                                      | SAST 2003-3 M2            | CUSIP: 805564PF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30005 | PA      | $28188.23     | 0.01%             | 2033-12-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 08/19/30         | CUSIP: 61760QGY4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    390000 | PA      | $341250.00    | 0.08%             | 2030-08-19      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 09/30/35         | CUSIP: 61760QHH0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    287000 | PA      | $266910.00    | 0.06%             | 2035-09-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2002-AL1 A3          | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    723051 | PA      | $120219.60    | 0.03%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2019-B9 B           | CUSIP: 08160JAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $121614.64    | 0.03%             | 2052-03-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                                    | RAMC 2002-3 M2            | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83936 | PA      | $74409.06     | 0.02%             | 2032-12-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-4                                                                           | MSAIC 2023-4A C           | CUSIP: 618934AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $60588.15     | 0.01%             | 2053-05-20      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2007 Ar2                                                                         | GSR 2007-AR2 2A1          | CUSIP: 3622N6AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70609 | PA      | $35432.60     | 0.01%             | 2037-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 06/30/34         | CUSIP: 25152RXB4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    245000 | PA      | $167825.00    | 0.04%             | 2034-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J8 1A5         | CUSIP: 12667GJ46<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    128336 | PA      | $88381.19     | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WFMBS 2018-1 B4           | CUSIP: 94989UBL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234000 | PA      | $164140.22    | 0.04%             | 2047-07-25      | Floating      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS Float 11/29/36         | CUSIP: 61766YAV3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   3883000 | PA      | $3475285.00   | 0.82%             | 2036-11-29      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                          | CWHL 2006-R2 AF1          | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50685 | PA      | $48236.67     | 0.01%             | 2036-07-25      | Floating      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-8AR 4A1          | CUSIP: 61748HEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14042 | PA      | $13700.74     | 0.00%             | 2034-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Napier Park Global Capital                                                                               | NPRL 2017-1A B1           | CUSIP: 62946AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1302122.40   | 0.31%             | 2047-10-21      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| USQ RAIL III LLC/ LLP                                                                                    | STEAM 2024-1A A           | CUSIP: 912928AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229507 | PA      | $229058.64    | 0.05%             | 2054-09-28      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU                                                                           | BSABS 2001-A B            | CUSIP: 07384JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124263 | PA      | $118359.37    | 0.03%             | 2031-02-15      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding 2013-2 Ltd.                                                                | HLA 2013-2A D             | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | KY        |    146712 | PA      | $82892.44     | 0.02%             | 2026-08-01      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2005-5 B             | CUSIP: 78442GPS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11101 | PA      | $10548.84     | 0.00%             | 2040-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| CDX.NA.HY SERIES 43                                                                                      | CDX.NA.HY SERIES 43 12/29 | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              | CORP              | N/A       |  54450000 | PA      | $-3821023.31  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| ELFI Graduate Ln Program 2020-A LLC                                                                      | ELFI 2020-A A             | CUSIP: 26857LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131818 | PA      | $122175.33    | 0.03%             | 2045-08-25      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR Float 07/31/34       | CUSIP: 06741UFM1<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |    170000 | PA      | $123250.00    | 0.03%             | 2034-07-31      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| SOHO TR 2021-SOHO                                                                                        | SOHO 2021-SOHO B          | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $91555.57     | 0.02%             | 2038-08-10      | Floating      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust 2005-A                                                             | SLMA 2004-B A4            | CUSIP: 78443CBP8<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |    230633 | PA      | $228736.31    | 0.05%             | 2033-09-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 06/30/30         | CUSIP: 61760QGJ7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    865000 | PA      | $779581.25    | 0.18%             | 2030-06-30      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 12/23/35         | CUSIP: 25152R2W2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     75000 | PA      | $54281.25     | 0.01%             | 2035-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET TRUST                                                                                              | AASET 2020-1A A           | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42497 | PA      | $42219.75     | 0.01%             | 2040-01-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                                      | CDCMC 2004-HE3 M3         | CUSIP: 12506YDH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194986 | PA      | $1146809.50   | 0.27%             | 2034-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-14 4A1          | CUSIP: 12669FT52<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     28708 | PA      | $27208.13     | 0.01%             | 2034-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans 2019-A LLC                                                                  | CASL 2019-A A1            | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56379 | PA      | $56620.67     | 0.01%             | 2048-12-28      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | STACR 2019-DNA3 B2        | CUSIP: 35564TBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1124756.65   | 0.27%             | 2049-07-25      | Floating      | 11.93%                | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                         | BALTA 2005-4 23A2         | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19525 | PA      | $18872.32     | 0.00%             | 2035-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 8 07/31/37             | CUSIP: 61766YBS9<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    290000 | PA      | $259550.00    | 0.06%             | 2037-07-31      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C3 D           | CUSIP: 12635FBA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $311470.89    | 0.07%             | 2048-08-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLCC 2005-B B1            | CUSIP: 59020UWZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175386 | PA      | $154227.32    | 0.04%             | 2030-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                                                   | CSMC 2015-6R 9A3          | CUSIP: 12650ECU9<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | ABS-O            | CORP              | CH        |    867029 | PA      | $885478.91    | 0.21%             | 2036-11-27      | Floating      | 11.16%                | Yes           |                  2 | On Loan: No      |
| Rmf Buyout Issuance Tr 2018                                                                              | RBIT 2020-HB1 M4          | CUSIP: 76971EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2529000 | PA      | $2480910.05   | 0.58%             | 2050-10-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| MOO SECURITIZATION TRUST 2025-RM1                                                                        | MOOST 2025-RM1 A1A        | CUSIP: 614872AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $983742.55    | 0.23%             | 2065-12-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                                      | SAST 2001-2 AF5           | CUSIP: 805564JL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14843 | PA      | $16037.10     | 0.00%             | 2029-03-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                                  | CCMFC 2005-4A A2          | CUSIP: 16678REU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146603 | PA      | $112124.39    | 0.03%             | 2036-10-25      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | G2 BU6365                 | CUSIP: 3617N8CA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1284 | PA      | $1291.18      | 0.00%             | 2070-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 02/29/36         | CUSIP: 61760QJN5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    909000 | PA      | $735153.75    | 0.17%             | 2036-02-29      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2004-9 4A1          | CUSIP: 57643MFQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2156282 | PA      | $1496545.88   | 0.35%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KENTUCKY HIGHER ED STUDENT LN CORP                                                                       | KYSSTD 5.119 11/25/2050   | CUSIP: 49130NEZ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    418527 | PA      | $410386.64    | 0.10%             | 2050-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 6A1       | CUSIP: 12667FYV1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     28112 | PA      | $26511.78     | 0.01%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-6 2A1           | CUSIP: 12669FVH3<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     43383 | PA      | $42629.82     | 0.01%             | 2034-05-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2023-1 M1             | CUSIP: 92259VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360769 | PA      | $365634.52    | 0.09%             | 2053-01-25      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2003-3F 1A6           | CUSIP: 36228FPE0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     59993 | PA      | $61175.84     | 0.01%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans, Inc.                                                                             | CWHL 2007-HY1 2A1         | CUSIP: 12544EAC1<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |     62274 | PA      | $56211.29     | 0.01%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A2 5A4         | CUSIP: 466247L27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18261 | PA      | $18061.97     | 0.00%             | 2033-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2005-RP3 1AF        | CUSIP: 362341LL1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    135033 | PA      | $116964.63    | 0.03%             | 2035-09-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2020-EXP1                                                                  | CMLTI 2020-EXP1 B1        | CUSIP: 17328JAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $266396.34    | 0.06%             | 2060-05-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2003-MS9 2A         | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31580 | PA      | $32327.05     | 0.01%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECV SEC TR 2023-1                                                                              | SFAST 2023-1A C           | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102924.29    | 0.02%             | 2031-02-20      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-27 4A4          | CUSIP: 22541QL75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69449 | PA      | $71144.46     | 0.02%             | 2033-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                                                     | PRPM 2024-NQM2 A1         | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1031148 | PA      | $1045882.57   | 0.25%             | 2069-06-25      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2000-1 A            | CUSIP: 36228FCQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    754040 | PA      | $740036.25    | 0.17%             | 2029-06-19      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                           | RALI 2005-QA12 CB1        | CUSIP: 761118MY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102655 | PA      | $37877.85     | 0.01%             | 2035-12-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-40A 3A1         | CUSIP: 86359BEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113487 | PA      | $110105.18    | 0.03%             | 2034-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2012-27 IO            | CUSIP: 38378BQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     52070 | PA      | $111.08       | 0.00%             | 2053-04-16      | Floating      | 0.19%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-61 2A1         | CUSIP: 12668AVP7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     82667 | PA      | $79431.72     | 0.02%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 Mortgage Trust                                                                             | CFCRE 2011-C2 D           | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128521 | PA      | $126939.30    | 0.03%             | 2047-12-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-3CB 1A9        | CUSIP: 12667FX75<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     25152 | PA      | $20985.47     | 0.00%             | 2035-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Trust 2018-Rpl5                                                                          | LMAT 2019-SL2 A           | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278970 | PA      | $274356.74    | 0.06%             | 2059-02-25      | Floating      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 12/27/26         | CUSIP: 61745E3T6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    138000 | PA      | $131100.00    | 0.03%             | 2026-12-27      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 09/30/30        | CUSIP: 22546VLJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    627000 | PA      | $561165.00    | 0.13%             | 2030-09-30      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHASI 2005-AR5 1A1        | CUSIP: 32051GXN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       501 | PA      | $2.50         | 0.00%             | 2035-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Napier Park Global Capital                                                                               | NPRL 2017-1A A1           | CUSIP: 62946AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75281 | PA      | $73102.02     | 0.02%             | 2047-10-21      | Fixed         | 3.37%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/28/28         | CUSIP: 61760QCQ5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     56000 | PA      | $49770.00     | 0.01%             | 2028-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 06/30/34         | CUSIP: 61760QEH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    485000 | PA      | $345110.00    | 0.08%             | 2034-06-30      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Jpmdb Commercial Mortgage Secu                                                                           | JPMDB 2017-C5 AS          | CUSIP: 46590TAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $193991.68    | 0.05%             | 2050-03-15      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2002-AR18 A          | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29516 | PA      | $29563.63     | 0.01%             | 2033-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Kgs-Alpha Sba Coof Tr 2014-4                                                                             | KSBA 2015-1 A             | CUSIP: 49374FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224803 | PA      | $27325.60     | 0.01%             | 2035-10-25      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J10 2CB1       | CUSIP: 12667FVB8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     18543 | PA      | $18998.35     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                                            | VCC 2017-2 M6             | CUSIP: 92258VAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1539808 | PA      | $1367241.01   | 0.32%             | 2047-11-25      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/30         | CUSIP: 61760QGR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    221000 | PA      | $193375.00    | 0.05%             | 2030-07-31      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                                     | CSMC 2010-18R 4A4         | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21726 | PA      | $21676.79     | 0.01%             | 2038-04-26      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                                              | PRIME 2003-3 A9           | CUSIP: 74160MCS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246932 | PA      | $248192.29    | 0.06%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2004-7 4A           | CUSIP: 41161PGM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    874792 | PA      | $803827.18    | 0.19%             | 2034-11-19      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2005-AR13 1A1        | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183656 | PA      | $79207.98     | 0.02%             | 2035-08-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2019-1                                                            | VCC 2019-1 M6             | CUSIP: 92257CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783511 | PA      | $699894.33    | 0.16%             | 2049-03-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2004-1 1A12         | CUSIP: 55265K5N5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5759 | PA      | $5735.73      | 0.00%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 06/30/35         | CUSIP: 61760QGK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    366000 | PA      | $340380.00    | 0.08%             | 2035-06-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNW 2004-W14 3A           | CUSIP: 31394BT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     85055 | PA      | $88714.37     | 0.02%             | 2044-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 06/30/36             | CUSIP: 61766YAE1<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    541000 | PA      | $437533.75    | 0.10%             | 2036-06-30      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| GS Finance Corp                                                                                          | GS 6 03/24/31             | CUSIP: 40057FSG0<br>LEI: 549300FR80KBVO6DRL61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $383125.00    | 0.09%             | 2031-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNW 2005-W3 3A            | CUSIP: 31394FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    130283 | PA      | $128157.35    | 0.03%             | 2045-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2M1            | CUSIP: 45254NRV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289374 | PA      | $277493.86    | 0.07%             | 2036-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                                         | RBSGC 2007-B 3B1          | CUSIP: 74927XAR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8860 | PA      | $8975.89      | 0.00%             | 2035-07-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A7 2A4R        | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146058 | PA      | $117720.38    | 0.03%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | RAAC 2004-SP1 AII         | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20437 | PA      | $20423.94     | 0.00%             | 2034-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                                      | CDCMC 2003-HE4 A1         | CUSIP: 12506YBX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27428 | PA      | $27427.92     | 0.01%             | 2034-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2007-1 30PO          | CUSIP: 55275SAW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21596 | PA      | $11788.13     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MELLO MTG CAP ACCPT 2018-MTG2                                                                            | MELLO 2018-MTG2 B5        | CUSIP: 585499BU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $732195.38    | 0.17%             | 2048-10-25      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| TRUPS FINCLS NT SEC LTD 2019-2                                                                           | TFINS 2019-2A A1          | CUSIP: 87268RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2717675 | PA      | $2739212.83   | 0.65%             | 2039-02-28      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-14 A2           | CUSIP: 12669GK67<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    407029 | PA      | $152776.97    | 0.04%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2024-2                                                                           | MSAIC 2024-2A A           | CUSIP: 61947BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65415 | PA      | $64153.48     | 0.02%             | 2052-04-22      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Tr 2016-C36                                                                             | WFCM 2016-C36 C           | CUSIP: 95000MBV2<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-O            | CORP              | US        |    505000 | PA      | $432888.98    | 0.10%             | 2059-11-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 10/31/34         | CUSIP: 61760QFF6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    169000 | PA      | $122525.00    | 0.03%             | 2034-10-31      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-J5 A4           | CUSIP: 12669FF24<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     86201 | PA      | $86912.91     | 0.02%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOMES TR 2023-NQM1                                                                                       | HOMES 2023-NQM1 M1        | CUSIP: 43761JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275238 | PA      | $276179.20    | 0.07%             | 2068-01-25      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TR                                                                      | AOMT 2020-SBC1 B1         | CUSIP: 03465BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3204350 | PA      | $2677458.57   | 0.63%             | 2050-05-25      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Trust 2018-4                                                                      | RCMT 2018-4 E             | CUSIP: 75575KAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2902207.05   | 0.68%             | 2051-02-27      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS ISSUER 2022-B                                                                             | SNVA 2022-B A             | CUSIP: 86744VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417522 | PA      | $368151.47    | 0.09%             | 2049-08-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| EDVESTINU PVT ED LN 2021-A LLC                                                                           | EDVES 2021-A A            | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49915 | PA      | $47059.28     | 0.01%             | 2045-11-25      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022-5                                                                          | AOMT 2022-5 A3            | CUSIP: 03464HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    767821 | PA      | $762519.11    | 0.18%             | 2067-05-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 11/30/30         | CUSIP: 61760QJB1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     66000 | PA      | $59565.00     | 0.01%             | 2030-11-30      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Flagstar Mtg Tr 2017-1                                                                                   | FSMT 2021-13IN B5         | CUSIP: 33853HBF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91089 | PA      | $75829.62     | 0.02%             | 2051-12-30      | Floating      | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                          | CWHL 2007-15 2A2          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288687 | PA      | $102159.15    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 10YR NOTE (CBT)Jun26   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |       180 | NC      | $88097.40     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC USA, Inc.                                                                                           | HSBC FLOAT 05/21/29       | CUSIP: 40432XZ79<br>LEI: 549300LBOHZ4QSIWU288 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87625.00     | 0.02%             | 2029-05-21      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-19 1A19         | CUSIP: 22541QMR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291293 | PA      | $291973.74    | 0.07%             | 2033-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mid Ocean Cbo 2001-1 Ltd. / Mid Ocean Cbo 2001-1 Del Corp.                                               | MID 2001-1X A1L           | CUSIP: G6106WAB8<br>LEI: 21380085TPMUBZ93O670 | Long             | ABS-CBDO         | CORP              | KY        |   3417418 | PA      | $210536.84    | 0.05%             | 2036-11-05      | Floating      | 2.39%                 | Yes           |                  2 | On Loan: No      |
| GE WMC Mortgage Securities LLC                                                                           | GEWMC 2005-2 M1           | CUSIP: 367910AW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86494 | PA      | $71093.11     | 0.02%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Tst                                                                                      | WPT 2017-WWP A            | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $759253.32    | 0.18%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/36             | CUSIP: 61766YAM3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   3863000 | PA      | $3457385.00   | 0.81%             | 2036-08-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2007-WF1 A1          | CUSIP: 86358BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233232 | PA      | $230663.52    | 0.05%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CD 2017 Cd3 Mortgage Trust                                                                               | CD 2017-CD3 D             | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65982 | PA      | $2148.51      | 0.00%             | 2050-02-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 05/29/30            | CUSIP: 61760QGC2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1467235.00   | 0.35%             | 2030-05-29      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNW 2002-W2 AV1           | CUSIP: 31392CEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     37716 | PA      | $36991.12     | 0.01%             | 2032-06-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG SEC 2019-4                                                                               | WFMBS 2019-4 A2           | CUSIP: 95002FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51077 | PA      | $45909.39     | 0.01%             | 2049-09-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2002-NP14 M1         | CUSIP: 22541NDH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215143 | PA      | $111071.86    | 0.03%             | 2031-11-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2004-18 1A3          | CUSIP: 863579FS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54037 | PA      | $48586.35     | 0.01%             | 2034-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2000-5 B3            | CUSIP: 8635722B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13882 | PA      | $10882.76     | 0.00%             | 2030-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2023-1                                                                              | CHNGE 2023-1 M1           | CUSIP: 12547QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249826.09    | 0.06%             | 2058-03-25      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                              | DELHE 2000-1 M2           | CUSIP: 24763LGL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234843 | PA      | $226499.58    | 0.05%             | 2030-05-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2021-                                                                      | CBSLT 2021-BGS A          | CUSIP: 20268AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98936 | PA      | $87344.61     | 0.02%             | 2051-09-25      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 2A10        | CUSIP: 55265KX61<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3333 | PA      | $3443.66      | 0.00%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC26                                                                   | GSMS 2014-GC26 B          | CUSIP: 36250HAK9<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-O            | CORP              | US        |    120265 | PA      | $112583.91    | 0.03%             | 2047-11-10      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                                                     | NATCM 2008-1 2A1          | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371274 | PA      | $380973.37    | 0.09%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2018-8 A3           | CUSIP: 46650MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16649 | PA      | $15913.59     | 0.00%             | 2049-01-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-MINN                                           | JPMCC 2018-MINN A         | CUSIP: 46650GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387000 | PA      | $360117.35    | 0.08%             | 2035-11-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                       | SASC 2005-RF3 2A          | CUSIP: 86359DME4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66075 | PA      | $60243.00     | 0.01%             | 2035-06-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | G2 786928                 | CUSIP: 3622ACSR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60432 | PA      | $63744.39     | 0.02%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                                        | DSLA 2004-AR4 2A1A        | CUSIP: 23332UBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250828 | PA      | $192237.40    | 0.05%             | 2045-01-19      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust 2017-5                                                                   | LNSTR 2017-5 D            | CUSIP: 54910TAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1262051.25   | 0.30%             | 2050-03-10      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FHMS K092 X3              | CUSIP: 3137FLYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    847054 | PA      | $54981.89     | 0.01%             | 2047-05-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRES WD TR 2021-INV1                                                                            | HAWT 2021-INV1 B2         | CUSIP: 44590HCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156407 | PA      | $139596.28    | 0.03%             | 2051-07-25      | Floating      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                 | JPALT 2008-R4 1A1         | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    899783 | PA      | $426343.14    | 0.10%             | 2036-12-27      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-10 3M3           | CUSIP: 45254NLT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17083 | PA      | $16450.95     | 0.00%             | 2035-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2004-10 B1           | CUSIP: 576433TB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25233 | PA      | $21684.06     | 0.01%             | 2034-10-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LIM                                                                      | TMCL 2024-1A A            | CUSIP: 88316AAA9<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |     86550 | PA      | $87449.31     | 0.02%             | 2049-08-20      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-8 3B             | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38768 | PA      | $39655.48     | 0.01%             | 2034-08-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/21/27         | CUSIP: 61760QAJ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114568.75    | 0.03%             | 2027-03-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming Loan Trust 2005-2                                                                     | MARP 2005-2 1A4           | CUSIP: 57643QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14176 | PA      | $9972.13      | 0.00%             | 2035-05-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2004-AR15 3A1        | CUSIP: 45660LBG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190128 | PA      | $184677.18    | 0.04%             | 2035-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA7 2A2        | CUSIP: 32051GFC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44970 | PA      | $41538.79     | 0.01%             | 2035-02-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMS 2000-1A A            | CUSIP: 36228FCU8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    102096 | PA      | $71638.19     | 0.02%             | 2024-09-20      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2007-2                                                                            | SEMT 2007-2 1B1           | CUSIP: 81744LAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217878 | PA      | $193339.00    | 0.05%             | 2036-06-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                                  | CCMFC 2004-3A A1          | CUSIP: 16678RBU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284838 | PA      | $280622.31    | 0.07%             | 2035-08-25      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust Series 2006-1F                                                           | STALT 2005-1F 1A1         | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45432 | PA      | $39803.89     | 0.01%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Jpmdb Commercial Mortgage Secu                                                                           | JPMDB 2017-C5 B           | CUSIP: 46590TAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1165000 | PA      | $986707.12    | 0.23%             | 2050-03-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Steele Creek Clo 2018-2                                                                                  | STCR 2018-2A D            | CUSIP: 85816LAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500733.00    | 0.12%             | 2031-08-18      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FIN CRC MT TR 20-A                                                                           | CFCC 2022-A A             | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324896 | PA      | $325624.62    | 0.08%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Mastr Asset Sec Tr                                                                                       | MASTR 2006-3 2A1          | CUSIP: 55274SAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2174712 | PA      | $317345.81    | 0.07%             | 2036-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST 2025-NQM1                                                                             | ADMT 2025-NQM5 A1         | CUSIP: 00250AAC8<br>LEI: 984500CE0D9FE0NM4277 | Long             | ABS-O            | CORP              | US        |   2934225 | PA      | $2947729.61   | 0.69%             | 2070-12-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2002-39 A37          | CUSIP: 12669DVM7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     66710 | PA      | $66346.96     | 0.02%             | 2033-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2020-5 A3           | CUSIP: 46653JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34794 | PA      | $31191.19     | 0.01%             | 2050-12-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 03/27/35         | CUSIP: 25152RYF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    738000 | PA      | $579330.00    | 0.14%             | 2035-03-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 01/29/31         | CUSIP: 61760QJG0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63175.00     | 0.01%             | 2031-01-29      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-61 1A1             | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    106768 | PA      | $104454.19    | 0.02%             | 2044-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1AF          | CUSIP: 36242DJQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    803268 | PA      | $728735.56    | 0.17%             | 2034-06-25      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Comm 2016 Cor1 Mgt                                                                                       | COMM 2016-COR1 C          | CUSIP: 12594MBF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175500 | PA      | $151542.69    | 0.04%             | 2049-10-10      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                                            | SCRT 2017-3 B             | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     45784 | PA      | $7683.82      | 0.00%             | 2056-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-10 12A5        | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35378 | PA      | $34417.15     | 0.01%             | 2035-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                                    | MHL 2005-3 M2             | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137272 | PA      | $135128.07    | 0.03%             | 2035-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2004-17 A1           | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237234 | PA      | $212849.56    | 0.05%             | 2034-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-HYB5 6A2        | CUSIP: 12669F3H4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     38381 | PA      | $35798.58     | 0.01%             | 2035-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| NORTH TEX HIGHER ED AUTH INC TEX                                                                         | NRTSTD 4.639 10/25/2061   | CUSIP: 662826FP6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    318145 | PA      | $315267.20    | 0.07%             | 2061-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| SLM Private Education Loan Trust 2014-A                                                                  | SLMA 2010-C A5            | CUSIP: 78445QAE1<br>LEI: 549300XEL6YCZ2OF2E98 | Long             | ABS-O            | CORP              | US        |    593214 | PA      | $623333.40    | 0.15%             | 2041-10-15      | Floating      | 8.52%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF FLOAT 01/31/38        | CUSIP: 47233JBG2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86075.00     | 0.02%             | 2038-01-31      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2021-2                                                            | VCC 2021-2 M4             | CUSIP: 92259MAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376413 | PA      | $293443.61    | 0.07%             | 2051-08-25      | Floating      | 3.08%                 | Yes           |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C2 D           | CUSIP: 12634NBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1623000 | PA      | $1435063.90   | 0.34%             | 2057-06-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                                               | MSSTR 2003-1 2A1          | CUSIP: 55265WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312992 | PA      | $316991.83    | 0.07%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007 S3                                                              | CHASE 2007-S3 AP          | CUSIP: 16163HBE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469816 | PA      | $489.81       | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                                           | BNP FLOAT 04/30/33        | CUSIP: 05574LHR2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    177000 | PA      | $128767.50    | 0.03%             | 2033-04-30      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                                    | BSABS 2004-FR2 M4         | CUSIP: 073879FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14211 | PA      | $14264.16     | 0.00%             | 2034-06-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| OCWEN RESIDENTIAL MBS CORPORAT                                                                           | OCMBS 1998-R3 AWAC        | CUSIP: 675748BD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3401647 | PA      | $76537.05     | 0.02%             | 2038-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-1 2A1           | CUSIP: 576434LT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90573 | PA      | $92172.93     | 0.02%             | 2034-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                                         | EQABS 2004-3 M1           | CUSIP: 294751EZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109307 | PA      | $103301.69    | 0.02%             | 2034-07-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-E 2A1          | CUSIP: 05949A6C9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     30574 | PA      | $27677.48     | 0.01%             | 2035-06-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-H 2A1          | CUSIP: 05949CFW1<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     18395 | PA      | $16510.96     | 0.00%             | 2035-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2006-1 2A2           | CUSIP: 863579P28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422023 | PA      | $378977.53    | 0.09%             | 2036-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| ONITY LN INVT TR 2024-HB2                                                                                | OLIT 2024-HB2 M2          | CUSIP: 68278DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $268154.97    | 0.06%             | 2037-08-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2011-RR10 1A2        | CUSIP: 05537LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618526 | PA      | $473931.08    | 0.11%             | 2037-03-26      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 08/29/34         | CUSIP: 61760QEP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    333000 | PA      | $241425.00    | 0.06%             | 2034-08-29      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK27                                                                                          | BANK 2020-BN27 B          | CUSIP: 06539XAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474000 | PA      | $418671.47    | 0.10%             | 2063-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2023-3 M3             | CUSIP: 92258WAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606966 | PA      | $630326.62    | 0.15%             | 2053-08-25      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2005-3 7A5           | CUSIP: 225458LM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11184 | PA      | $11131.90     | 0.00%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 04/25/32          | CUSIP: 17324CHH2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     41000 | PA      | $39616.05     | 0.01%             | 2032-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF MTG TR 2020-                                                                                       | FREMF 2020-KF76 B         | CUSIP: 30316EAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     91647 | PA      | $89936.31     | 0.02%             | 2030-01-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2014-10 4A1         | CUSIP: 17323FAH3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      8829 | PA      | $8813.76      | 0.00%             | 2037-02-25      | Floating      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2003-60 2A1          | CUSIP: 12669FJD6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     93605 | PA      | $90053.43     | 0.02%             | 2034-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSI LN TR 2023-1                                                                           | NWSB 2023-1 A             | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260093 | PA      | $262690.91    | 0.06%             | 2050-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C3 C           | CUSIP: 12635FAZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $168998.99    | 0.04%             | 2048-08-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Ellington Clo I Limted                                                                                   | ECLO 2018-3A D            | CUSIP: 28852LAL7<br>LEI: 254900V20GCNJI0I7591 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $515741.00    | 0.12%             | 2030-07-20      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                               | IMSA 2003-2 A2            | CUSIP: 45254TMT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165407 | PA      | $129274.32    | 0.03%             | 2033-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORTIFI 2023-1                                                                                           | FORTI 2023-1A A           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439702 | PA      | $446828.53    | 0.11%             | 2059-09-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 02/28/34         | CUSIP: 61760QDY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    130000 | PA      | $91000.00     | 0.02%             | 2034-02-28      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC32                                                                   | GSMS 2015-GC32 D          | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-O            | CORP              | US        |      8399 | PA      | $8120.61      | 0.00%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007 S3                                                              | CHASE 2007-S3 1A17        | CUSIP: 16163HAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264029 | PA      | $73866.04     | 0.02%             | 2037-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-10 3M2           | CUSIP: 45254NLS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16845 | PA      | $16455.91     | 0.00%             | 2035-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-8 13A1         | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802028 | PA      | $714676.19    | 0.17%             | 2034-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 09/30/34         | CUSIP: 61760QEW0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $116000.00    | 0.03%             | 2034-09-30      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                                            | NRZT 2025-NQM4 A1         | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-O            | CORP              | US        |   6178371 | PA      | $6260976.11   | 1.48%             | 2065-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                                        | DSLA 2005-AR5 2A1A        | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133368 | PA      | $70597.40     | 0.02%             | 2045-09-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Bmd 2 Re-Remic Tr 2019-Frr1                                                                              | BMD2 2019-FRR1 5A1        | CUSIP: 055631BQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $529394.46    | 0.12%             | 2052-05-25      | Floating      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2005-4 3A1          | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88910 | PA      | $65879.32     | 0.02%             | 2035-07-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                      | BNS Float 01/30/34        | CUSIP: 064159DF0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $84600.00     | 0.02%             | 2034-01-30      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Times Square Hotel Tr                                                                                    | TIMSQU 8.528 08/01/26     | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370647 | PA      | $371196.98    | 0.09%             | 2026-08-01      | Fixed         | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                                   | BOAA 2004-6 3A1           | CUSIP: 05948KSJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85039 | PA      | $86363.85     | 0.02%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 7A5         | CUSIP: 55265K2K4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30775 | PA      | $31516.94     | 0.01%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CBASS 2004-CB3 B1         | CUSIP: 17307GES3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     85592 | PA      | $116476.42    | 0.03%             | 2034-03-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                                | ABFC 2004-OPT2 A2         | CUSIP: 04542BFV9<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |     52274 | PA      | $51678.34     | 0.01%             | 2033-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2005-15 1A1          | CUSIP: 863579UL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305345 | PA      | $153408.12    | 0.04%             | 2035-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS 10 04/29/31           | CUSIP: 22548Q2R5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    791000 | PA      | $715855.00    | 0.17%             | 2031-04-29      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32                                                      | JPMBB 2015-C32 D          | CUSIP: 46590JBE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345000 | PA      | $36225.00     | 0.01%             | 2048-11-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHASI 2007-AR3 1A1        | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216285 | PA      | $82601.72     | 0.02%             | 2037-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Sutherland Coml Mtg Tr 2019-Sbc8                                                                         | SCML 2019-SBC8 A          | CUSIP: 86935CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29986 | PA      | $28854.57     | 0.01%             | 2041-04-25      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust Series 2007-AB1                                            | DBALT 2007-AB1 PO         | CUSIP: 25151WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413513 | PA      | $205761.77    | 0.05%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-1 1A1          | CUSIP: 07384MTH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    574397 | PA      | $493164.66    | 0.12%             | 2033-04-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRU                                                                      | HCCLT 2020-1 M5           | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1884382.00   | 0.44%             | 2052-04-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-1 124M         | CUSIP: 07384MG89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87727 | PA      | $77482.10     | 0.02%             | 2034-04-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 3YR NOTE (CBT) Jun26   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |       100 | NC      | $39739.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chec Loan Trust                                                                                          | CHEC 2004-1 M2            | CUSIP: 162765AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116848 | PA      | $116758.29    | 0.03%             | 2034-07-25      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Navient Pvt Education Loan Trust 2023-B                                                                  | NAVSL 2021-DA A           | CUSIP: 63942CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227448 | PA      | $225033.32    | 0.05%             | 2060-04-15      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS X ISSUER LLC                                                                              | SNVA 2022-C C             | CUSIP: 86744WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144010 | PA      | $71704.76     | 0.02%             | 2049-11-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LND MTG TR 2019-1                                                                             | CHASE 2019-1 B4           | CUSIP: 16159WBZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84199 | PA      | $76658.76     | 0.02%             | 2050-03-25      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Fna VII LLC                                                                                              | FNH 2023-1A A1            | CUSIP: 30327HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103783 | PA      | $104331.71    | 0.02%             | 2038-04-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J3 1A3         | CUSIP: 12669FEZ2<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     71993 | PA      | $72845.63     | 0.02%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2002-19 1A1          | CUSIP: 12669DBA5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    328296 | PA      | $298619.56    | 0.07%             | 2032-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                                                  | WBCMT 2004-C12 IO         | CUSIP: 929766SJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112548 | PA      | $187.94       | 0.00%             | 2041-07-15      | Floating      | 0.89%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-62 1A1             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    121135 | PA      | $112306.41    | 0.03%             | 2044-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| J P Morgan Tax Exempt Pass Thru Tr Ser 2012-3                                                            | JPTEP 2012-3 A            | CUSIP: 46637UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95210 | PA      | $89167.83     | 0.02%             | 2042-10-27      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 9 08/31/37            | CUSIP: 47233JAX6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    150000 | PA      | $116062.50    | 0.03%             | 2037-08-31      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| OWS CRE FUNDING III LLC                                                                                  | OWSCRE 2025-MARG2 A       | CUSIP: 67121XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002454.90   | 0.24%             | 2027-08-15      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-E                                                         | NAVSL 2021-FA B           | CUSIP: 63942GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $175556.64    | 0.04%             | 2070-02-18      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| COLT 2023-2 MORTGAGE LOAN TRUST                                                                          | COLT 2023-2 B1            | CUSIP: 12598UAE6<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $402652.50    | 0.09%             | 2068-07-25      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Jpmdb Commercial Mortgage Securities Trust 2016 C4                                                       | JPMDB 2020-COR7 B         | CUSIP: 46652JBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $133001.40    | 0.03%             | 2053-05-13      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-L 2A4          | CUSIP: 05949CPK6<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     88047 | PA      | $79500.83     | 0.02%             | 2036-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2012-H27 AI           | CUSIP: 38375BZC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     68285 | PA      | $1843.44      | 0.00%             | 2062-10-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                                                           | FREMF 2018-KF52 B         | CUSIP: 30297KAG9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    368477 | PA      | $355956.35    | 0.08%             | 2028-09-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMU 2002-AR14 B1         | CUSIP: 939336DA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37018 | PA      | $34127.04     | 0.01%             | 2032-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                     | DMSI 2004-1 1A1           | CUSIP: 251563CG5<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     25064 | PA      | $25765.60     | 0.01%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2003-S5 1A13         | CUSIP: 9292272R6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26960 | PA      | $27394.21     | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-8 2A1          | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35523 | PA      | $34063.28     | 0.01%             | 2034-01-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 08/31/30            | CUSIP: 61760QHC1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    216000 | PA      | $189000.00    | 0.04%             | 2030-08-31      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                                   | MSC 2014-150E D           | CUSIP: 61764BAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347000 | PA      | $279954.72    | 0.07%             | 2032-09-09      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-4 2M2            | CUSIP: 45254NPP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423836 | PA      | $429077.12    | 0.10%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-8F 3A4           | CUSIP: 362341WA3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     27068 | PA      | $8512.80      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EFMT 2026-RM1                                                                                            | EFMT 2026-RM1 A1          | CUSIP: 26846HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $981891.75    | 0.23%             | 2056-01-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE                                                                      | MSRM 2023-NQM1 B1         | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1007557.10   | 0.24%             | 2068-09-25      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-5 2A9           | CUSIP: 12669FWD1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     47033 | PA      | $46756.88     | 0.01%             | 2034-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2006-2 5A1           | CUSIP: 576438AH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90962 | PA      | $27322.62     | 0.01%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| HARVEST SBA LOAN TRUST 2023-1                                                                            | HSLT 2023-1 C             | CUSIP: 41757BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1696490 | PA      | $1815104.26   | 0.43%             | 2050-10-25      | Floating      | 12.29%                | Yes           |                  2 | On Loan: No      |
| NAAC Reperforming Loan Remic Trust Certificates Series 2004-R2                                           | NAA 2004-R1 A2            | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116155 | PA      | $111038.98    | 0.03%             | 2034-03-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 09/30/30        | CUSIP: 22546VMD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    300000 | PA      | $258375.00    | 0.06%             | 2030-09-30      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-2R A           | CUSIP: 36228FF35<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     39731 | PA      | $7151.62      | 0.00%             | 2034-02-25      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust                                                                          | LNSTR 2016-4 D            | CUSIP: 50219QAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    759728 | PA      | $731826.88    | 0.17%             | 2049-03-10      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | RAAC 2005-SP1 4A1         | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11405 | PA      | $6216.95      | 0.00%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SBALR COMML MTG 2020-RR1 TRUST                                                                           | SBALR 2020-RR1 C          | CUSIP: 78397EAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4349000 | PA      | $2691538.26   | 0.63%             | 2053-02-13      | Floating      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J10 5CB1       | CUSIP: 12667FVG7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    472899 | PA      | $486772.74    | 0.11%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 8 09/30/37            | CUSIP: 47233JAY4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    248000 | PA      | $188480.00    | 0.04%             | 2037-09-30      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                                      | SAST 2003-3 AF5           | CUSIP: 805564PA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163907 | PA      | $156851.58    | 0.04%             | 2033-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-7 6A           | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3550 | PA      | $3461.84      | 0.00%             | 2033-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST 20                                                                      | VSTA 2024-CES2 A1         | CUSIP: 92841YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3294020 | PA      | $3309056.06   | 0.78%             | 2054-10-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS 10 10/25/33        | CUSIP: 5394E8CC1<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    136000 | PA      | $97920.00     | 0.02%             | 2033-10-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| First Horizon Alt                                                                                        | FHAMS 2007-FA4 1A8        | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69670 | PA      | $23133.02     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 03/31/34            | CUSIP: 61760QEE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    209000 | PA      | $148390.00    | 0.03%             | 2034-03-31      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-5 2A           | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76676 | PA      | $72466.09     | 0.02%             | 2034-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF Float 10/31/37        | CUSIP: 47233JBC1<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1800000.00   | 0.42%             | 2037-10-31      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                                      | MABS 2004-FRE1 M7         | CUSIP: 57643LEA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835910 | PA      | $797550.23    | 0.19%             | 2034-07-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation Trust 2006-2                                                                   | HALO 2007-1 2A12          | CUSIP: 40431TAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192909 | PA      | $69582.46     | 0.02%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2005-10 5A1           | CUSIP: 61748HSL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73866 | PA      | $26512.39     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                                        | AFC 1999-3 1A             | CUSIP: 00105HEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132574 | PA      | $115492.51    | 0.03%             | 2029-09-28      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                                    | SBM7 1997-HUD2 B2         | CUSIP: 79548KXR4<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |     83525 | PA      | $47.53        | 0.00%             | 2027-11-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Galleria Cdo V Ltd.                                                                                      | GALLA 5A B                | CUSIP: 073605AC1<br>LEI: 549300R3MKF44DY8VC82 | Long             | ABS-CBDO         | CORP              | KY        |   2173874 | PA      | $2160947.16   | 0.51%             | 2037-09-19      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                         | SAIL 2003-BC9 M3          | CUSIP: 86358EDM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527273 | PA      | $490911.12    | 0.12%             | 2033-08-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 10 12/30/36            | CUSIP: 61766YAY7<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35850.00     | 0.01%             | 2036-12-30      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Np Spe X Lp 2019-2                                                                                       | NPRL 2021-1A A1           | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3972131 | PA      | $3419913.50   | 0.81%             | 2051-03-19      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Home Partners Of America 2020-2 Trust                                                                    | HPA 2020-2 F              | CUSIP: 437301AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139038 | PA      | $131503.44    | 0.03%             | 2041-01-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-72 A3          | CUSIP: 12668A3Q6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     95963 | PA      | $99385.20     | 0.02%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Belvedere SPV S.r.l.                                                                                     | BLVDR 1 A                 | CUSIP: T30242AA8<br>LEI: 815600EE6F87DF1A1266 | Long             | ABS-O            | CORP              | IT        |   3922993 | PA      | $673823.60    | 0.16%             | 2038-12-31      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| ACHM TRUST 2023-HE1                                                                                      | ACHM 2023-HE1 B           | CUSIP: 00092AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1075629.60   | 0.25%             | 2037-11-25      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-6 7A1           | CUSIP: 576433GN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14743 | PA      | $14473.67     | 0.00%             | 2033-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2004-12 1B1           | CUSIP: 36242DLG6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    556835 | PA      | $118666.88    | 0.03%             | 2034-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2019-1                                                                | EFMT 2022-1 B2            | CUSIP: 31573CAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $299998.30    | 0.07%             | 2067-01-25      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                                | NCHET 2003-5 AII          | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21112 | PA      | $14017.21     | 0.00%             | 2033-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                                            | NHEL 2003-4 A1            | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153156 | PA      | $154781.14    | 0.04%             | 2034-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HERO FUNDING 2021-1                                                                                      | HERO 2021-1A B            | CUSIP: 42770AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177411 | PA      | $170236.83    | 0.04%             | 2051-09-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2005-AR8 2A1A        | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147128 | PA      | $142046.80    | 0.03%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2005-2A M1           | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19936 | PA      | $19421.59     | 0.00%             | 2035-08-25      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Security National Mortgage Loan Tst                                                                      | SNMLT 2005-2A A3          | CUSIP: 81441PCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185867 | PA      | $188407.30    | 0.04%             | 2036-02-25      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates Series 2007-3                | LBSBC 2007-3A M2          | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544000 | PA      | $503861.50    | 0.12%             | 2037-10-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance 2018-Mtg1                                                              | MELLO 2021-MTG1 B1        | CUSIP: 585495EC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525175 | PA      | $446804.76    | 0.11%             | 2051-04-25      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2004-A3 3A3         | CUSIP: 466247CZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1873 | PA      | $1853.02      | 0.00%             | 2034-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-Af1                                      | NAA 2006-AF1 4A1          | CUSIP: 65536PAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387133 | PA      | $358785.77    | 0.08%             | 2036-06-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series 2007-A2                                                | MANA 2007-A2 A3B          | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310977 | PA      | $73330.36     | 0.02%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                                           | GSMSC 2008-2R 2A1         | CUSIP: 3622X1AC3<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-O            | CORP              | US        |    782774 | PA      | $84940.79     | 0.02%             | 2036-10-25      | Floating      | 1.29%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018 Phh                                            | JPMCC 2018-PHH A          | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3197983 | PA      | $2152536.58   | 0.51%             | 2035-06-15      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-27CB A1        | CUSIP: 12667FWU5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    241592 | PA      | $218964.93    | 0.05%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J G Wentworth Xlii Llc                                                                                   | HENDR 2018-2A B           | CUSIP: 46590UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45505 | PA      | $42247.72     | 0.01%             | 2077-10-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2007-9 2A1           | CUSIP: 86364JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286623 | PA      | $179271.75    | 0.04%             | 2047-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                               | NOMURA Float 07/29/34     | CUSIP: 65539ABE9<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |    890000 | PA      | $625225.00    | 0.15%             | 2034-07-29      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                | GMACM 2006-AR1 1A1        | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97672 | PA      | $81006.19     | 0.02%             | 2036-04-19      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                                    | WFMBS 2007-7 A6           | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51885 | PA      | $48077.49     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2023-2 M4             | CUSIP: 92260AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4059236 | PA      | $4161877.89   | 0.98%             | 2053-05-25      | Floating      | 10.34%                | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2005-4                                                                            | SEMT 2004-10 A1A          | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22054 | PA      | $21201.51     | 0.00%             | 2034-11-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2005-4                                                                            | SEMT 2005-2 A1            | CUSIP: 81744FGY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40998 | PA      | $38236.18     | 0.01%             | 2035-03-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-12 6A1         | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11291 | PA      | $9589.60      | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-INV3                                                                     | VERUS 2023-INV3 B1        | CUSIP: 92540CAE7<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1014472.30   | 0.24%             | 2068-11-25      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-21 1A4          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15468 | PA      | $15665.98     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2005-2 2A11         | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     30486 | PA      | $30864.79     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-Inv3                                                                     | VERUS 2023-8 A2           | CUSIP: 92540DAB1<br>LEI: 213800DTJD5UKJR53O34 | Long             | ABS-O            | CORP              | US        |   2124560 | PA      | $2146112.28   | 0.51%             | 2068-12-25      | Floating      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS FLOAT 07/31/30        | CUSIP: 22546VH58<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    353000 | PA      | $322112.50    | 0.08%             | 2030-07-31      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C Float 01/22/35          | CUSIP: 17327TC95<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1307812.50   | 0.31%             | 2035-01-22      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| Sutherland Coml Mtg Tr 2019-Sbc8                                                                         | SCML 2021-SB10 C          | CUSIP: 86935JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351445 | PA      | $329599.85    | 0.08%             | 2041-12-25      | Floating      | 2.64%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 9 07/31/37            | CUSIP: 47233JAT5<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $805000.00    | 0.19%             | 2037-07-31      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/30/34         | CUSIP: 61760QEV2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    231000 | PA      | $171600.66    | 0.04%             | 2034-09-30      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2006-AR8 1A1         | CUSIP: 93362FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93274 | PA      | $96792.88     | 0.02%             | 2046-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 7A1           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133480 | PA      | $132668.33    | 0.03%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mastr Specialized Loan Trust 2006-03                                                                     | MASD 2005-3 M1            | CUSIP: 576436CP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48716 | PA      | $47243.58     | 0.01%             | 2035-11-25      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 03/31/37             | CUSIP: 61766YBC4<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    100000 | PA      | $85500.00     | 0.02%             | 2037-03-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2022-NQM3                                                                | BRAVO 2023-NQM7 B1        | CUSIP: 10569HAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1171000 | PA      | $1191868.04   | 0.28%             | 2063-09-25      | Floating      | 7.89%                 | Yes           |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust 2005-A                                                             | SLMA 2006-B A5            | CUSIP: 78443CCU6<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |     48640 | PA      | $47742.79     | 0.01%             | 2039-12-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2006-6 A4            | CUSIP: 173100AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34243 | PA      | $35589.25     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2004-CB3 2A          | CUSIP: 92922FXM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92941 | PA      | $97243.64     | 0.02%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                                                                                 | SUNRN 2021-1A A           | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365855 | PA      | $345081.92    | 0.08%             | 2052-01-30      | Fixed         | 2.46%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 01/30/34         | CUSIP: 61760QDW1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    247000 | PA      | $197600.00    | 0.05%             | 2034-01-30      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-2AR 2A           | CUSIP: 61748HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9090 | PA      | $8822.88      | 0.00%             | 2034-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| HARVEST SBA LOAN TRUST 2024-1                                                                            | HSLT 2024-1 B             | CUSIP: 41756NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1411870 | PA      | $1438451.16   | 0.34%             | 2051-12-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                                                    | BSSP 2007-R6 1A1          | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117107 | PA      | $85371.13     | 0.02%             | 2036-01-26      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C Float 11/26/33          | CUSIP: 1730T0C56<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $810156.25    | 0.19%             | 2033-11-26      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Blackrock Cap Fin                                                                                        | BCF 1997-R2 1B1           | CUSIP: 05535DBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49267 | PA      | $42123.45     | 0.01%             | 2035-12-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2005-4A M1           | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16915 | PA      | $16306.00     | 0.00%             | 2036-01-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 04/30/26                | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9940557.00   | 2.34%             | 2026-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fort Knox Military Housing Privatization Project                                                         | FTKNOX FLOAT 02/15/52     | CUSIP: 347508AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177813 | PA      | $147187.81    | 0.03%             | 2052-02-15      | Floating      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Select Notes Trust                                                                                       | SELECT 5.91 02/22/33      | CUSIP: 81619PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    634876 | PA      | $578033.71    | 0.14%             | 2033-02-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-4 Z              | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    216121 | PA      | $93104.29     | 0.02%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2023-2                                                                              | CHNGE 2023-2 B2           | CUSIP: 169926AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5219000 | PA      | $5234408.05   | 1.23%             | 2058-06-25      | Floating      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB Float 08/28/34         | CUSIP: 25152RXC2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1257000 | PA      | $895612.50    | 0.21%             | 2034-08-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2005-2A B1           | CUSIP: 07324SBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30849 | PA      | $33741.55     | 0.01%             | 2035-08-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J1 3A1         | CUSIP: 12667FU29<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     58482 | PA      | $59282.50     | 0.01%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-1 2A1           | CUSIP: 576433DA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39773 | PA      | $38114.48     | 0.01%             | 2032-12-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-3 6A1           | CUSIP: 576434NZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150198 | PA      | $151530.08    | 0.04%             | 2034-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Cmbs 2015-Fl7                                                                            | JPMCC 2015-FL7 D          | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338631 | PA      | $283403.20    | 0.07%             | 2028-05-15      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| CD 2017 Cd3 Mortgage Trust                                                                               | CD 2017-CD3 AS            | CUSIP: 12515GAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $953977.30    | 0.22%             | 2050-02-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF Float 03/20/40        | CUSIP: 47233JDA3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    280000 | PA      | $289187.11    | 0.07%             | 2040-03-20      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2005-1 4A1            | CUSIP: 61748HJH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317448 | PA      | $308818.34    | 0.07%             | 2035-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2M3            | CUSIP: 45254NRX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62776 | PA      | $64200.97     | 0.02%             | 2036-02-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2022-NQM3                                                                | BRAVO 2023-NQM4 A1        | CUSIP: 10569YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373895 | PA      | $374751.56    | 0.09%             | 2063-05-25      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank                                                            | ACAFP Float 05/24/36      | CUSIP: 22533ADT1<br>LEI: 1VUV7VQFKUOQSJ21A208 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1140000.00   | 0.27%             | 2036-05-24      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 11/28/34         | CUSIP: 61760QFL3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    185000 | PA      | $134587.50    | 0.03%             | 2034-11-28      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-5 8A1           | CUSIP: 576434FK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460102 | PA      | $461185.12    | 0.11%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MM Community Funding III Ltd/Corp                                                                        | MMCFND FLOAT 05/01/32     | CUSIP: 55309YAD9<br>LEI: 54930037G3KLRZURXG36 | Long             | ABS-CBDO         | CORP              | KY        |   2538949 | PA      | $2492760.09   | 0.59%             | 2032-05-01      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2020-C6                                                                             | BBCMS 2020-C7 XA          | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1877696 | PA      | $78675.74     | 0.02%             | 2053-04-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                                   | MSC 2014-150E A           | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $944509.95    | 0.22%             | 2032-09-09      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Bellavista Mortgage Trust 2005-1                                                                         | BVMBS 2004-1 1A           | CUSIP: 07820QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16342 | PA      | $16322.53     | 0.00%             | 2034-11-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-1 4A1           | CUSIP: 576434LV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111343 | PA      | $112247.99    | 0.03%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-3 B2            | CUSIP: 576434ED2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78290 | PA      | $72939.66     | 0.02%             | 2033-05-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Hero Funding Trust 2015-2                                                                                | HERO 2015-2A A            | CUSIP: 42770UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41891 | PA      | $41268.42     | 0.01%             | 2040-09-20      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST VII                                                                       | WESTF 2023-A A            | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    562952 | PA      | $577305.28    | 0.14%             | 2048-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                                                        | VERUS 2023-2 A2           | CUSIP: 92539DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2057177 | PA      | $2052761.96   | 0.48%             | 2068-03-25      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2011-RR5 12A1        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693494 | PA      | $692780.17    | 0.16%             | 2037-03-26      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 03/31/31         | CUSIP: 61745E7D7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    167000 | PA      | $159067.50    | 0.04%             | 2031-03-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-2 B             | CUSIP: 784442AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $398237.57    | 0.09%             | 2083-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2014-2R                                                                                      | CSMC 2014-2R 28A1         | CUSIP: 12648ELW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18034 | PA      | $17757.85     | 0.00%             | 2037-06-27      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust 2013-PEMB                                                             | GSMS 2013-PEMB C          | CUSIP: 36197VAE8<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $355749.98    | 0.08%             | 2033-03-05      | Floating      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                           | WFRBS 2012-C10 C          | CUSIP: 92890NAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890000 | PA      | $777476.41    | 0.18%             | 2045-12-15      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| READYCAP LENDING                                                                                         | RCLT 2019-2 A             | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77292 | PA      | $77181.00     | 0.02%             | 2044-12-27      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                  | KNFP Float 04/30/34       | CUSIP: 63873HKC7<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |    282000 | PA      | $202335.00    | 0.05%             | 2034-04-30      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                            | CWL 2004-6 2A3            | CUSIP: 126673BA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11961 | PA      | $12068.12     | 0.00%             | 2034-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | RAST 2002-A12 A4          | CUSIP: 45660NHW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2032-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-Cx10 Commercial Mortgage Trust                                                                | CSAIL 2018-C14 D          | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $199969.16    | 0.05%             | 2051-11-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                      | BNS Float 08/28/34        | CUSIP: 064159FM3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $68750.00     | 0.02%             | 2034-08-28      | Floating      | 0.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities                                                          | WFHET 2005-2 M9           | CUSIP: 94981PAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392278 | PA      | $393378.43    | 0.09%             | 2034-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRES WD TR 2021-INV1                                                                            | HAWT 2021-INV1 B1         | CUSIP: 44590HCA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248004 | PA      | $224423.25    | 0.05%             | 2051-07-25      | Floating      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2004-15 4A1          | CUSIP: 576433VN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155042 | PA      | $154193.38    | 0.04%             | 2034-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2005-AR8 2A1A        | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23253 | PA      | $22608.66     | 0.01%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-14 A1           | CUSIP: 12669GK59<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   2971184 | PA      | $1143164.23   | 0.27%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-27 2A1         | CUSIP: 12667GN33<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    140200 | PA      | $122720.79    | 0.03%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Cf 2019-Cf3 Mortgage Trust                                                                               | CF 2019-CF3 E             | CUSIP: 12529TAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $330680.15    | 0.08%             | 2053-01-15      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                                    | CBASS 2002-CB3 B2         | CUSIP: 79549ARB7<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |    475848 | PA      | $474706.57    | 0.11%             | 2032-06-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2005-S3 1A22        | CUSIP: 466247B36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    818189 | PA      | $332475.20    | 0.08%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                                            | VCC 2017-2 M5             | CUSIP: 92258VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1588789 | PA      | $1426193.99   | 0.34%             | 2047-11-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                                     | JPMCC 2018-PTC A          | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $911050.00    | 0.21%             | 2031-04-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-14 2A1         | CUSIP: 12667GCB7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     45328 | PA      | $44425.21     | 0.01%             | 2035-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2012-1 A3            | CUSIP: 78446WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278069 | PA      | $275247.67    | 0.06%             | 2028-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Mrcd 2019-Park Mortgage Trust                                                                            | MRCD 2019-PARK A          | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $179582.68    | 0.04%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 10A1          | CUSIP: 576434SN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31828 | PA      | $32279.53     | 0.01%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDL FING AUTH                                                                              | MASEDU 2.3 02/25/2040     | CUSIP: 57563NAD0<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    258513 | PA      | $243545.81    | 0.06%             | 2040-02-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-4 1A1           | CUSIP: 576434PX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17773 | PA      | $17663.71     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN HOME IMPROVEMENT TRUST 2022                                                                      | GHIT 2022-GRN1 D          | CUSIP: 38150YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294193 | PA      | $299219.28    | 0.07%             | 2052-06-25      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2022-HB9 LLC                                                                                        | CFMT 2022-HB9 M3          | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $221389.50    | 0.05%             | 2037-09-25      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-10AR 2A2         | CUSIP: 61748HFE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8650 | PA      | $8349.58      | 0.00%             | 2034-11-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mbs                                                                                            | JPMBS 2006-R1 6A1         | CUSIP: 46628AAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292458 | PA      | $235138.19    | 0.06%             | 2044-09-28      | Floating      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2003-1 3A4          | CUSIP: 17307GBT4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      7642 | PA      | $7644.24      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | CAS 2022-R01 1B1          | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    120000 | PA      | $122057.09    | 0.03%             | 2041-12-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 04/28/37             | CUSIP: 61766YBH3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    767000 | PA      | $687423.75    | 0.16%             | 2037-04-28      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2002-AR17 1A         | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66238 | PA      | $64533.60     | 0.02%             | 2042-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Brazos Higher Education Authority, Inc.                                                                  | BELA 2021-2 A1A           | CUSIP: 10620WAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302410 | PA      | $266773.25    | 0.06%             | 2072-01-25      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2013-CR                                                                        | COMM 2013-CR12 B          | CUSIP: 12591KAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2129281 | PA      | $524654.84    | 0.12%             | 2046-10-10      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                                    | SBM7 2002-HYB1 B2         | CUSIP: 79549ARL5<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |      3418 | PA      | $3218.37      | 0.00%             | 2032-09-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-7 10A1          | CUSIP: 576434TN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45835 | PA      | $46817.38     | 0.01%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHASI 2005-AR5 3A1        | CUSIP: 32051GXT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29935 | PA      | $0.00         | 0.00%             | 2035-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                               | BSABS 2003-AC7 A1         | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467739 | PA      | $392780.67    | 0.09%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                                            | UBSCM 2019-C16 C          | CUSIP: 90276YAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251000 | PA      | $227837.54    | 0.05%             | 2052-04-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FHR 4203 PS               | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     44637 | PA      | $3462.93      | 0.00%             | 2042-09-15      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                                          | JPMCC 2020-MKST A         | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $238000.00    | 0.06%             | 2036-12-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C Float 10/31/34          | CUSIP: 1730T02P3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $119853.45    | 0.03%             | 2034-10-31      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2017-90 AC            | CUSIP: 38379RZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    131002 | PA      | $113283.51    | 0.03%             | 2058-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2006-J1 3A1          | CUSIP: 126694XX1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    118482 | PA      | $36305.34     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS Float 09/29/37         | CUSIP: 61766YBX8<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   2014000 | PA      | $1623787.50   | 0.38%             | 2037-09-29      | Floating      | 16.00%                | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-6 2A1           | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26290 | PA      | $24386.13     | 0.01%             | 2033-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2009-4 7A5          | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    116176 | PA      | $111995.26    | 0.03%             | 2035-05-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 07/29/31         | CUSIP: 61745E3S8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    114000 | PA      | $107730.00    | 0.03%             | 2031-07-29      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                                           | LBMLT 2003-2 M2           | CUSIP: 542514DV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53147 | PA      | $61677.05     | 0.01%             | 2033-06-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-AR4 2A1          | CUSIP: 362341FH7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    527985 | PA      | $267018.57    | 0.06%             | 2035-07-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                                                                             | PEMEX 10 02/07/33         | CUSIP: 71654QDN9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    250000 | PA      | $292928.25    | 0.07%             | 2033-02-07      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                                               | MSSTR 2005-1 3A1          | CUSIP: 55265WCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9048 | PA      | $8424.51      | 0.00%             | 2032-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-4 B              | CUSIP: 38381EPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    200000 | PA      | $124443.73    | 0.03%             | 2061-02-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| READYCAP LENDING                                                                                         | RCLT 2023-3 A             | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334148 | PA      | $339235.44    | 0.08%             | 2048-04-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2014-RR2 7A2         | CUSIP: 05543DBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234749 | PA      | $235033.52    | 0.06%             | 2038-01-26      | Floating      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                   | JPMCC 2007-LD11 AJ        | CUSIP: 46631BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5845049 | PA      | $1043218.43   | 0.25%             | 2049-06-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2005-7 3A1           | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221953 | PA      | $132857.83    | 0.03%             | 2035-09-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2006-AR2 1A1         | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39023 | PA      | $35639.53     | 0.01%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                                         | WFRBS 2014-C20 B          | CUSIP: 92890FAY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137723 | PA      | $114530.96    | 0.03%             | 2047-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2003-A6 1A           | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26471 | PA      | $25760.51     | 0.01%             | 2033-09-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2016-A                                                              | NAVSL 2020-IA A1B         | CUSIP: 63942AAB2<br>LEI: 549300JSCKIU587G1R13 | Long             | ABS-O            | CORP              | US        |    115128 | PA      | $114607.70    | 0.03%             | 2069-04-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-8 2A1          | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23969 | PA      | $22553.95     | 0.01%             | 2034-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                                     | BAFC 2006-I 4A1           | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541200 | PA      | $435767.33    | 0.10%             | 2046-10-20      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                                     | CSMC 2014-USA D           | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1386254.94   | 0.33%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| CANAL CENTER ALEXANDRIA VA SENIOR NOTES LEASE BACKED PASS THROUGH TRUST                                  | CANAL 2021-1 A            | CUSIP: 13704PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4290000 | PA      | $2725490.63   | 0.64%             | 2056-09-15      | Fixed         | 3.02%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                       | SASC 2005-WF2 M7          | CUSIP: 86359DDH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145141 | PA      | $145363.99    | 0.03%             | 2035-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                             | CHASE 2004-S2 2A4         | CUSIP: 16162WGP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105503 | PA      | $107191.70    | 0.03%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMM CAP TR 2019-3                                                                              | VCC 2019-3 M3             | CUSIP: 92257HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405929 | PA      | $378421.76    | 0.09%             | 2049-10-25      | Floating      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Capital Llc                                                                             | CDMC 2005-1 A4            | CUSIP: 15132ELB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79656 | PA      | $80149.49     | 0.02%             | 2035-02-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| NASSAU 2019 CFO LLC                                                                                      | CFOZ 2019-1 A             | CUSIP: 63172DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114549 | PA      | $104225.74    | 0.02%             | 2034-08-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                                                             | CHASE 2006-A1 2A3         | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227692 | PA      | $203232.85    | 0.05%             | 2036-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                                    | RAMC 2002-3 M1            | CUSIP: 75970NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406638 | PA      | $387064.09    | 0.09%             | 2032-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2019-2                                                                | EFMT 2019-2 B2            | CUSIP: 31573TAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1979456.40   | 0.47%             | 2059-11-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| La Hipotecaria Panamanian Mortgage Trust 2021-1                                                          | LHIPO 2021-1 GA           | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2265779 | PA      | $2070709.39   | 0.49%             | 2051-06-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| CFK TRUST                                                                                                | CFK 2020-MF2 A            | CUSIP: 12529AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93836.22     | 0.02%             | 2039-03-15      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2021-B31 C          | CUSIP: 08163MAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328000 | PA      | $264008.33    | 0.06%             | 2054-12-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TR                                                                      | AOMT 2020-SBC1 B2         | CUSIP: 03465BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2124264 | PA      | $1726408.47   | 0.41%             | 2050-05-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Cd 2016-Cd2 Mortga                                                                                       | CD 2016-CD2 B             | CUSIP: 12515ABH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1106281.82   | 0.26%             | 2049-11-10      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Carbon Capital Iv Commercial Mortgage Trust                                                              | CARB 2019-FL2 B           | CUSIP: 140817AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2768639 | PA      | $1068694.65   | 0.25%             | 2035-10-15      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J11 2A1        | CUSIP: 12668AJP1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     35750 | PA      | $16223.93     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-113 Z            | CUSIP: 38381HGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1936842 | PA      | $1050402.64   | 0.25%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                            | BAFC 2004-B 3A2           | CUSIP: 05946XJC8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    977534 | PA      | $794494.58    | 0.19%             | 2034-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FREMF MTG TR 2019-KF63                                                                                   | FREMF 2019-KF63 B         | CUSIP: 30311FAC1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2215479 | PA      | $2092382.29   | 0.49%             | 2029-05-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 05/30/34         | CUSIP: 61760QEG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    287000 | PA      | $203770.00    | 0.05%             | 2034-05-30      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk4                                                                                           | BANK 2019-BN19 B          | CUSIP: 06540WBF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625000 | PA      | $1439322.06   | 0.34%             | 2061-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 10 07/29/36            | CUSIP: 61766YAF8<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    242000 | PA      | $205397.50    | 0.05%             | 2036-07-29      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                                     | JPMCC 2011-C3 E           | CUSIP: 46635TBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193000 | PA      | $143271.33    | 0.03%             | 2046-02-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C Float 09/03/41          | CUSIP: 17329QD98<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1510875.00   | 0.36%             | 2041-09-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TPG TR 2024-WLSC                                                                                         | TPG 2024-WLSC A           | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2003560.00   | 0.47%             | 2029-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2025-5                                                            | VCC 2025-5 M2             | CUSIP: 92262KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497683 | PA      | $507398.26    | 0.12%             | 2055-12-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A4 3A1         | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12532 | PA      | $8183.85      | 0.00%             | 2036-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2005-2 6A1           | CUSIP: 576434K29<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300340 | PA      | $233297.80    | 0.05%             | 2043-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR2022-HB1                                                                           | RBIT 2022-HB1 M3          | CUSIP: 76970HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5210000 | PA      | $4976863.44   | 1.17%             | 2032-04-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 09/13/28       | CUSIP: 06741TF85<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $467250.00    | 0.11%             | 2028-09-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-UST1 A6        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     15278 | PA      | $14686.22     | 0.00%             | 2034-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB11 LLC                                                                                       | CFMT 2023-HB11 A          | CUSIP: 12530KAA7<br>LEI: 635400ILLR3QXI1CS575 | Long             | ABS-O            | CORP              | US        |    179808 | PA      | $179756.42    | 0.04%             | 2037-02-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| COMMERCIAL EQUIP FIN 2024-1 LLC                                                                          | CEFI 2024-1A C            | CUSIP: 20166RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $152610.92    | 0.04%             | 2031-04-15      | Fixed         | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-3 IO             | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     92238 | PA      | $4045.27      | 0.00%             | 2061-02-16      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                                         | WFRBS 2013-C15 C          | CUSIP: 92938CAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $417064.56    | 0.10%             | 2046-08-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNGT 2003-T4 1A           | CUSIP: 31393AU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    160001 | PA      | $159249.69    | 0.04%             | 2033-09-26      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| SG Structured Products, Inc.                                                                             | SOCGEN 0 07/29/31         | CUSIP: 78423A2D3<br>LEI: 549300D8JJ608SOIGA98 | Long             | DBT              | CORP              | US        |    185000 | PA      | $151006.25    | 0.04%             | 2031-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B16 Mortgage Trust                                                                        | BMARK 2021-B24 A2         | CUSIP: 08163CAZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    491576 | PA      | $460626.71    | 0.11%             | 2054-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 02/28/34            | CUSIP: 61760QDZ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    345000 | PA      | $244950.00    | 0.06%             | 2034-02-28      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2005-4                                                                            | SEMT 2004-10 A3B          | CUSIP: 81744FEX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32914 | PA      | $30768.46     | 0.01%             | 2034-11-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 10 06/30/37           | CUSIP: 47233JAQ1<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23212.50     | 0.01%             | 2037-06-30      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC22                                                                   | GSMS 2014-GC22 AS         | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3862000 | PA      | $3657885.19   | 0.86%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-5 2A2           | CUSIP: 12669FVW0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     52720 | PA      | $52893.34     | 0.01%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 04/25/34       | CUSIP: 06741UBA1<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     58000 | PA      | $39875.00     | 0.01%             | 2034-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2007-15AR 5A1         | CUSIP: 61756XBT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269273 | PA      | $172455.89    | 0.04%             | 2037-12-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2023-91 BW            | CUSIP: 38381JJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    900000 | PA      | $440522.28    | 0.10%             | 2064-08-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2019-PJ1                                                             | GSMBS 2019-PJ1 B3         | CUSIP: 36257TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401423 | PA      | $371095.57    | 0.09%             | 2049-08-25      | Floating      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                                    | WFMBS 2006-AR14 2A1       | CUSIP: 94984MAM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38462 | PA      | $35517.15     | 0.01%             | 2036-10-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                                     | TBMLT 2018-2 B3           | CUSIP: 886312CD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186670 | PA      | $174345.64    | 0.04%             | 2048-07-25      | Floating      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 10/30/30        | CUSIP: 22546VNQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |     95000 | PA      | $82887.50     | 0.02%             | 2030-10-30      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| North Texas Higher Education Authority Inc                                                               | NTHEA 2021-1 A1B          | CUSIP: 66286VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244224 | PA      | $243151.11    | 0.06%             | 2061-09-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2024-1 M2             | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200232 | PA      | $204615.50    | 0.05%             | 2054-01-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-4F 6A1           | CUSIP: 36242DY31<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     34881 | PA      | $34553.21     | 0.01%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust Series 2007 2                                             | MLMBS 2007-1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215303 | PA      | $186442.25    | 0.04%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-4 B             | CUSIP: 78445AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346000 | PA      | $366476.12    | 0.09%             | 2073-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/08/34         | CUSIP: 61760QFB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    279000 | PA      | $202972.50    | 0.05%             | 2034-10-08      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust 2016-1                                                                      | WIN 2016-1 B4             | CUSIP: 97655JCE0<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-O            | CORP              | US        |   1724817 | PA      | $1569507.06   | 0.37%             | 2046-01-20      | Floating      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-22CB 1A1       | CUSIP: 12669FEE9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     38627 | PA      | $39725.13     | 0.01%             | 2033-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERUS SEC TR 2023-5                                                                                      | VERUS 2023-5 B1           | CUSIP: 924934AE2<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $371574.42    | 0.09%             | 2068-06-25      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 7 09/30/36             | CUSIP: 61766YAR2<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |     75000 | PA      | $63000.00     | 0.01%             | 2036-09-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                                      | CGCMT 2015-GC31 B         | CUSIP: 17323YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $32839.26     | 0.01%             | 2048-06-10      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/31/34         | CUSIP: 61760QFC3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    279000 | PA      | $225990.00    | 0.05%             | 2034-10-31      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                                      | MABS 2005-NC1 M2          | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190902 | PA      | $198376.73    | 0.05%             | 2034-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust 2020-Sh1                                                                 | SHMLT 2020-SH1 B2         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96702.98     | 0.02%             | 2050-01-28      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                                                                           | MCAS 2019-01 M10          | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |    714612 | PA      | $726765.19    | 0.17%             | 2049-10-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates Series 2007-3                | LBSBC 2007-1A M1          | CUSIP: 52521GAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2194996 | PA      | $2034581.51   | 0.48%             | 2037-03-25      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2002-L 1A1          | CUSIP: 05948JAA0<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     16352 | PA      | $14138.54     | 0.00%             | 2032-12-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2007-2 APO           | CUSIP: 173107AP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63971 | PA      | $35061.89     | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fremf 2017 Kf38 Mortgage Trust                                                                           | FREMF 2017-KF38 B         | CUSIP: 30305MAG5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1627803 | PA      | $1626424.06   | 0.38%             | 2024-09-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 05/31/31         | CUSIP: 61745ER60<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     89000 | PA      | $84105.00     | 0.02%             | 2031-05-31      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Corevest American Finance Trust                                                                          | CAFL 2019-3 XA            | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1206048 | PA      | $268.35       | 0.00%             | 2052-10-15      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Financial Co LLC                                                                          | JPM Float 10/21/36        | CUSIP: 48130UYR0<br>LEI: 549300NJFDJOFYVV6789 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $825000.00    | 0.19%             | 2036-10-21      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2006-2 2A2          | CUSIP: 55274QBN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4115795 | PA      | $774446.54    | 0.18%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-F 3A1          | CUSIP: 05949CCD6<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     39372 | PA      | $33311.30     | 0.01%             | 2035-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2006-8 3AF           | CUSIP: 86361JAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6062 | PA      | $5583.53      | 0.00%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 8 02/15/33             | CUSIP: 61760QCH5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    231000 | PA      | $162855.00    | 0.04%             | 2033-02-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2022-2                                                                              | CHNGE 2022-2 B2           | CUSIP: 12546YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $174730.20    | 0.04%             | 2067-03-25      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-27

**Name of Applicant:** James Alpha Funds Trust

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Asst Treasurer