# EDGAR Filing Document

**Accession Number:** 0001032423
**File Stem:** 0001752724-23-048542
**Filing Date:** 2023-3
**Character Count:** 158339
**Document Hash:** cd0a37f34700eee4138737701f0ed508
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-048542.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-048542

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DIAMOND HILL FUNDS
- **CENTRAL INDEX KEY:** 0001032423
- **IRS NUMBER:** 316547095
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08061
- **FILM NUMBER:** 23689991

**BUSINESS ADDRESS:**
- **STREET 1:** 325 JOHN H. MCCONNELL BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215
- **BUSINESS PHONE:** 614-255-3333

**MAIL ADDRESS:**
- **STREET 1:** 325 JOHN H. MCCONNELL BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BSG FUNDS
- **DATE OF NAME CHANGE:** 19970206

## Series and Classes Contracts Data

### Diamond Hill Short Duration Securitized Bond Fund (Series ID: S000055043)

| Class ID   | Class Name                                                 | Ticker Symbol   |
|:---|:---|:---|
| C000173083 | Diamond Hill Short Duration Securitized Bond Fund Investor | DHEAX           |
| C000173084 | Diamond Hill Short Duration Securitized Bond Fund Class I  | DHEIX           |
| C000173085 | Diamond Hill Short Duration Securitized Bond Fund Class Y  | DHEYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Diamond Hill Funds

- **b. Investment Company Act file number:** 811-08061

- **c. CIK number of Registrant:** 0001032423

- **d. LEI of Registrant:** 549300PZZTQU6QTHS663

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

  - **Street Address 1:** 325 John H. McConnell Blvd.

  - **City:** Columbus

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 43215

  - **Telephone number:** 888-226-5595

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

- **a. Name of Series:** DIAMOND HILL SHORT DURATION SECURITIZED BOND

- **b. EDGAR series identifier (if any):** S000055043

- **c. LEI of Series:** 549300LDSRETB4JUMJ20

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1167235659.64

**Total Liabilities:** $18998651.97

**Net Assets:** $1148237007.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2446.01 | **1-Year:** 79078.69 | **5-Year:** 106807.51 | **10-Year:** 29925.51 | **30-Year:** 9430.40

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

- **3-Month:** 0.00000000 | **1-Year:** 9543.31 | **5-Year:** 6522.30 | **10-Year:** 0.58 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000173085 | -0.69%               | 0.60%                | 0.50%                |
| Class ID C000173083 | -0.72%               | 0.67%                | 0.47%                |
| Class ID C000173084 | -0.70%               | 0.59%                | 0.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3892632.79             | $-8691413.92                               |
| Month 2  | $-215163.60              | $3469096.12                                |
| Month 3  | $-169047.12              | $1132776.58                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FMC GMSR ISSUER TRUST                                      | FMC GMSR Issuer Trust Series 2021-GT2                                   | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $9222494.00   | 0.80%             | 2026-10-26      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST 2022-1 LTD                           | Toorak Mortgage Corp. Series 2022-1, Class A2                           | CUSIP: 89054JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7491807.20   | 0.65%             | 2029-03-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                      | FMC GMSR Issue Trust Series 2020-GT1, Class A                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8350000 | PA      | $7294107.43   | 0.64%             | 2026-01-25      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2022-Z1                  | Affirm Incorporated Series 22-Z1 Class B                                | CUSIP: 00833PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2364693.75   | 0.21%             | 2027-06-15      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Multifamily Structured Credit Risk Series 2021-MN1, Class M2            | CUSIP: 35563FAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   6050000 | PA      | $5403097.70   | 0.47%             | 2051-01-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                      | Freedom Mortgage Corporation Series 22-GT2 Class A                      | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4850000 | PA      | $4565289.97   | 0.40%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2020-1 LLC                         | Business Jet Securities , LLC Series 20-1A Class C                      | CUSIP: 12327FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1132342 | PA      | $1063860.07   | 0.09%             | 2035-11-15      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2014-45 Class IO           | CUSIP: 3136AKUA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    394755 | PA      | $49622.12     | 0.00%             | 2044-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2021-RTL3                             | LHOME Mortgage Trust Series 2021-RTL3, Class M                          | CUSIP: 50203RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4261201.00   | 0.37%             | 2026-09-25      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2010-44 Class CS           | CUSIP: 31398PWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    273547 | PA      | $25906.74     | 0.00%             | 2040-05-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                  | Avant Loans Funding Trust Series 21-REV1 Class C                        | CUSIP: 05353LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10750000 | PA      | $9659923.13   | 0.84%             | 2030-07-15      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Fifth Third Bancorp                                        | Fifth Third Bancorp 1.707%, Due 11/01/2027                              | CUSIP: 316773DD9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1064367.82   | 0.09%             | 2027-11-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                               | U.S. Treasury Inflation-Protected Notes 0.125%, Due 01/15/2023          | CUSIP: 912828UH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3227300 | PA      | $3223139.82   | 0.28%             | 2023-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                     | Cascade Funding Mortgage Trust Series 2019-MH1 Class M                  | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1014966.48   | 0.09%             | 2044-11-25      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Newrez LLC / Newres Gmsr Excess Owner LLC                  | NRZ Excess Spread Collateralization Series 2021-GNT1, Class A           | CUSIP: 65246QAA7<br>LEI: 549300FNXYY540N23N64 | Long             | ABS-O            | CORP              | US        |   9908664 | PA      | $8723411.14   | 0.76%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 2.750%, Due 11/15/2023                              | CUSIP: 912828WE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9829687.50   | 0.86%             | 2023-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                       | LHOME Mortgage Trust Series 2021-RTL2, Class M                          | CUSIP: 501895AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3306781.20   | 0.29%             | 2026-09-25      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                 | Progress Residential Trust Series 2020-SFR1, Class A                    | CUSIP: 74331CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6987435 | PA      | $6370559.46   | 0.55%             | 2037-04-17      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2022-RTL1                             | LHOME Mortgage Trust Series 22-RTL1 Class M                             | CUSIP: 50204DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7250000 | PA      | $6453838.35   | 0.56%             | 2027-02-25      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2021-2                                           | First Help Financial LLC Series 21-2A Class B                           | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3787685 | PA      | $3600677.36   | 0.31%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2021-RTL3                             | LHOME Mortgage Trust Series 2021-RTL3, Class A2                         | CUSIP: 50203RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8250000 | PA      | $7197865.95   | 0.63%             | 2026-09-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                          | MF1 Multifamily Housing Mortgages Series 22-FL10 Class C                | CUSIP: 55285BAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3250000 | PA      | $3209121.50   | 0.28%             | 2037-09-07      | Floating      | 8.80%                 | Yes           |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST                                         | ROC Securities Trust Series 2021-RLT1, Class A2                         | CUSIP: 77118TAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5031533.64   | 0.44%             | 2026-08-25      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2020-1 LLC                         | Business Jet Securities , LLC Series 20-1A Class B                      | CUSIP: 12327FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    659318 | PA      | $586277.68    | 0.05%             | 2035-11-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 2979 Class FP             | CUSIP: 31395UML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    282584 | PA      | $278127.57    | 0.02%             | 2035-05-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Hero Funding Ii (B) 2016-4b                                | Hero Funding Trust Series 2016-4B Class B                               | CUSIP: 42771VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378290 | PA      | $362854.69    | 0.03%             | 2047-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST1                 | Upstart Pass Through Trust Series 22-ST1 Class A                        | CUSIP: 91683NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2666910 | PA      | $2498361.44   | 0.22%             | 2030-03-20      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Mondelez International Holdings Netherlands BV             | Mondelez Intl HLDGS .75%, Due 09/24/2024                                | CUSIP: 60920LAQ7<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | US        |    300000 | PA      | $277537.81    | 0.02%             | 2024-09-24      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| HIN TIMESHARE TRUST                                        | Holiday Inn Timeshare Trust Series 20-A Class E                         | CUSIP: 40439HAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2592785 | PA      | $2391926.55   | 0.21%             | 2039-10-09      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Assoication Series 11-86 Class KF             | CUSIP: 3136A0K48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    356101 | PA      | $349770.57    | 0.03%             | 2041-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                       | Freedom Mortgage Trust Series 18-KF45 Class B                           | CUSIP: 30296TAG1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1600838 | PA      | $1552409.63   | 0.14%             | 2025-03-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | American Credit Acceptance Series 20-4 Class F                          | CUSIP: 02530QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2697877.84   | 0.23%             | 2027-08-13      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                             | A10 Securitization Series 2020-C Class D                                | CUSIP: 66981EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950000 | PA      | $1866532.20   | 0.16%             | 2040-08-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                             | Protective Life Global .473%, Due 01/12/2024                            | CUSIP: 74368CBA1<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   2945000 | PA      | $2802348.12   | 0.24%             | 2024-01-12      | Fixed         | 0.47%                 | Yes           |                  2 | On Loan: No      |
| Bancorp Commercial Mortgag                                 | Bancorp Commerical Mortgage Trust (The) Series 2017-CRE2, Class D       | CUSIP: 05972AAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1374049 | PA      | $1362729.66   | 0.12%             | 2032-08-17      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Devon Energy Corporation                                   | Devon Energy Corp. 5.25%, Due 09/15/2024                                | CUSIP: 25179MBC6<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000882.58   | 0.09%             | 2024-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                       | JPMorgan Chase & Co Sr 3.25%, Due 09/22/2027                            | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1385220.80   | 0.12%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| LIBERTY LENDING ABS TRUST 2021-1                           | Liberty Lending Services Series 21-1A Class B                           | CUSIP: 53934QAB8<br>LEI: 5967007LIEEXZXK7FS45 | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3465990.64   | 0.30%             | 2029-05-15      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Rentas Fdo Inv Inm                                         | Renew Financial, LLC Series 2017-1A Class B                             | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    412034 | PA      | $383212.51    | 0.03%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                          | MF1 Multifamily Housing Series 2022-FL10, Class D                       | CUSIP: 55285BAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1250000 | PA      | $1204117.50   | 0.10%             | 2037-09-17      | Floating      | 10.05%                | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2020-1                                           | FHF Trust Series 2020-1A Class B                                        | CUSIP: 30260YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3291483 | PA      | $3262929.62   | 0.28%             | 2025-09-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 2019-H04 Class IO       | CUSIP: 38380LRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  17113825 | PA      | $383010.83    | 0.03%             | 2069-03-20      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST                      | OneMain Direct Auto Receivables Series 2019-1, Class D                  | CUSIP: 68267EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $4941423.85   | 0.43%             | 2031-04-14      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Pnmac Gsmr Issuer Trust                                    | PNMAC GMSR Issuer Trust Series 2018-GT1 Class A                         | CUSIP: 69354WAC0<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6841376.50   | 0.60%             | 2023-02-25      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                                 | Upstart Pass Through Trust Series 21-ST4 Class A                        | CUSIP: 91534HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7674724 | PA      | $7096866.84   | 0.62%             | 2027-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST II LLC                   | OnDeck Asset Securitization Trust Series 21-1A Class C                  | CUSIP: 68236WAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3250000 | PA      | $2888814.83   | 0.25%             | 2027-05-17      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corporation                          | Capital One Financial Company 1.343%, due 12/06/2024                    | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1627906.49   | 0.14%             | 2024-12-06      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2012-148 Class IA          | CUSIP: 3136ABNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1606828 | PA      | $92424.41     | 0.01%             | 2028-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST 2021-WL1             | AlphaFlow Transitional Mortgage Company Series 21-WL1 Class A2          | CUSIP: 02079YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8237263 | PA      | $7883501.16   | 0.69%             | 2025-03-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | MultiFamily Structured Credit Series 22-MN4, Class M1                   | CUSIP: 35563HAA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   6776342 | PA      | $6708578.61   | 0.58%             | 2052-05-25      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING 2021-D,LLC                      | A10 Securitization Series 2021-D, Class D                               | CUSIP: 04681EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7546818 | PA      | $6761767.66   | 0.59%             | 2038-10-01      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                             | RMF Proprietary Issuance Trust Series 2021-2, Class M2                  | CUSIP: 74969VAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2566782 | PA      | $1706462.86   | 0.15%             | 2061-09-25      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| GENESIS PRIVATE LABEL AMORTIZING TRUST                     | Genesis PVT Label Trust Series 20-1 Class D                             | CUSIP: 37187PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8994022 | PA      | $8934822.85   | 0.78%             | 2026-07-20      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | Freedom Mortgage Trust Series 2019-KF61 Class B                         | CUSIP: 30311LAG9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2370875 | PA      | $2199085.16   | 0.19%             | 2029-03-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Earnest Sl Prog Llc 2016-D                                 | Earnest Student Loan Program LLC Series 2016-D Class R                  | CUSIP: 27034M104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000 | PA      | $0.00         | 0.00%             | 2024-01-25      | Floating      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust                              | Citigroup Mortgage Loan Trust, Inc. Series 2004-UST1 Class A3           | CUSIP: 17307GLA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      4399 | PA      | $4130.78      | 0.00%             | 2034-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CREDIBLYASSET SECURITIZATION II LLC                        | Credibility Asset Securitization Series 21-1A Class B                   | CUSIP: 22534NAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3650000 | PA      | $3348493.21   | 0.29%             | 2026-04-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING 2021-D,LLC                      | A10 Securitization Series 2021-D, Class E                               | CUSIP: 04681EAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3575985 | PA      | $3169034.12   | 0.28%             | 2038-10-01      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 2015-16 Class IL        | CUSIP: 38379JUK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1162660 | PA      | $43743.01     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 2021-A, Class D                      | CUSIP: 66981PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16210000 | PA      | $14319521.72  | 1.25%             | 2029-12-17      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES                          | Upstart Pass-through Trust Series 2020-ST5 Class A                      | CUSIP: 91680WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    971949 | PA      | $928503.92    | 0.08%             | 2026-12-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PFP LTD                                                    | PFP LTD Series 2021-8, Class A                                          | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3254664 | PA      | $3125170.49   | 0.27%             | 2037-08-16      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| SMALL BUSINESS LENDING TRUST 2020-A                        | Small Business Lending Trust Series 2020-A Class C                      | CUSIP: 83165WAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9125634 | PA      | $8858966.78   | 0.77%             | 2026-12-15      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE MASTER PASS - THRU TRUST                           | Upgrade Master Pass-Thru Trust Series 19-ST3 Class A                    | CUSIP: 91532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107527 | PA      | $107373.87    | 0.01%             | 2025-11-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                              | Commonbond Student Loan Trust Series 2017-BGS Class C                   | CUSIP: 20268KAD2<br>LEI: 549300KDXV3I7WKXA522 | Long             | ABS-O            | CORP              | US        |    208008 | PA      | $183249.34    | 0.02%             | 2042-09-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| CREDIBLYASSET SECURITIZATION II LLC                        | Credibility Asset Securitization Series 2021-1A Class A                 | CUSIP: 22534NAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7554885.60   | 0.66%             | 2026-04-15      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                         | Met Life Global Funding I 0.7%, Due 09/27/2024                          | CUSIP: 59217GEP0<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1109767.08   | 0.10%             | 2024-09-27      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                      | RMF Proprietary Issuance Trust Series 2022-1, Class M2                  | CUSIP: 74969XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $2791371.60   | 0.24%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 22-A Class C                         | CUSIP: 66981PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4033449.21   | 0.35%             | 2030-10-15      | Fixed         | 9.33%                 | Yes           |                  2 | On Loan: No      |
| ACC AUTO TRUST                                             | AC Auto Trust Series 21-A Class A                                       | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    476725 | PA      | $470580.70    | 0.04%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | Chase Credit Linked Notes Series 2020-1, Class D                        | CUSIP: 46591HAQ3<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    333341 | PA      | $328550.10    | 0.03%             | 2028-01-25      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                       | LHOME Mortgage Trust Series 2021-RTL2, Class A2                         | CUSIP: 501895AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1313908.65   | 0.11%             | 2026-06-25      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| NYMT LOAN TRUST SERIES 2022-BPL1                           | New York Mortgage Trust Series 2022-BPL1, Class A2                      | CUSIP: 62955TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5077341.50   | 0.44%             | 2027-11-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                      | Wells Fargo Mortgage Trust Series 21-SAVE Class C                       | CUSIP: 95003LAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2318006 | PA      | $2073590.05   | 0.18%             | 2040-02-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                                 | Upstart Securitization Trust Series 2021-ST2, Class A                   | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3544669 | PA      | $3313928.74   | 0.29%             | 2027-04-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST 2022-1                    | Newtek Small Business Loan Trust Series 2022-1, Class B                 | CUSIP: 65254BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2838379 | PA      | $2797126.81   | 0.24%             | 2049-10-25      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                | Bank of America Corporation 1.486%, Due 05/19/2024                      | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4514000 | PA      | $4443203.33   | 0.39%             | 2024-05-19      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Ln Trust 2019-A                  | Laurel Road Prime Student Loan Series 2019-A Class BFX                  | CUSIP: 51889RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1842377 | PA      | $1695525.44   | 0.15%             | 2048-10-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST                                    | Mosaic Solar Loans LLC Series 2020-1A, Class A                          | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1537000 | PA      | $1334211.18   | 0.12%             | 2046-04-20      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| College Ave Student Loans 2018-A LLC                       | College Avenue Student Loans Series 2018-A Class C                      | CUSIP: 19423DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557340 | PA      | $529603.40    | 0.05%             | 2047-12-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE MASTER PASS - THRU TRUST                           | Upgrade Master Pass-Thru Trust Series 19-ST1 Class A                    | CUSIP: 91531UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95995 | PA      | $95233.13     | 0.01%             | 2025-07-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX Commercial Mortgage Trust Series 2019-XL, Class F                    | CUSIP: 056054AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3825000 | PA      | $3680538.55   | 0.32%             | 2036-10-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                       | Freedom Mortgage Trust Series 19-KF59 Class B                           | CUSIP: 30297XAG1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1059748 | PA      | $985953.81    | 0.09%             | 2029-02-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2020-1A                 | United Airlines 5.875%, Due 10/15/2027                                  | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948460 | PA      | $935130.24    | 0.08%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 0.625%, Due 10/15/2024                              | CUSIP: 91282CDB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9338671.90   | 0.81%             | 2024-10-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | State Street Navigator Securities Lending Portfolio I                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   1335575 | NS      | $1335575.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SHELTER GROWTH CRE ISSUER LTD                              | Shelter Growth Series 2021-FL3, Class A                                 | CUSIP: 822866AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1272180 | PA      | $1232885.92   | 0.11%             | 2036-09-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 237 Class S14             | CUSIP: 31282YEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467179 | PA      | $53548.23     | 0.00%             | 2036-05-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | JPMorgan Chase Bank, NA Series 2021-2, Class E                          | CUSIP: 48128U2Q1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    862051 | PA      | $823211.07    | 0.07%             | 2028-12-26      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                       | JP MORGAN CHASE 0.653%, DUE 09/16/2024                                  | CUSIP: 46647PBS4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    350000 | PA      | $337521.65    | 0.03%             | 2024-09-16      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | J.P. Morgan Wealth Management Series 2021-CL1, Class M1                 | CUSIP: 46591HBK5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1977421 | PA      | $1742139.89   | 0.15%             | 2071-02-26      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN FUNDING 2022-1 LLC                                 | Oportun Funding LLC Series 22-1, Class C                                | CUSIP: 68377XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8597135.70   | 0.75%             | 2029-06-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE 2021-FL4 LTD                      | Acre Mortgage Trust Series 21-FL4 Class E                               | CUSIP: 00489TAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1894132.00   | 0.16%             | 2037-12-15      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | Chase Auto Credit Linked Notes Series 2021-3, Class D                   | CUSIP: 46591HCF5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1499788 | PA      | $1406997.34   | 0.12%             | 2029-02-26      | Fixed         | 1.01%                 | Yes           |                  2 | On Loan: No      |
| CREDIBLYASSET SECURITIZATION II LLC                        | Credibility Asset Securitization Series 21-1A Class C                   | CUSIP: 22534NAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2676000 | PA      | $2467426.41   | 0.21%             | 2026-04-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 4613 Class AF             | CUSIP: 3137BRZK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    451109 | PA      | $449743.20    | 0.04%             | 2037-11-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | Brex Technology Company Series 2021-VOLT Class E                        | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2702000 | PA      | $2512774.62   | 0.22%             | 2036-09-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 2013-H13 Class T1       | CUSIP: 38375B2M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  20020098 | PA      | $102857.26    | 0.01%             | 2063-05-20      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST                                    | Mosaic Solar Loans, LLC Series 2021-1, Class D                          | CUSIP: 61947DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693185 | PA      | $588505.39    | 0.05%             | 2046-12-20      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                     | Lendmark Funding Trust Series 2020-2A, Class C                          | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $837031.70    | 0.07%             | 2031-04-21      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                  | Toronto-Dominion Bank 1.25%, Due 12/13/2024                             | CUSIP: 89114TZK1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    500000 | PA      | $465234.55    | 0.04%             | 2024-12-13      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST II LLC                   | OnDeck Asset Securitization Trust Series 21-1A Class D                  | CUSIP: 68236WAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4400604.50   | 0.38%             | 2027-05-17      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | Chase Auto Credit Linked Notes Series 2021-3, Class E                   | CUSIP: 46591HCG3<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1249823 | PA      | $1174717.34   | 0.10%             | 2029-02-26      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                 | Progress Residential Trust Series 21-SFR4 Class A                       | CUSIP: 74333EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $3700895.33   | 0.32%             | 2038-05-19      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2020-A                      | Mariner Fianace Issuance Trust Series 2020-AA, Class D                  | CUSIP: 56848MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8230000 | PA      | $7060584.49   | 0.61%             | 2034-08-21      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                       | JPMorgan Chase & Company .768%, Due 08/09/2025                          | CUSIP: 46647PCM6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2768839.56   | 0.24%             | 2025-08-09      | Fixed         | 0.77%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase & Co.                                       | JPMorgan Chase & Company 1.561%, Due 12/10/2025                         | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1851652.92   | 0.16%             | 2025-12-10      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMF Mortgage Trust Series 2019-KF57 CLASS B                           | CUSIP: 30297VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4985850 | PA      | $4658717.72   | 0.41%             | 2029-01-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 0.375%, Due 09/15/2024                              | CUSIP: 91282CCX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9319921.90   | 0.81%             | 2024-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                      | RMF Proprietary Issuance Trust Series 2022-1, Class M1                  | CUSIP: 74969XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1246839.36   | 0.11%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST                                     | Oportun Funding LLC Series 2021-C, Class C                              | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3177492.38   | 0.28%             | 2031-10-08      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| State Street Institutional Liquid Reserves Fund            | State Street Institutional Liquid Reserves Fund, Premier Class          | CUSIP: 85749P101<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  18792370 | NS      | $18798007.50  | 1.64%             |  |  |  | No            |                  1 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST                             | Mariner Finance Issuance Trust Series 2021-AA                           | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1461118.72   | 0.13%             | 2036-03-20      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Association Series 3121 Class FM             | CUSIP: 31396JFX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    262529 | PA      | $257921.02    | 0.02%             | 2036-03-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| AREIT 2021-CRE5 LTD                                        | Areit CRE Trust Series 2021-CRE5, Class A                               | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1212652 | PA      | $1159205.58   | 0.10%             | 2038-11-17      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| AMSR TRUST                                                 | AMSR Trust Series 2020-SFR2 Class G                                     | CUSIP: 00178UAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $445956.75    | 0.04%             | 2037-07-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| STELLAR JAY IRELAND DAC/US LLC                             | Stellar Jay Ireland Dac Series 2021-1, Class B                          | CUSIP: 858558AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7433479 | PA      | $6114858.62   | 0.53%             | 2028-03-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                        | Prosper Marketplace Issuance Trust Series 2019-3A Class CERT            | CUSIP: 74362YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  81061702 | PA      | $400039.50    | 0.03%             | 2026-07-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 2018-H08 Class NI       | CUSIP: 38380LDK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10484222 | PA      | $81213.93     | 0.01%             | 2068-05-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| MVW OWNER TRUST                                            | MVW Own Trust Series 2021-1W Class D                                    | CUSIP: 55389TAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419905 | PA      | $1250713.85   | 0.11%             | 2041-06-22      | Fixed         | 3.17%                 | Yes           |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                         | Genesis Sales Finance Master Series 22-A Class D                        | CUSIP: 37186XAU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4350000 | PA      | $4326598.31   | 0.38%             | 2027-09-20      | Fixed         | 10.97%                | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                           | Principal Life Global .75%, Due 08/23/2024                              | CUSIP: 74256LEQ8<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1172107.22   | 0.10%             | 2024-08-23      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST                           | Newtek Small Business Loan Trust Series 2018-1 Class B                  | CUSIP: 65252MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1525472 | PA      | $1506201.67   | 0.13%             | 2044-02-25      | Floating      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                    | American Airlines Passthrough Trust Series 2016-2 Class AA              | CUSIP: 023765AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |   1439000 | PA      | $1247933.03   | 0.11%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Association Series 4314 Class PF             | CUSIP: 3137B9GS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     92321 | PA      | $91306.90     | 0.01%             | 2043-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                       | LHOME Mortgage Trust Series 2021-RTL1, Class M                          | CUSIP: 501894AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2395051.18   | 0.21%             | 2026-09-25      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                 | Mercury Financial Credit Card Series 2022-3A, Class D                   | CUSIP: 58940BAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4007826.40   | 0.35%             | 2027-06-21      | Fixed         | 17.76%                | Yes           |                  2 | On Loan: No      |
| DIAMOND RESORTS OWNER TRUST                                | Diamond Resorts Owner Trust Series 2021-1A, Class C                     | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783571 | PA      | $713644.96    | 0.06%             | 2033-11-21      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley 0.791%, Due 01/22/2025                                   | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3594987.57   | 0.31%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-2                      | RMF Proprietary Issuance Trust Series 2022-2, Class M3                  | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $1638672.88   | 0.14%             | 2062-06-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2021-GRN1 ISSUER TRUST                                | Cascade Funding Mortgage Trust Series 2021-GRN1, Class B                | CUSIP: 12529KAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3588000 | PA      | $2996571.30   | 0.26%             | 2041-03-20      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES LLC                                | Business Jet Securities , LLC Series 21-1A Class C                      | CUSIP: 12327BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1821133 | PA      | $1598117.39   | 0.14%             | 2036-04-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| CREDITO REAL USA AUTO RECEIVABLES TRUST                    | Credito RL USA Series 2021-1, Class A                                   | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1906906 | PA      | $1863787.90   | 0.16%             | 2027-02-16      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding 2015-1                               | Athene Global Funding 2.50%, Due 01/14/2025                             | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1357926.19   | 0.12%             | 2025-01-14      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                         | Energy Transfer Operating LP 4.500%, Due 04/15/2024                     | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $911831.95    | 0.08%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST                                     | Tesla Auto Lease Trust Series 2021-B, Class D                           | CUSIP: 88161KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $8750261.90   | 0.76%             | 2025-09-22      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                 | Progress Residential Trust Series 21-SFR1 Class E                       | CUSIP: 74331FAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1599629.38   | 0.14%             | 2038-04-17      | Fixed         | 2.11%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Company  Inc                      | General Motors Financial Company 1.25%, Due 01/08/2026                  | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3258140.75   | 0.28%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 12-H29 Class SA         | CUSIP: 38375BZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    503564 | PA      | $499218.77    | 0.04%             | 2062-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Rentas Fdo Inv Inm                                         | Renew Financial, LLC Series 2017-1A Class A                             | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1044524 | PA      | $944436.98    | 0.08%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2021-EBO1 LLC                                         | Cascade Funding Mortgage Trust Series 2021-EBO1, Class M3               | CUSIP: 12530AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1662000 | PA      | $1463648.61   | 0.13%             | 2050-11-25      | Floating      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST I LLC                             | Angel Oak Mortgage Trust Series 2019-1, Class B1                        | CUSIP: 03464MAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4836871.20   | 0.42%             | 2048-11-25      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                         | Genesis Sales Finance Master Series 21-AA Class E                       | CUSIP: 37186XAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5352977.40   | 0.47%             | 2026-12-21      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST 2021-WL1             | AlphaFlow Transitional Mortgage Company Series 21-WL1 Class A1          | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10860181 | PA      | $10337105.47  | 0.90%             | 2025-03-25      | Floating      | 3.28%                 | Yes           |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                         | Regional Management Issuance Series 21-1 Class B                        | CUSIP: 75907VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895000 | PA      | $770270.38    | 0.07%             | 2031-03-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2021-1                                           | FHF Trust Series 2021-1A, Class A                                       | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1167087 | PA      | $1118429.19   | 0.10%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                      | Wells Fargo Mortgage Trust Series 21-SAVE Class D                       | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1958033 | PA      | $1728567.02   | 0.15%             | 2040-02-15      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST                      | Upstart Structured Pass-Through Trust Series 2022-2A, Class A           | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4757581 | PA      | $4554863.04   | 0.40%             | 2046-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                 | Mercury Financial Credit Card Series 2021-1A, Class D                   | CUSIP: 58940BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3601690.00   | 0.31%             | 2026-03-20      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                               | New York Life Global Funding 0.9%, Due 10/29/2024                       | CUSIP: 64952WEJ8<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    800000 | PA      | $740993.75    | 0.06%             | 2024-10-29      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2012-33 Class F            | CUSIP: 3136A5TH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    108204 | PA      | $106414.46    | 0.01%             | 2042-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                   | BX Trust Series 2021-ARIA, Class E                                      | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1678351.82   | 0.15%             | 2036-10-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021-HB1                         | RMF Buyout Issuance Trust Series 2021-HB1, Class M4                     | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4220000.00   | 0.37%             | 2031-11-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                                 | Upstart Securitization Trust Series 2021-ST1 Class A                    | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1073674 | PA      | $1021854.47   | 0.09%             | 2027-02-20      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN LTD                                     | Loanpal Solar Loan Ltd. Series 21-1GS Class A                           | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2613278 | PA      | $1987442.41   | 0.17%             | 2048-01-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Multifamily Structured Credit Risk Series 2021-MN3, Class M2            | CUSIP: 35563GAB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   2400000 | PA      | $2106417.12   | 0.18%             | 2051-11-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| BOSTON LENDING TRUST 2022                                  | Boston Lending Trust Series 22-1 Class M2                               | CUSIP: 10084LAC5<br>LEI: 254900UWHMJRRODS3Z64 | Long             | ABS-O            | CORP              | US        |   1024870 | PA      | $778499.82    | 0.07%             | 2062-02-25      | Floating      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 5171, Class UK            | CUSIP: 3137H4KF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1163171 | PA      | $638091.51    | 0.06%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans 2018-A LLC                       | College Avenue Student Loans Series 2018-A Class B                      | CUSIP: 19423DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914072 | PA      | $856067.32    | 0.07%             | 2047-12-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                       | FREMF Mortgage Trust Series 18-KF44 Class B                             | CUSIP: 30296JAC2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1494342 | PA      | $1469927.37   | 0.13%             | 2025-02-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                              | Oportun Funding LLC Series 2021-B, Class D                              | CUSIP: 68377GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7650000 | PA      | $5895555.89   | 0.51%             | 2031-05-08      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Company                                      | Wells Fargo & Company 1.654%, due 06/02/2024                            | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $983842.68    | 0.09%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS IV ISSUER LLC                               | Helios Issuer, LLC Series 2020-AA, Class A                              | CUSIP: 86746CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1584783 | PA      | $1353327.32   | 0.12%             | 2047-06-20      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                           | MF1 Multifamily Housing Mortgage Trust Series 2021-FL5, Class AS        | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $964201.00    | 0.08%             | 2036-07-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                         | Regional Mortgage Issuance Trust Series 2021-1, ClassD                  | CUSIP: 75907VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1064910.21   | 0.09%             | 2031-03-17      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                    | Equitable Financial Life 1.1%, Due 11/12/2024                           | CUSIP: 29449WAK3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2825685.31   | 0.25%             | 2024-11-12      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                             | Citigroup, Inc. 1.281%, Due 11/03/2025                                  | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2533949.03   | 0.22%             | 2025-11-03      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 3895 Class BF             | CUSIP: 3137ACUF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    207607 | PA      | $203701.79    | 0.02%             | 2041-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 1.75%, Due 06/30/2024                               | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14374218.75  | 1.25%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                 | Mercury Financial Credit Card Series 2021-1A, Class B                   | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12200000 | PA      | $11358630.66  | 0.99%             | 2026-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2018                                              | BX Trust Series 2018-GW, Class E                                        | CUSIP: 12433UAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5743481.40   | 0.50%             | 2037-05-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2022-A                              | Opportunity Funding LLC Series 22-A Class C                             | CUSIP: 68378NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $6925048.56   | 0.60%             | 2031-06-09      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| LIBERTY LENDING ABS TRUST 2021-1                           | Liberty Lending Services Series 21-1A Class C                           | CUSIP: 53934QAC6<br>LEI: 5967007LIEEXZXK7FS45 | Long             | ABS-O            | CORP              | US        |   6700000 | PA      | $5925346.67   | 0.52%             | 2029-05-15      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Gs Mtg Secs Corp Tr 2018                                   | Goldman Sachs Mortgage Securities Corp. Trust Series 2018-HULA, Class B | CUSIP: 36259AAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4573863 | PA      | $4424349.73   | 0.39%             | 2025-07-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                  | Toronto-Dominion Bank / The 0.700%, Due 09/10/2024                      | CUSIP: 89114TZE5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    900000 | PA      | $837577.90    | 0.07%             | 2024-09-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2022-Z1                  | Affirm, Inc. Series 2022-Z1, Class A                                    | CUSIP: 00833PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4362612 | PA      | $4252206.82   | 0.37%             | 2027-06-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX Trust Series 2021-VOLT, Class D                                      | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10330000 | PA      | $9664469.09   | 0.84%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2018-SITE                                             | Credit Suisse First Boston Series 2018-SITE, Class C                    | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4575000 | PA      | $4289701.17   | 0.37%             | 2036-04-17      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST               | Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class B    | CUSIP: 04047AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2223000 | PA      | $2050851.55   | 0.18%             | 2027-02-16      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| Dell International L.L.C. and EMC Corporation              | Dell Technologies Incorporated 4.90%, Due 10/01/2026                    | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $295289.73    | 0.03%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Baxter International, Inc.                                 | Baxter International, Inc. 0.868%, Due 12/01/2023                       | CUSIP: 071813CE7<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1731546.61   | 0.15%             | 2023-12-01      | Fixed         | 0.87%                 | No            |                  2 | On Loan: —       |
| UPSTART PASS-THROUGH TRUST                                 | Upstart Pass Through Trust Series 20-ST6 Class A                        | CUSIP: 91679XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3901377 | PA      | $3710862.73   | 0.32%             | 2027-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Assocation Series 2017-28, Class LK           | CUSIP: 3136AWFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1230530 | PA      | $1203324.46   | 0.10%             | 2053-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                       | ReadyCap Commercial Mortgage Trust Series 2020-FL4 Class B              | CUSIP: 75575JAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3976672.80   | 0.35%             | 2035-02-25      | Floating      | 8.24%                 | Yes           |                  2 | On Loan: No      |
| CAFL ISSUER LLC                                            | Colony American Finance Ltd. Series 2021-RTL1, Class A2                 | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $6732036.00   | 0.59%             | 2029-03-28      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 2016-H20 Class GI       | CUSIP: 38376RYT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15611853 | PA      | $39321.58     | 0.00%             | 2066-08-20      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group Inc.                                      | WEC Energy Group Inc .8%, Due 03/15/2024                                | CUSIP: 92939UAF3<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2605320.36   | 0.23%             | 2024-03-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                  | Goldman Sachs Group, Inc. 1.217%, Due 12/06/2023                        | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $965313.81    | 0.08%             | 2023-12-06      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| ENCINA EQUIPMENT FINANCE LLC                               | Encina Equipment Finance Series 21-1A Class E                           | CUSIP: 29253EAF9<br>LEI: 95980020140005309084 | Long             | ABS-O            | CORP              | US        |   1340000 | PA      | $1266724.78   | 0.11%             | 2029-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Bxmt 2020-Fl2 Ltd / Llc                                    | BXMT Ltd Series 2020-FL2 Class E                                        | CUSIP: 12434LAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3201040.50   | 0.28%             | 2037-02-16      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 2021-MN1                  | CUSIP: 35563FAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   7042866 | PA      | $6590992.01   | 0.57%             | 2051-01-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 20-1A Class B                        | CUSIP: 66981PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6202547.24   | 0.54%             | 2028-12-15      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                        | BHMS Mortgage Trust SERIES 2018-ATLS CLASS A                            | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4512324.30   | 0.39%             | 2035-07-16      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2022-2                            | Octana Receivables Trust Series 2022-2A, Class D                        | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2936031.90   | 0.26%             | 2030-09-20      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                 | Meridian Contrarian Fund Series 2022-2A Class C                         | CUSIP: 58940BAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7716214.40   | 0.67%             | 2027-03-20      | Fixed         | 10.83%                | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Assoication Series 12-9 Class FC              | CUSIP: 3136A3D24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    155899 | PA      | $152825.79    | 0.01%             | 2042-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CONNS RECEIVABLES FUNDING 2022-A LLC                       | Conn Funding II, LP Series 2022-A, Class B                              | CUSIP: 20825YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3966754.00   | 0.35%             | 2026-12-15      | Fixed         | 9.52%                 | Yes           |                  2 | On Loan: No      |
| BREX COMMERCIAL CHARGE CARD MASTER TRUST                   | Brex Technology Company Series 2022-1 Class A                           | CUSIP: 05601DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4841239.50   | 0.42%             | 2025-07-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2010-136 Class FA          | CUSIP: 31398STC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    213771 | PA      | $209171.55    | 0.02%             | 2040-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM3               | Brean Asset Backed Securities Series 22-RM3 Class A                     | CUSIP: 10638NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1386638 | PA      | $1209109.63   | 0.11%             | 2062-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2022-2 RECEIVABLES FUNDING LLC            | Sierra Receivables Funding Series 2022-2A, Class D                      | CUSIP: 82650TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137192 | PA      | $1106940.49   | 0.10%             | 2040-06-20      | Fixed         | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Fremf 2019-Kf62 Mtg Tr                                     | Freedom Mortgage Trust Series 19-KF62 Class B                           | CUSIP: 30310WAF8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2035953 | PA      | $1965817.40   | 0.17%             | 2026-04-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                       | ReadyCap Commercial Mortgage Series 2021-FL7, Class A                   | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2161489 | PA      | $2080035.55   | 0.18%             | 2036-11-25      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN FUNDING XIII LLC                                   | Oportun Funding XIII LLC Series 2019-13 Class B                         | CUSIP: 68377FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    978208 | PA      | $943355.91    | 0.08%             | 2025-08-08      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 2021-MN3, Class M1        | CUSIP: 35563GAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |  22213108 | PA      | $20921035.89  | 1.82%             | 2051-11-25      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FORA FINANCIAL ASSET SECURITIZATION 2021 LLC               | FORA Financial Asset Securitization Series 2021-1A, Class B             | CUSIP: 34513GAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2369771.30   | 0.21%             | 2027-05-15      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                          | Cascade Funding Mortgage Trust Series 22-HB8 Class M3                   | CUSIP: 12526WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2445000.00   | 0.21%             | 2025-04-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC                              | College Avenue Student Loans Series 2019-A Class C                      | CUSIP: 19421UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2902084 | PA      | $2700455.72   | 0.24%             | 2048-12-28      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                      | FMC GMSR Issue Trust Series 2021-GT1, Class A                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $7309371.60   | 0.64%             | 2026-07-25      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| TransCanada Pipelines Limited                              | Transcanad Pipeline Strip 1%, Due 10/12/2024                            | CUSIP: 89352HBB4<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | US        |    750000 | PA      | $694143.63    | 0.06%             | 2024-10-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: —       |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST            | Multi Family Connecticut Ave Series 2020-01, Class CE                   | CUSIP: 62548QAF8<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |   3063000 | PA      | $2824692.17   | 0.25%             | 2050-03-25      | Floating      | 11.89%                | Yes           |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST                                   | Octane Receivables Trust Series 2021-1A, Class C                        | CUSIP: 67571AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1651433.04   | 0.14%             | 2028-11-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| FORA FINANCIAL ASSET SECURITIZATION 2021 LLC               | FORA Financial Asset Securitization Series 2021-1A, Class C             | CUSIP: 34513GAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2727661.50   | 0.24%             | 2027-05-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Bxmt 2020-Fl2 Ltd / Llc                                    | BXMT Ltd Series 2020-FL2 Class D                                        | CUSIP: 12434LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4725000 | PA      | $4400945.33   | 0.38%             | 2037-02-16      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 2021-MN3, Class B1        | CUSIP: 35563GAC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   2500000 | PA      | $2165539.00   | 0.19%             | 2051-11-25      | Floating      | 10.37%                | Yes           |                  2 | On Loan: No      |
| CARNOW AUTO RECEIVABLES TRUST                              | CarNow Auto Receivables Trust Series 2021-1A, Class C                   | CUSIP: 14369GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $486790.55    | 0.04%             | 2026-02-17      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 0.125%, Due 10/15/2023                              | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9647265.60   | 0.84%             | 2023-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2022-3FP                                   | Freedom Financial Series 2022-3FP, Class D                              | CUSIP: 35634EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8199023.50   | 0.71%             | 2029-08-20      | Fixed         | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts                                           | Westgate Resorts Series 2020-1A, Class C                                | CUSIP: 96034LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1095115 | PA      | $1078423.62   | 0.09%             | 2034-03-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                              | Oportun Funding LLC Series 2021-B                                       | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3056990.30   | 0.27%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| LOANCORE 2019-CRE3 ISSUER LTD                              | LoanCore Issuer Ltd. Series 2019-CRE3, Class D                          | CUSIP: 53947DAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7200000 | PA      | $7066238.40   | 0.62%             | 2036-05-15      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loans Llc 2017-1                              | Mosaic solar Loans LLC Series 2017-2A Class B                           | CUSIP: 61946GAB9<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |    416497 | PA      | $387141.02    | 0.03%             | 2043-06-22      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                             | Protective Life Global Funding .781%, Due 07/05/2024                    | CUSIP: 74368CBF0<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1585696.47   | 0.14%             | 2024-07-05      | Fixed         | 0.78%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                      | Wells Fargo Mortgage Trust Series 21-SAVE Class E                       | CUSIP: 95003LAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6226800 | PA      | $5447372.36   | 0.47%             | 2040-02-15      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| Gs Mtg Secs Corp Tr 2018                                   | Goldman Sachs Mortgage Securities Corp. Trust Series 2018-HULA, Class C | CUSIP: 36259AAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3476136 | PA      | $3353774.78   | 0.29%             | 2025-07-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | Royal Bank of Canada 3.375%, Due 04/14/2025                             | CUSIP: 78016EZ59<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |    900000 | PA      | $869690.58    | 0.08%             | 2025-04-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                               | Hawaii Hotel Trust Series 2019-MAUI, Class A                            | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3850000 | PA      | $3738830.87   | 0.33%             | 2038-05-17      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 2021-MN2, Class M1        | CUSIP: 35563JAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |  16658240 | PA      | $15156394.42  | 1.32%             | 2041-07-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| SMR 2022-IND MORTGAGE TRUST                                | SMR Mortgage Trust Series 2022-IND, Class D                             | CUSIP: 78458MAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1736263 | PA      | $1589413.55   | 0.14%             | 2039-02-25      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                         | Genesis Sales Finance Master Series 22-A Class C                        | CUSIP: 37186XAT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4993777.50   | 0.43%             | 2027-09-20      | Fixed         | 9.53%                 | Yes           |                  2 | On Loan: No      |
| SPS SERVICER ADVANCE RECEIVABLES TRUST II                  | SPS Servicer Advance Receivables Series 2020-T2, Class D                | CUSIP: 78472JAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2519198.70   | 0.22%             | 2055-11-15      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB1                    | Finance of America HECM Buyout Series 22-HB1 Class M3                   | CUSIP: 31735JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1487908.96   | 0.13%             | 2025-11-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL CREDIT CARD ABS LLC                            | Continental CR Card Series 2019-1 Class C                               | CUSIP: 21134LAC2<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2899062.90   | 0.25%             | 2026-08-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS TRUST 2021-3FP                                   | Freedom Financial 1.60%, Due 11/20/2028                                 | CUSIP: 30322MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5300000 | PA      | $5095184.68   | 0.44%             | 2028-11-20      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corporation                          | Capital One Financial Company 2.636, Due 03/03/2026                     | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $936646.46    | 0.08%             | 2026-03-03      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN LTD                                     | Loanpal Solar Loan Ltd. Series 2021-2GS, Class A                        | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1984817 | PA      | $1451446.21   | 0.13%             | 2048-03-20      | Fixed         | 2.22%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                       | JP Morgan Chase & Co. 2.595%, Due 02/24/2026                            | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1598272.07   | 0.14%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-MFM1                                         | BX Commerical Mortgage Trust Series 2021-MFM1, Class D                  | CUSIP: 05608VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1880146.20   | 0.16%             | 2034-01-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                   | BX Trust Series 18-EXCL Class C                                         | CUSIP: 12433WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1304780 | PA      | $1267957.60   | 0.11%             | 2037-09-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2021-View                                         | BX Trust Series 2021-VIEW, Class E                                      | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7640500 | PA      | $6932778.06   | 0.60%             | 2036-06-15      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corporation                               | Truist Financial Corporation FLTR, Due 06/09/2021                       | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    800000 | PA      | $783213.96    | 0.07%             | 2025-06-09      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST                           | Newtek Small Business Loan Trust Series 19-1 Class A                    | CUSIP: 65252XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1898525 | PA      | $1883483.50   | 0.16%             | 2044-12-25      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Company                                         | DTE ENERGY COMPANY 1.05%, DUE 06/01/2025                                | CUSIP: 233331BG1<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    500000 | PA      | $452881.67    | 0.04%             | 2025-06-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 22-A Class D                         | CUSIP: 66981PAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4928675.50   | 0.43%             | 2030-10-15      | Fixed         | 12.42%                | Yes           |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST                               | Veros Auto Receivables Trust Series 21-1 Class B                        | CUSIP: 92512BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4245986.25   | 0.37%             | 2026-10-15      | Fixed         | 1.49%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | J.P. Morgan Wealth Management Series 2021-CL1, Class M3                 | CUSIP: 46591HBM1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1492469 | PA      | $1297096.93   | 0.11%             | 2071-02-26      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| BDS LTD                                                    | BDS Ltd. Series 2021-FL8, Class D                                       | CUSIP: 05493JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2518741.50   | 0.22%             | 2036-01-18      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST                                         | ROC Securities Trust Series 2021-RLT1, Class M                          | CUSIP: 77118TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6745000 | PA      | $5746751.47   | 0.50%             | 2026-08-25      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                       | ReadyCap Commerical Mortgage Series 2021-FL6, Class D                   | CUSIP: 75575TAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7545000 | PA      | $6946145.81   | 0.60%             | 2036-07-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| BXG RECEIVABLES NOTE TRUST                                 | BXG Receivables Series 2018-A, Class C                                  | CUSIP: 05607UAC3<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    667333 | PA      | $618368.02    | 0.05%             | 2034-02-02      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| SHELTER GROWTH CRE ISSUER LTD                              | SGCP Series 2021-FL3, Class C                                           | CUSIP: 822866AG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3800000 | PA      | $3606086.00   | 0.31%             | 2036-09-15      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 2021-A, Class C                      | CUSIP: 66981PAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6900000 | PA      | $6160829.22   | 0.54%             | 2029-12-17      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Gold Key Resorts Llc 2014-A                                | Gold Key Resorts, LLC Series 2014-A Class A                             | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |     23447 | PA      | $23042.43     | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                             | A10 Securitization Series 2020-C Class D                                | CUSIP: 66981EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2700922.00   | 0.24%             | 2040-08-15      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB2                    | Finance of America HECM Buyout Series 2022-HB2, Class M3                | CUSIP: 317380AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6153269.85   | 0.54%             | 2027-09-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST                                     | Oportun Funding LLC Series 2021-C, Class D                              | CUSIP: 68377WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1434600.48   | 0.12%             | 2031-10-08      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                         | Genesis Sales Finance Master Series 21-AA Class D                       | CUSIP: 37186XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2122489.92   | 0.18%             | 2026-12-21      | Fixed         | 2.09%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                          | Cascade Funding Mortgage Trust Series 2021-HB7, Class M3                | CUSIP: 12530BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2725995.00   | 0.24%             | 2031-10-27      | Floating      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                           | MF1 Multifamily Housing Series 2022-FL8 Class B                         | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3250632.00   | 0.28%             | 2037-02-19      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST               | Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A    | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3492674 | PA      | $3375301.77   | 0.29%             | 2027-01-15      | Fixed         | 1.19%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | Royal Bank of Canada 0.75%, Due 10/07/2024                              | CUSIP: 78016EZX8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1859601.20   | 0.16%             | 2024-10-07      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| HERTZ VEHICLE FINANCING III LLC                            | Hertz Vehicle Finance Series 2021-2 Class D                             | CUSIP: 42806MAH2<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4162459.00   | 0.36%             | 2027-12-25      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2011-127 Class ZU          | CUSIP: 3136A2TR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4978474 | PA      | $4555706.40   | 0.40%             | 2041-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                       | FREMF Mortgage Trust Series 18-KF43 Class B                             | CUSIP: 30296DAG6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2254710 | PA      | $2142951.08   | 0.19%             | 2028-01-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST                                   | Octane Receivables Trust Series 2020-1A, Class C                        | CUSIP: 67592LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4479167.83   | 0.39%             | 2026-03-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST                                  | RMF Buyout Issuance Trust Series 2020-HB1, Class M2                     | CUSIP: 76971EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $865000.00    | 0.08%             | 2050-10-25      | Floating      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-2 TRUST                      | Home Partners of America Trust Series 2021-2, Class D                   | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6319491 | PA      | $5226324.04   | 0.46%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| CARNOW AUTO RECEIVABLES TRUST                              | CarNow Auto Receivables Trust Series 2021-1A, Class E                   | CUSIP: 14369GAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2364934.50   | 0.21%             | 2027-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GENESIS PRIVATE LABEL AMORTIZING TRUST                     | Genesis Private Label Amortization Trust Series 2020-1 Class E          | CUSIP: 37187PAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2625000 | PA      | $2565777.90   | 0.22%             | 2030-07-20      | Fixed         | 9.76%                 | Yes           |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                       | ReadyCap Commerical Mortgage Series 2021-FL7, Class D                   | CUSIP: 75575WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3450000 | PA      | $3179464.80   | 0.28%             | 2036-11-25      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| HIN TIMESHARE TRUST                                        | Holiday Inn Timeshare Trust Series 20-A Class C                         | CUSIP: 40439HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    977980 | PA      | $896423.48    | 0.08%             | 2039-10-09      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMG Mortgage Trust Series 2018-KF50, Class B                          | CUSIP: 35709BAC9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2503081 | PA      | $2267169.78   | 0.20%             | 2028-07-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 2.625%, Due 12/31/2023                              | CUSIP: 9128285U0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9794638.40   | 0.85%             | 2023-12-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST            | Multifamily Conn Ave Series 2020-01, Class M-7                          | CUSIP: 62548QAB7<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |    491343 | PA      | $481216.58    | 0.04%             | 2050-03-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST                           | Newtek Small Business Loan Trust Series 2018-1 Class A                  | CUSIP: 65252MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    693397 | PA      | $681730.69    | 0.06%             | 2044-02-25      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                         | Regional Management Issuance Trust Series 2020-1 Class B                | CUSIP: 75907QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2252804.25   | 0.20%             | 2030-10-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                  | Goldman Sachs Group Inc .925%, Due 10/21/2024                           | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4790001.10   | 0.42%             | 2024-10-21      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                         | Genesis Sales Finance Master Series 21-AA Class F                       | CUSIP: 37186XAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3523488.80   | 0.31%             | 2026-12-21      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL CREDIT CARD ABS LLC                            | Continental Credit Card LLC Series 19-1A Class A                        | CUSIP: 21134LAA6<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |   4359154 | PA      | $4321176.76   | 0.38%             | 2026-08-15      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| Pnmac Gsmr Issuer Trust                                    | PNMAC GMSR Issuer Trust SERIES 2018-GT2 CLASS NT                        | CUSIP: 69354WAD8<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   9400000 | PA      | $9226256.98   | 0.80%             | 2023-08-25      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                       | Freedom Mortgage Trust Series 18-KF42 Class B                           | CUSIP: 30306MAG4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    968352 | PA      | $940515.12    | 0.08%             | 2024-12-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| LENDINGPOINT 2022-C ASSET SECURITIZATION TRUST             | LendingPoint Asset Securitization Series 2022-C, Class D                | CUSIP: 525919AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4920000 | PA      | $4711081.06   | 0.41%             | 2030-02-15      | Fixed         | 10.73%                | Yes           |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE 2021-FL4 LTD                      | Acre Mortgage Trust Series 21-FL4 Class D                               | CUSIP: 00489TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5721114.00   | 0.50%             | 2037-12-15      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                               | U.S. Treasury Notes 0.75%, Due 11/15/2024                               | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9333593.80   | 0.81%             | 2024-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | American Credit Acceptance Series 2020-3, Class F                       | CUSIP: 025297AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6621276.83   | 0.58%             | 2027-06-14      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST                                    | Mosaic Solar Loans LLC Series 2020-1A, Class B                          | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1229600 | PA      | $1081127.67   | 0.09%             | 2046-04-20      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                          | Cascade Funding Mortgage Trust Series 22-HB8 Class A                    | CUSIP: 12526WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3348823 | PA      | $3215713.79   | 0.28%             | 2025-04-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                        | Brean Asset Backed Securities Series 2021-RM2, Class A                  | CUSIP: 10638MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8663568 | PA      | $7562360.00   | 0.66%             | 2061-10-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| ANTLER MORTGAGE TRUST                                      | Antler Mortgage Trust Series 2021-RTL1, Class M                         | CUSIP: 00201QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16188000 | PA      | $14018919.70  | 1.22%             | 2025-05-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS V ISSUER LLC                                | Helios Issuer, LLC Series 21-A Class A                                  | CUSIP: 86746EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103549 | PA      | $898058.53    | 0.08%             | 2048-02-20      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| COLD STORAGE TRUST                                         | Cold Storage Trust Series 2020-ICE5 Class E                             | CUSIP: 193051AQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2457476 | PA      | $2355675.34   | 0.21%             | 2037-11-16      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                 | Progress Residential Trust Series 21-SFR1 Class B                       | CUSIP: 74331FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2560408.50   | 0.22%             | 2038-04-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2018                                              | BX Trust Series 2018-GW, Class D                                        | CUSIP: 12433UAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685000 | PA      | $1617194.42   | 0.14%             | 2035-05-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | Freedom Mortgage Trust Series 2018-KF53 Class B                         | CUSIP: 35708AAG3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2133604 | PA      | $2092345.60   | 0.18%             | 2025-10-27      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| The Kroger Co.                                             | THE KROGER CO 4.00%, DUE 02/01/2024                                     | CUSIP: 501044CY5<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1774801.69   | 0.15%             | 2024-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | Freedom Mortgage Trust Series 17-KF39 Class B                           | CUSIP: 35708UAC8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3844388 | PA      | $3781084.33   | 0.33%             | 2024-11-25      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                           | MF1 Multifamily Housing Mortgage Trust Series 2021-FL5, Class A         | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1223677 | PA      | $1185061.37   | 0.10%             | 2036-07-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| PFP LTD                                                    | PFP III Series 21-7 Class A-S                                           | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2999850 | PA      | $2824533.02   | 0.25%             | 2038-04-16      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM4               | Brean Asset Backed Securites Series 22-RM4 Class M1                     | CUSIP: 10638JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1413732 | PA      | $962086.91    | 0.08%             | 2062-07-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CIG AUTO RECEIVABLES TRUST                                 | CIG AUTO RECEIVABLES TRUST Series 20-1A Class D                         | CUSIP: 12597UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2347924.56   | 0.20%             | 2026-01-12      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2006-108 Class FD          | CUSIP: 31396LTA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    221297 | PA      | $217081.89    | 0.02%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                         | Regional Management Issuance Trust Series 2020-1 Class A                | CUSIP: 75907QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1858890.80   | 0.16%             | 2030-10-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                       | ReadyCap Commerical Mortgage Series 2021-FL6, Class C                   | CUSIP: 75575TAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1800000 | PA      | $1683219.60   | 0.15%             | 2036-07-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2013-34 Class GP           | CUSIP: 3136ADQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2462000 | PA      | $2324665.11   | 0.20%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                       | ReadyCap Commerical Mortgage Series 2021-FL6, Class E                   | CUSIP: 75575TAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4500000 | PA      | $4081432.50   | 0.36%             | 2036-07-25      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| DIAMOND RESORTS OWNER TRUST                                | Diamond Resorts Owner Trust Series 2021-1A, Class B                     | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    833586 | PA      | $755956.62    | 0.07%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB1                    | Finance Of America HECM Series 22-HB1 Class M5                          | CUSIP: 31735JAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7355923.20   | 0.64%             | 2026-11-25      | Floating      | 7.87%                 | Yes           |                  2 | On Loan: No      |
| CARNOW AUTO RECEIVABLES TRUST                              | CarNow Auto Receivables Trust Series 2021-1A, Class D                   | CUSIP: 14369GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2129998.50   | 0.19%             | 2026-02-17      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                           | MF1 Multifamily Housing Mortgage Trust Series 2021-FL7, Class AS        | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2850000 | PA      | $2689932.60   | 0.23%             | 2036-10-16      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2021-A LLC                       | College Ave Student Loans Series 21-A Class D                           | CUSIP: 19424KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1119258.00   | 0.10%             | 2051-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                         | Regional Management Issuance Series 21-1 Class C                        | CUSIP: 75907VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $3905866.08   | 0.34%             | 2031-03-17      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | Chase Mortgage Finance Corporation Series 21-CL1 Class M3               | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2316677 | PA      | $1933368.73   | 0.17%             | 2050-02-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                           | MF1 Multifamily Housing Mortgage Trust Floater, Due 10/16/2036          | CUSIP: 55284AAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1871816.00   | 0.16%             | 2036-10-16      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| PRODIGY FINANCE CM2021-1 DESIGNATED ACTIVITY COMPANY       | Prodigy Finance Series 2021-1A, Class A                                 | CUSIP: 742855AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1348621 | PA      | $1303108.52   | 0.11%             | 2051-07-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Pool #G60257                     | CUSIP: 31335AJA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390783 | PA      | $405656.55    | 0.04%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                            | Hertz Vehicle Finance Series 2022-1A, Class D                           | CUSIP: 42806MAM1<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6181479.50   | 0.54%             | 2026-06-25      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Alaska Airlines Pass Through Trust 2020-1A                 | ALASKA AIRLINES 4.8%, DUE 02/15/2029                                    | CUSIP: 01166VAA7<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | ABS-O            | CORP              | US        |    421612 | PA      | $401278.15    | 0.03%             | 2027-08-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Company                                      | Wells Fargo & Company 2.188%, Due 04/30/2026                            | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1558851.90   | 0.14%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                      | RMF Proprietary Issuance Trust Series 2022-1, Class A1                  | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961516 | PA      | $840738.25    | 0.07%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| HIN TIMESHARE TRUST                                        | Holiday Inn Timeshare Trust Series 20-A Class D                         | CUSIP: 40439HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    454875 | PA      | $418801.32    | 0.04%             | 2039-10-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                             | A10 Securitization Series 2020-C Class E                                | CUSIP: 66981EAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $985752.60    | 0.09%             | 2040-08-15      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                             | A10 Securitization Series 2020-C Class B                                | CUSIP: 66981EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1255769 | PA      | $1230713.04   | 0.11%             | 2040-08-15      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX Commercial Mortgage Trust 2021-VOLT Class B                          | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1470000 | PA      | $1385820.16   | 0.12%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Multifamily Structured Credit Risk Series 2021-MN2, Class M2            | CUSIP: 35563JAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |  16250000 | PA      | $14031930.25  | 1.22%             | 2041-07-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| DIAMOND RESORTS OWNER TRUST                                | Diamond Resorts Owner Trust Series 19-1A Class B                        | CUSIP: 252722AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260833 | PA      | $254427.20    | 0.02%             | 2032-02-20      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 2016-H11 Class FD       | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     80007 | PA      | $78748.65     | 0.01%             | 2066-05-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| PFP LTD                                                    | PFP III Series 2021-7, Class D                                          | CUSIP: 69290LAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1749913 | PA      | $1597336.02   | 0.14%             | 2038-04-14      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2022-2        | Arivo Acceptance Auto Loan Receivables Trust Series 2022-2A, Class C    | CUSIP: 04047JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4050934.80   | 0.35%             | 2029-03-15      | Fixed         | 8.71%                 | Yes           |                  2 | On Loan: No      |
| FORA FINANCIAL ASSET SECURITIZATION 2021 LLC               | FORA Financial Asset Securitization Series 2021-1A, Class A             | CUSIP: 34513GAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10029478.80  | 0.87%             | 2027-05-15      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2021-2                                           | First Help Financial LLC Series 21-2A Class A                           | CUSIP: 30322JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $5890284.40   | 0.51%             | 2027-09-15      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2018                                              | BX Trust Series 2018-GW, Class C                                        | CUSIP: 12433UAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2405677.25   | 0.21%             | 2037-05-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| BDS LTD                                                    | BDS Ltd. Series 2021-FL8, Class E                                       | CUSIP: 05493JAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1750000 | PA      | $1615558.00   | 0.14%             | 2036-01-18      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 20-1A Class A                        | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3385657.80   | 0.29%             | 2028-12-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                     | Federal Home Loan Mortgage Corporation Series 3925 Class FL             | CUSIP: 3137AFGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     63599 | PA      | $63176.22     | 0.01%             | 2041-01-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Multi Family Connecticut Avenue Series 2019-01 Class B10                | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | USGA              | US        |   3000000 | PA      | $2803320.30   | 0.24%             | 2049-10-15      | Floating      | 9.89%                 | Yes           |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                 | Mercury Financial Credit Card Series 2022-3A, Class B                   | CUSIP: 58940BAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3507368.90   | 0.31%             | 2027-06-21      | Fixed         | 10.68%                | Yes           |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2021-A LLC                       | College Ave Student Loans Series 21-A Class B                           | CUSIP: 19424KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1991093 | PA      | $1746480.63   | 0.15%             | 2051-07-25      | Fixed         | 2.32%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN FUNDING XIV LLC                                    | Oportun Funding LLC Series 21-1A Class C                                | CUSIP: 68377BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8175000 | PA      | $7530271.27   | 0.66%             | 2028-03-08      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2022-A                              | Opportunity Funding LLC Series 2022-A, Class D                          | CUSIP: 68378NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1193218.35   | 0.10%             | 2031-06-09      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                             | RMF Proprietary Issuance Trust Series 2021-2, Class A                   | CUSIP: 74969VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7723772 | PA      | $6642444.01   | 0.58%             | 2061-09-25      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                              | Oportun Funding LLC Series 2021-B, Class C                              | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8350000 | PA      | $7010186.56   | 0.61%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2021-CRE6 LTD                                        | AREIT CRE Trust Series 2022-CRE6, Class A                               | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5575299 | PA      | $5358381.28   | 0.47%             | 2037-01-16      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Fox Corporation                                            | Twenty-First Century Fox Inc 4.030%, Due 01/25/2024                     | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    450000 | PA      | $444781.47    | 0.04%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: —       |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST            | Multifamily Conn. Ave. Securities Series 2020-01 Class M-10             | CUSIP: 62548QAD3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4617718.50   | 0.40%             | 2050-03-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021-HB1                         | RMF Buyout Issuance Trust Series 2021-HB1, Class M3                     | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2625000.00   | 0.23%             | 2031-11-25      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC | Arbor Realty Collateralized Loan Series 22-FL1 Class D                  | CUSIP: 03880XAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4750000 | PA      | $4412194.25   | 0.38%             | 2037-01-15      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Discover Financial Services                                | DISCOVER FINANCIAL SERVICES 3.750%, DUE 03/04/2025                      | CUSIP: 254709AL2<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2649315.98   | 0.23%             | 2025-03-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST                             | MARINER FINANCIAL SERIES 2019-A CLASS C                                 | CUSIP: 56847MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2120000 | PA      | $1962868.14   | 0.17%             | 2032-07-20      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMF Mortgage Trust Series 2019-KF67, Class B                          | CUSIP: 30298NAG2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   5617013 | PA      | $5190173.05   | 0.45%             | 2029-08-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association Series 12-H23 Class SA         | CUSIP: 38375BXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    579008 | PA      | $569308.13    | 0.05%             | 2062-10-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST II LLC                   | OnDeck Asset Securitization Trust Series 21-1A Class B                  | CUSIP: 68236WAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3148525.80   | 0.27%             | 2027-05-17      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST                               | Veros Auto Receivables Trust Series 21-1 Class C                        | CUSIP: 92512BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4597827.50   | 0.40%             | 2028-08-15      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Assoication Series 301 Class 1                | CUSIP: 31364JZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175426 | PA      | $157646.12    | 0.01%             | 2029-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES LLC                                | Business Jet Securities , LLC Series 21-1A Class B                      | CUSIP: 12327BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1118904 | PA      | $948333.77    | 0.08%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL CREDIT CARD ABS LLC                            | Continental Credit Card LLC Series 19-1A Class B                        | CUSIP: 21134LAB4<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |   7450000 | PA      | $7293025.52   | 0.64%             | 2026-08-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| PFP LTD                                                    | PFP Series 2021-7 Class A                                               | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    807672 | PA      | $789314.87    | 0.07%             | 2038-04-16      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Honda Motor Co Ltd.                                        | Honda Motor Company 2.271%, Due 03/10/2025                              | CUSIP: 438127AA0<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | US        |    900000 | PA      | $851643.99    | 0.07%             | 2025-03-10      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST           | Continental Credit Card LLC Series 2021-A, Class B                      | CUSIP: 66981PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6700000 | PA      | $6151198.98   | 0.54%             | 2029-12-17      | Fixed         | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | Federal National Mortgage Association Series 2006-56 Class DC           | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    530729 | PA      | $535788.41    | 0.05%             | 2036-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BXMT LTD                                                   | BXMT Series 21-FL4 Class D                                              | CUSIP: 05609GAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8250000 | PA      | $7530806.25   | 0.66%             | 2038-05-17      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-01

**Name of Applicant:** Diamond Hill Funds

**Signature:** Julie Roach

**Name of Signer:** Julie Roach

**Title:** Treasurer