# EDGAR Filing Document

**Accession Number:** 0001791032
**File Stem:** 0001752724-23-075985
**Filing Date:** 2023-3
**Character Count:** 167272
**Document Hash:** 827bbee2b95289037be6e38fe442b54a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-075985.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-075985

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Axonic Funds
- **CENTRAL INDEX KEY:** 0001791032
- **IRS NUMBER:** 846741378
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23483
- **FILM NUMBER:** 23787979

**BUSINESS ADDRESS:**
- **STREET 1:** 520 MADISON AVENUE
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** 212-259-0475

**MAIL ADDRESS:**
- **STREET 1:** 520 MADISON AVENUE
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

## Series and Classes Contracts Data

### Axonic Strategic Income Fund (Series ID: S000067475)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000216959 | Class A Shares |  |
| C000216960 | Class I Shares |  |

## Nport-Ex

AXONIC STRATEGIC INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

January 31, 2023 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Description** | **Shares** | **Value** |
| **COMMON STOCKS (0.51%)** |  |  |
| **Financials (0.51%)** |  |  |
| &nbsp;&nbsp;&nbsp;ACRES Commercial Realty Corp. REIT | 91094 | $860838 |
| &nbsp;&nbsp;&nbsp;Ladder Capital Corp. REIT | 358960 | 4020352 |
| &nbsp;&nbsp;&nbsp;PennyMac Financial Services, Inc. REIT | 6390 | 430814 |
| &nbsp;&nbsp;&nbsp;Redwood Trust, Inc. REIT | 44220 | 369679 |
| &nbsp;&nbsp;&nbsp;Rithm Capital Corp. REIT | 13206 | 124269 |
| &nbsp;&nbsp;&nbsp;TPG RE Finance Trust, Inc. REIT | 96958 | 844504 |
|  |  | 6650456 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $7,403,065)** |  | **6650456** |
| **PREFERRED STOCKS (2.41%)** |  |  |
| **Financials (2.41%)** |  |  |
| &nbsp;&nbsp;&nbsp;ACRES Commercial Realty Corp., Series D, 7.88%<sup>(a)</sup> | 200000 | 4224000 |
| &nbsp;&nbsp;&nbsp;Arbor Realty Trust, Series F, 6.25%<sup>(a)</sup> | 200000 | 4052000 |
| &nbsp;&nbsp;&nbsp;Arbor Realty Trust, Series D, 6.38%<sup>(a)</sup> | 200000 | 4082000 |
| &nbsp;&nbsp;&nbsp;Granite Point Mortgage Trust, Inc., Series A, 1D US SOFR + 5.83%<sup>(a)(b)</sup> | 257360 | 4707114 |
| &nbsp;&nbsp;&nbsp;KKR Real Estate Finance Trust, Inc., Series A, 6.50%<sup>(a)</sup> | 183991 | 3560226 |
| &nbsp;&nbsp;&nbsp;MFA Financial, Inc., Series B, 7.50%<sup>(a)</sup> | 28261 | 578503 |
| &nbsp;&nbsp;&nbsp;New York Mortgage Trust, Inc., Series F, 6.88%<sup>(a)(b)</sup> | 187940 | 3553945 |
| &nbsp;&nbsp;&nbsp;Ready Capital Corp., Series E, 6.50%<sup>(a)</sup> | 18013 | 361523 |
| &nbsp;&nbsp;&nbsp;Rithm Capital Corp., 3M US L + 5.80%<sup>(a)(b)</sup> | 171890 | 3643045 |
| &nbsp;&nbsp;&nbsp;TPG RE Finance Trust, Inc., Series C, 6.25%<sup>(a)</sup> | 160000 | 2744000 |
|  |  | 31506356 |
| **TOTAL PREFERRED STOCKS** |  |  |
| **(Cost $40,144,925)** |  | **31506356** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Rate** | **Maturity<br> Date** | **Principal<br> Amount** | **Value** |
| **ASSET-BACKED SECURITIES (15.71%)** | **ASSET-BACKED SECURITIES (15.71%)** | **ASSET-BACKED SECURITIES (15.71%)** | **ASSET-BACKED SECURITIES (15.71%)** | **ASSET-BACKED SECURITIES (15.71%)** |
| &nbsp;&nbsp;&nbsp;Affirm Asset Securitization Trust, Series 2021-B, Class E<sup>(c)</sup> | 4.61% | 04/15/24 | $4200000 | $3640140 |
| &nbsp;&nbsp;&nbsp;Avant Credit Card Master Trust, Series 2021-1A, Class D<sup>(c)</sup> | 4.28% | 10/15/24 | 3500000 | 3193400 |
| &nbsp;&nbsp;&nbsp;Castlelake Aircraft Securitization Trust, Series 2018-1, Class B<sup>(c)</sup> | 5.30% | 06/15/25 | 3276109 | 2358799 |
| &nbsp;&nbsp;&nbsp;Castlelake Aircraft Structured Trust, Series 2017-1R, Class C<sup>(c)</sup> | 6.50% | 08/15/25 | 13556976 | 6473456 |
| &nbsp;&nbsp;&nbsp;Castlelake Aircraft Structured Trust, Series 2019-1A, Class A<sup>(c)</sup> | 3.97% | 04/15/26 | 5395788 | 4585880 |
| &nbsp;&nbsp;&nbsp;Castlelake Aircraft Structured Trust, Series 2019-1A, Class B<sup>(c)</sup> | 5.10% | 04/15/26 | 2422091 | 1695464 |
| &nbsp;&nbsp;&nbsp;Castlelake Aircraft Structured Trust, Series 2021-1A, Class B<sup>(c)</sup> | 6.66% | 07/15/27 | 2215762 | 1706137 |
| &nbsp;&nbsp;&nbsp;Castlelake Aircraft Structured Trust, Series 2021-1A, Class C<sup>(c)</sup> | 7.00% | 10/15/26 | 10092289 | 6939458 |
| &nbsp;&nbsp;&nbsp;Clsec Holdings 22t LLC, Series 2021-1, Class C<sup>(c)</sup> | 6.17% | 11/10/28 | 7167102 | 5733682 |
| &nbsp;&nbsp;&nbsp;Cologix Data Centers US Issuer LLC, Series 2021-1A, Class C<sup>(c)</sup> | 5.99% | 12/28/26 | 3700000 | 3148330 |
| &nbsp;&nbsp;&nbsp;CPS Auto Receivables Trust, Series 2021-D, Class E<sup>(c)</sup> | 4.06% | 11/15/25 | 7868000 | 6840439 |
| &nbsp;&nbsp;&nbsp;DT Auto Owner Trust 2022-1, Series 2022-1A, Class E<sup>(c)</sup> | 5.53% | 11/17/25 | 3170000 | 2864729 |
| &nbsp;&nbsp;&nbsp;Falcon Aerospace, Ltd., Series 2019-1, Class A<sup>(c)</sup> | 3.60% | 09/15/26 | 2538047 | 2032722 |
| &nbsp;&nbsp;&nbsp;Falcon Aerospace, Ltd., Series 2019-1, Class B<sup>(c)</sup> | 4.79% | 09/15/26 | 1694666 | 1118479 |
| &nbsp;&nbsp;&nbsp;FAT Brands Fazoli's Native I LLC, Series 2021-1, Class B2<sup>(c)</sup> | 7.00% | 01/25/25 | 2000000 | 1764800 |
| &nbsp;&nbsp;&nbsp;FAT Brands GFG Royalty I LLC, Series 2021-1A, Class B2<sup>(c)</sup> | 7.00% | 07/25/23 | 12000000 | 11716800 |
| &nbsp;&nbsp;&nbsp;FAT Brands Twin Peaks I LLC, Series 2021-1A, Class B2<sup>(c)</sup> | 9.00% | 01/25/25 | 3000000 | 2624400 |
| &nbsp;&nbsp;&nbsp;First Investors Auto Owner Trust, Series 2021-1A, Class F<sup>(c)</sup> | 5.37% | 02/15/25 | 1270000 | 1144016 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Rate** | **Maturity<br> Date** | **Principal<br> Amount** | **Principal<br> Amount** | **Value** | **Value** |
| &nbsp;&nbsp;&nbsp;Flexential Issuer 2021-1, Series 2021-1A, Class C<sup>(c)</sup> | 6.93% | 11/25/26 | $| 8000000 | $| 6844000 |
| &nbsp;&nbsp;&nbsp;GAIA Aviation, Ltd., Series 2019-1, Class B<sup>(c)(d)</sup> | 5.19% | 12/15/26 |  | 16134725 |  | 11294307 |
| &nbsp;&nbsp;&nbsp;Hertz Vehicle Financing III LP, Series 2021-2A, Class D<sup>(c)</sup> | 4.34% | 12/25/26 |  | 30000000 |  | 25851000 |
| &nbsp;&nbsp;&nbsp;Horizon Aircraft Finance I, Ltd., Series 2018-1, Class A<sup>(c)</sup> | 4.46% | 12/15/25 |  | 5226204 |  | 4351860 |
| &nbsp;&nbsp;&nbsp;Horizon Aircraft Finance I, Ltd., Series 2018-1, Class B<sup>(c)</sup> | 5.27% | 12/15/25 |  | 1080960 |  | 702624 |
| &nbsp;&nbsp;&nbsp;Horizon Aircraft Finance II, Ltd., Series 2019-1, Class A<sup>(c)</sup> | 3.72% | 07/15/26 |  | 1766170 |  | 1413289 |
| &nbsp;&nbsp;&nbsp;Horizon Aircraft Finance II, Ltd., Series 2019-1, Class B<sup>(c)</sup> | 4.70% | 07/15/26 |  | 2483333 |  | 1490000 |
| &nbsp;&nbsp;&nbsp;Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A<sup>(c)</sup> | 3.43% | 11/15/26 |  | 5583474 |  | 4411503 |
| &nbsp;&nbsp;&nbsp;Horizon Aircraft Finance III, Ltd., Series 2019-2, Class B<sup>(c)</sup> | 4.46% | 11/15/26 |  | 7082262 |  | 4603470 |
| &nbsp;&nbsp;&nbsp;JOL Air, Ltd., Series 2019-1, Class B<sup>(c)</sup> | 4.95% | 04/15/26 |  | 16633502 |  | 11976122 |
| &nbsp;&nbsp;&nbsp;JPMorgan Chase Bank NA - Chase Auto Credit Linked Notes, Series 2021-2, Class G<sup>(c)</sup> | 8.48% | 07/25/25 |  | 2350000 |  | 2032280 |
| &nbsp;&nbsp;&nbsp;Lendingpoint Asset Securitization Trust, Series 2021-B, Class D<sup>(c)</sup> | 6.12% | 12/16/24 |  | 3000000 |  | 2383500 |
| &nbsp;&nbsp;&nbsp;Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class C<sup>(c)</sup> | 5.68% | 09/15/28 |  | 7972137 |  | 6616873 |
| &nbsp;&nbsp;&nbsp;LUNAR AIRCRAFT, Ltd., Series 2020-1A, Class B<sup>(c)</sup> | 4.34% | 02/15/27 |  | 3546412 |  | 2269704 |
| &nbsp;&nbsp;&nbsp;MAPS 2021-1 Trust, Series 2021-1A, Class C<sup>(c)</sup> | 5.44% | 06/15/28 |  | 5133750 |  | 3850312 |
| &nbsp;&nbsp;&nbsp;Mercury Financial Credit Card Master Trust, Series 2021-1A, Class D<sup>(c)</sup> | 6.26% | 03/20/26 |  | 12000000 |  | 11131200 |
| &nbsp;&nbsp;&nbsp;New Residential Mortgage Loan Trust, Series 2022-SFR1, Class G<sup>(c)</sup> | 5.00% | 02/17/27 |  | 5000000 |  | 4250110 |
| &nbsp;&nbsp;&nbsp;Pioneer Aircraft Finance, Ltd., Series 2019-1, Class A<sup>(c)</sup> | 3.97% | 06/15/26 |  | 2631687 |  | 2131404 |
| &nbsp;&nbsp;&nbsp;Pioneer Aircraft Finance, Ltd., Series 2019-1, Class B<sup>(c)</sup> | 4.95% | 06/15/26 |  | 1656250 |  | 1109687 |
| &nbsp;&nbsp;&nbsp;Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F<sup>(c)</sup> | 5.79% | 07/15/25 |  | 1370000 |  | 1197106 |
| &nbsp;&nbsp;&nbsp;Start II, Ltd., Series 2019-1, Class B<sup>(c)</sup> | 5.10% | 03/15/26 |  | 2282749 |  | 1666407 |
| &nbsp;&nbsp;&nbsp;Stellar Jay Ireland DAC, Series 2021-1, Class B<sup>(c)</sup> | 5.93% | 03/15/28 |  | 4734700 |  | 3551025 |
| &nbsp;&nbsp;&nbsp;Stonepeak 2021-1 ABS, Series 2021-1A, Class C<sup>(c)</sup> | 5.93% | 05/15/28 |  | 10349711 |  | 8279769 |
| &nbsp;&nbsp;&nbsp;Thunderbolt II Aircraft Lease, Ltd., Series 2018-A, Class B<sup>(c)(d)</sup> | 5.07% | 09/15/38 |  | 3491964 |  | 2095179 |
| &nbsp;&nbsp;&nbsp;Thunderbolt III Aircraft Lease, Ltd., Series 2019-1, Class B<sup>(c)</sup> | 4.75% | 11/15/26 |  | 10868487 |  | 5488586 |
| &nbsp;&nbsp;&nbsp;WAVE LLC, Series 2019-1, Class B<sup>(c)</sup> | 4.58% | 09/15/27 |  | 6963966 |  | 4526578 |
| **TOTAL ASSET-BACKED SECURITIES** | **TOTAL ASSET-BACKED SECURITIES** | **TOTAL ASSET-BACKED SECURITIES** | **TOTAL ASSET-BACKED SECURITIES** | **TOTAL ASSET-BACKED SECURITIES** | **TOTAL ASSET-BACKED SECURITIES** | **TOTAL ASSET-BACKED SECURITIES** |
| **(Cost $257,225,535)** |  |  |  |  |  | **205099026** |
| **BANK LOANS (1.71%)** | **BANK LOANS (1.71%)** | **BANK LOANS (1.71%)** | **BANK LOANS (1.71%)** | **BANK LOANS (1.71%)** | **BANK LOANS (1.71%)** | **BANK LOANS (1.71%)** |
| &nbsp;&nbsp;&nbsp;BRE Select Service<sup>(e)</sup> | 3M US L + 13.65% |  |  | 13167773 |  | 13105215 |
| &nbsp;&nbsp;&nbsp;Copper Hill Sportsmans RT | 4.25% | 02/01/27 |  | 7209732 |  | 6575564 |
| &nbsp;&nbsp;&nbsp;UTEX-DEFEASED<sup>(e)</sup> | 1M US L + 6.36% |  |  | 2602153 |  | 2602153 |
| **TOTAL BANK LOANS** | **TOTAL BANK LOANS** | **TOTAL BANK LOANS** | **TOTAL BANK LOANS** | **TOTAL BANK LOANS** | **TOTAL BANK LOANS** | **TOTAL BANK LOANS** |
| **(Cost $22,245,012)** |  |  |  |  |  | **22282932** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (25.61%)** |
| &nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2019-AHT, Class E<sup>(b)(c)</sup> | 1M US L + 3.20% | 03/15/34 |  | 11000000 |  | 10109000 |
| &nbsp;&nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust, Series 2022-DKLX, Class F<sup>(b)(c)</sup> | 1M US SOFR + 4.96% | 01/15/24 |  | 2515229 |  | 2304453 |
| &nbsp;&nbsp;&nbsp;Barclays Commercial Mortgage Securities LLC Mortgage Trust, Series 2022-C17, Class E<sup>(c)</sup> | 2.50% | 08/15/32 |  | 5223000 |  | 2766101 |
| &nbsp;&nbsp;&nbsp;BBCMS Mortgage Trust, Series 2018-TALL, Class E<sup>(b)(c)</sup> | 1M US L + 2.44% | 03/15/37 |  | 12161000 |  | 8494459 |
| &nbsp;&nbsp;&nbsp;BCP Trust, Series 2021-330N, Class E<sup>(b)(c)</sup> | 1M US L + 3.64% | 06/15/23 |  | 15300000 |  | 12735720 |
| &nbsp;&nbsp;&nbsp;BCP Trust, Series 2021-330N, Class F<sup>(b)(c)</sup> | 1M US L + 4.63% | 06/15/23 |  | 8500000 |  | 6426850 |
| &nbsp;&nbsp;&nbsp;Beast Mortgage Trust, Series 2021-1818, Class F<sup>(b)(c)</sup> | 1M US L + 4.45% | 03/15/26 |  | 3125000 |  | 2995625 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Rate** | **Maturity<br> Date** | **Principal<br> Amount** | **Value** |
| &nbsp;&nbsp;&nbsp;BX Mortgage Trust, Series 2022-MVRK, Class G<sup>(b)(c)</sup> | 1M US SOFR + 5.61% | 03/15/27 | $14000000 | $13290200 |
| &nbsp;&nbsp;&nbsp;BX Trust, Series 2019-ATL, Class G<sup>(b)(c)</sup> | 1M US L + 3.49% | 10/15/36 | 8242707 | 7523119 |
| &nbsp;&nbsp;&nbsp;Cantor Commercial Real Estate Lending, Series 2019-CF1, Class 65D<sup>(b)(c)</sup> | 4.66% | 04/15/24 | 4600000 | 4136780 |
| &nbsp;&nbsp;&nbsp;Cantor Commercial Real Estate Lending, Series 2019-CF2, Class SWD<sup>(c)</sup> | 4.52% | 09/15/29 | 4988052 | 4065761 |
| &nbsp;&nbsp;&nbsp;Cascade Funding Mortgage Trust, Series 2021-FRR1, Class CK58<sup>(c)</sup> | 0.00% | 09/29/29 | 24870000 | 17702466 |
| &nbsp;&nbsp;&nbsp;CFK Trust, Series 2020-MF2, Class E<sup>(b)(c)</sup> | 3.46% | 03/15/27 | 6000000 | 4767600 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class F<sup>(b)(c)</sup> | 3.54% | 07/15/26 | 11700000 | 8928270 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class G<sup>(b)(c)</sup> | 3.54% | 07/15/26 | 6311003 | 4502901 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates, Series 2010-6R, Class 2A7<sup>(c)</sup> | 6.25% | 05/26/48 | 3043424 | 2494826 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates, Series 2020-FACT, Class F<sup>(b)(c)</sup> | 1M US L + 6.16% | 10/15/25 | 11500000 | 10054450 |
| &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN3, Class M2<sup>(b)(c)</sup> | 30D US SOFR + 4.00% | 11/25/51 | 14086000 | 12477379 |
| &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates, Series 2018-Q008, Class X<sup>(b)(f)</sup> | 1.38% | 12/25/24 | 40753413 | 709109 |
| &nbsp;&nbsp;&nbsp;FREMF Mortgage Trust, Series 2016-K722, Class D<sup>(c)(g)</sup> | 0.00% | 05/25/23 | 16711242 | 16268394 |
| &nbsp;&nbsp;&nbsp;FREMF Mortgage Trust, Series 2016-KF24, Class B<sup>(b)(c)</sup> | 1M US L + 5.00% | 10/25/26 | 3251706 | 3198703 |
| &nbsp;&nbsp;&nbsp;FREMF Mortgage Trust, Series 2018-KF49, Class C<sup>(b)(c)</sup> | 1M US L + 6.00% | 06/25/25 | 20727194 | 20273269 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2019-SB66, Class X1<sup>(b)(f)</sup> | 0.87% | 07/25/29 | 34277539 | 1257304 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2020-SB76, Class X1<sup>(b)(f)</sup> | 1.18% | 05/25/30 | 12997085 | 512743 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2020-SB77, Class X1<sup>(b)(f)</sup> | 0.89% | 06/25/27 | 17526453 | 599328 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2020-SB78, Class X1<sup>(b)(f)</sup> | 1.14% | 06/25/30 | 29569562 | 1248046 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2020-SB79, Class X1<sup>(b)(f)</sup> | 1.09% | 07/25/40 | 15692603 | 604716 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2020-SB80, Class X1<sup>(b)(f)</sup> | 1.12% | 09/25/30 | 59521912 | 2896872 |
| &nbsp;&nbsp;&nbsp;FRESBMortgage Trust, Series 2020-SB81, Class X1<sup>(b)(f)</sup> | 1.04% | 10/25/30 | 19551885 | 883771 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2021-SB82, Class X1<sup>(b)(f)</sup> | 1.07% | 10/25/40 | 47509762 | 1861062 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2021-SB83, Class X1<sup>(b)(f)</sup> | 0.87% | 01/25/41 | 29396004 | 1126384 |
| &nbsp;&nbsp;&nbsp;FRESB Mortgage Trust, Series 2021-SB84, Class X1<sup>(b)(f)</sup> | 0.51% | 01/25/31 | 28757859 | 761695 |
| &nbsp;&nbsp;&nbsp;Government National Mortgage Association, Series 2018-16, Class IO<sup>(b)(f)</sup> | 0.58% | 03/16/59 | 74592011 | 3013517 |
| &nbsp;&nbsp;&nbsp;Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7<sup>(c)</sup> | 3.91% | 08/05/34 | 3000000 | 2789700 |
| &nbsp;&nbsp;&nbsp;Hudsons Bay Simon JV Trust, Series 2015-HBFL, Class AFL<sup>(b)(c)</sup> | 1M US L + 1.83% | 08/05/34 | 29946257 | 29047869 |
| &nbsp;&nbsp;&nbsp;Hudsons Bay Simon JV Trust, Series, Class A10, Series 2015-HB10, Class A10<sup>(c)</sup> | 4.15% | 08/05/34 | 2214207 | 1994779 |
| &nbsp;&nbsp;&nbsp;J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class G<sup>(b)(c)</sup> | 1M US SOFR + 4.27% | 04/15/27 | 7186548 | 6847343 |
| &nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ<sup>(b)</sup> | 6.67% | 02/15/51 | 16535669 | 16459605 |
| &nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust, Series 2008-C2, Class AM<sup>(b)</sup> | 7.06% | 02/12/51 | 3799323 | 2012881 |
| &nbsp;&nbsp;&nbsp;MRCD 2019-MARK Mortgage Trust, Series 2019-PARK, Class G<sup>(c)</sup> | 2.72% | 12/15/24 | 8311000 | 7184028 |
| &nbsp;&nbsp;&nbsp;MTK Mortgage Trust, Series 2021-GRNY, Class F<sup>(b)(c)</sup> | 1M US L + 5.80% | 12/15/23 | 2600000 | 2384200 |
| &nbsp;&nbsp;&nbsp;MTN Commercial Mortgage Trust, Series 2022-LPFL, Class F<sup>(b)(c)</sup> | 1M US SOFR + 5.29% | 03/15/27 | 10000000 | 9277000 |
| &nbsp;&nbsp;&nbsp;NCMF Trust, Series 2022-MFP, Class G<sup>(b)(c)</sup> | 1M US SOFR + 5.13% | 03/15/27 | 12600000 | 12034260 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Rate** | **Maturity<br> Date** | **Principal<br> Amount** | **Principal<br> Amount** | **Value** | **Value** |
| &nbsp;&nbsp;&nbsp;SB Multifamily Repack Trust, Series 2020-FRR1, Class A<sup>(c)</sup> | 5.60% | 05/27/26 | $| 20671674 | $| 20363049 |
| &nbsp;&nbsp;&nbsp;SMR Mortgage Trust, Series 2022-IND, Class E<sup>(b)(c)</sup> | 1M US SOFR + 5.00% | 02/15/24 |  | 10899872 |  | 10124892 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2019-2, Class M5<sup>(b)(c)</sup> | 4.93% | 03/25/27 |  | 333400 |  | 270760 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2019-2, Class M6<sup>(b)(c)</sup> | 6.30% | 02/25/28 |  | 405946 |  | 326722 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2019-1, Class M6<sup>(b)(c)</sup> | 6.79% | 10/29/29 |  | 1628586 |  | 1381895 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2019-3, Class M5<sup>(b)(c)</sup> | 4.73% | 08/25/28 |  | 329001 |  | 286521 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2020-1, Class M6<sup>(b)(c)</sup> | 5.69% | 02/25/50 |  | 1197981 |  | 1004690 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2021-1, Class M6<sup>(b)(c)</sup> | 5.03% | 03/25/31 |  | 2214707 |  | 1503675 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2021-3, Class M6<sup>(b)(c)</sup> | 5.03% | 11/25/31 |  | 705634 |  | 525711 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2022-1, Class M5<sup>(b)(c)</sup> | 5.84% | 06/25/32 |  | 3967716 |  | 3249302 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2022-1, Class M6<sup>(b)(c)</sup> | 5.84% | 08/25/33 |  | 2352261 |  | 1902397 |
| &nbsp;&nbsp;&nbsp;Velocity Commercial Capital Loan Trust, Series 2022-2, Class M5<sup>(b)(c)</sup> | 5.85% | 04/25/52 |  | 3750383 |  | 3171699 |
| &nbsp;&nbsp;&nbsp;VMC Finance LLC, Series 2021-HT1, Class B<sup>(b)(c)</sup> | 1M US L + 4.50% | 01/18/37 |  | 10000000 |  | 9302000 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |
| **(Cost $380,051,889)** |  |  |  |  |  | **334435851** |
| **CONVERTIBLE CORPORATE BONDS (5.77%)** | **CONVERTIBLE CORPORATE BONDS (5.77%)** | **CONVERTIBLE CORPORATE BONDS (5.77%)** | **CONVERTIBLE CORPORATE BONDS (5.77%)** | **CONVERTIBLE CORPORATE BONDS (5.77%)** | **CONVERTIBLE CORPORATE BONDS (5.77%)** | **CONVERTIBLE CORPORATE BONDS (5.77%)** |
| &nbsp;&nbsp;&nbsp;Granite Point Mortgage Trust, Inc. | 6.38% | 10/01/23 |  | 18396000 |  | 18053834 |
| &nbsp;&nbsp;&nbsp;MFA Financial, Inc. | 6.25% | 06/15/24 |  | 29624000 |  | 28444965 |
| &nbsp;&nbsp;&nbsp;PennyMac Corp. | 5.50% | 11/01/24 |  | 1500000 |  | 1404750 |
| &nbsp;&nbsp;&nbsp;PennyMac Corp. | 5.50% | 03/15/26 |  | 6346000 |  | 5774860 |
| &nbsp;&nbsp;&nbsp;Redwood Trust, Inc. | 4.75% | 08/15/23 |  | 2032000 |  | 2016557 |
| &nbsp;&nbsp;&nbsp;Redwood Trust, Inc. | 5.63% | 07/15/24 |  | 5763000 |  | 5444882 |
| &nbsp;&nbsp;&nbsp;RWT Holdings, Inc. | 5.75% | 10/01/25 |  | 16800000 |  | 14170800 |
| **TOTAL CONVERTIBLE CORPORATE BONDS** | **TOTAL CONVERTIBLE CORPORATE BONDS** | **TOTAL CONVERTIBLE CORPORATE BONDS** | **TOTAL CONVERTIBLE CORPORATE BONDS** | **TOTAL CONVERTIBLE CORPORATE BONDS** | **TOTAL CONVERTIBLE CORPORATE BONDS** | **TOTAL CONVERTIBLE CORPORATE BONDS** |
| **(Cost $78,213,105)** |  |  |  |  |  | **75310648** |
| **CORPORATE BONDS (2.48%)** | **CORPORATE BONDS (2.48%)** | **CORPORATE BONDS (2.48%)** | **CORPORATE BONDS (2.48%)** | **CORPORATE BONDS (2.48%)** | **CORPORATE BONDS (2.48%)** | **CORPORATE BONDS (2.48%)** |
| &nbsp;&nbsp;&nbsp;ACRES Commercial Realty Corp. | 5.75% | 08/15/26 |  | 2000000 |  | 1870000 |
| &nbsp;&nbsp;&nbsp;Ambac Assurance Corp.<sup>(a)(c)</sup> | 5.10% | 02/12/55 |  | 2079758 |  | 3026047 |
| &nbsp;&nbsp;&nbsp;Apollo Commercial Real Estate Finance, Inc.<sup>(c)</sup> | 4.63% | 06/15/29 |  | 7000000 |  | 5792500 |
| &nbsp;&nbsp;&nbsp;GKN Subordinated CTL Pass-Through Trust/Auburn MI<sup>(b)(c)</sup> | 0.00% | 03/15/30 |  | 7076849 |  | 4038050 |
| &nbsp;&nbsp;&nbsp;Rithm Capital Corp.<sup>(c)</sup> | 6.25% | 10/15/25 |  | 18835000 |  | 17634269 |
| **TOTAL CORPORATE BONDS** | **TOTAL CORPORATE BONDS** | **TOTAL CORPORATE BONDS** | **TOTAL CORPORATE BONDS** | **TOTAL CORPORATE BONDS** | **TOTAL CORPORATE BONDS** | **TOTAL CORPORATE BONDS** |
| **(Cost $34,297,367)** |  |  |  |  |  | **32360866** |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES (22.81%)** |
| &nbsp;&nbsp;&nbsp;AlphaFlow Transitional Mortgage Trust, Series 2021-WL1, Class A2<sup>(c)(d)</sup> | 5.61% | 07/25/23 |  | 810147 |  | 779006 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Rate** | **Maturity<br> Date** | **Principal**<br> **Amount** | **Value** |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2005-11CB, Class 3A2<sup>(b)</sup> | 1M US L + 0.50% | 06/25/35 | $889426 | $677616 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2005-79CB, Class A1<sup>(b)</sup> | 1M US L + 0.55% | 01/25/36 | 1584127 | 849160 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-14CB, Class A5<sup>(b)</sup> | 1M US L + 0.70% | 06/25/36 | 2329144 | 1061010 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-18CB, Class A5<sup>(b)</sup> | 1M US L + 0.35% | 07/25/36 | 2065908 | 898723 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-18CB, Class A7<sup>(b)</sup> | 1M US L + 0.35% | 07/25/36 | 17282722 | 7518430 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-18CB, Class A1<sup>(b)</sup> | 1M US L + 0.47% | 07/25/36 | 9688271 | 4294801 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-20CB, Class A6<sup>(b)</sup> | 1M US L + 0.50% | 07/25/36 | 1947955 | 694738 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-40T1, Class 1A3<sup>(b)</sup> | 1M US L + 0.55% | 01/25/37 | 5131529 | 2975959 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-41CB, Class 2A7<sup>(b)</sup> | 1M US L + 0.60% | 01/25/37 | 3105828 | 1398789 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-41CB, Class 2A8<sup>(b)</sup> | 1M US L + 0.65% | 01/25/37 | 3254681 | 1477528 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-42, Class 1A1<sup>(b)</sup> | 1M US L + 0.60% | 01/25/47 | 3370893 | 1485486 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2006-6CB, Class 2A13<sup>(b)</sup> | 1M US L + 0.40% | 05/25/36 | 3961240 | 1228267 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2007-2CB, Class 1A12<sup>(b)</sup> | 1M US L + 0.50% | 03/25/37 | 1710619 | 769226 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2007-5CB, Class 1A19<sup>(b)</sup> | 1M US L + 0.45% | 04/25/37 | 13470174 | 5831894 |
| &nbsp;&nbsp;&nbsp;Alternative Loan Trust, Series 2007-17CB, Class 1A6 | 5.01% | 08/25/37 | 6972088 | 3316784 |
| &nbsp;&nbsp;&nbsp;AMSR, Series 2021-SFR3, Class G<sup>(c)</sup> | 3.80% | 10/17/26 | 7000000 | 5929372 |
| &nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Series 2022-1, Class B2<sup>(b)(c)</sup> | 4.03% | 01/25/26 | 1185369 | 761112 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A3<sup>(b)</sup> | 1M US L + 0.25% | 04/25/37 | 695965 | 867528 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A4<sup>(b)</sup> | 1M US L + 0.35% | 04/25/37 | 511916 | 474364 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class M1<sup>(b)</sup> | 1M US L + 0.40% | 10/25/37 | 3986727 | 3006539 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A2A<sup>(b)</sup> | 1M US L + 0.24% | 10/25/36 | 342278 | 371324 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A2G<sup>(b)</sup> | 1M US L + 0.24% | 10/25/36 | 2735837 | 2968002 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A2<sup>(b)</sup> | 1M US L + 0.20% | 03/25/37 | 6700309 | 6036208 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class G2AB<sup>(b)</sup> | 1M US L + 0.24% | 04/25/37 | 6067386 | 5524553 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2007-AR5, Class 1A2G<sup>(b)</sup> | 1M US L + 0.22% | 06/25/37 | 886039 | 774361 |
| &nbsp;&nbsp;&nbsp;Bear Stearns Mortgage Funding Trust, Series 2007-AR5, Class 2A2<sup>(b)</sup> | 1M US L + 0.23% | 06/25/37 | 2303120 | 2037622 |
| &nbsp;&nbsp;&nbsp;Boston Lending Trust, Series 2022-1, Class M2<sup>(b)(c)</sup> | 2.75% | 02/25/27 | 2568047 | 2056749 |
| &nbsp;&nbsp;&nbsp;BRAVO Residential Funding Trust, Series 2021-NQM1, Class A1<sup>(b)(c)</sup> | 0.94% | 02/25/49 | 3720901 | 3290644 |
| &nbsp;&nbsp;&nbsp;Chase Mortgage Finance Trust, Series 2007-S2, Class 1A9 | 6.00% | 03/25/37 | 3643457 | 2266116 |
| &nbsp;&nbsp;&nbsp;CHL Mortgage Pass-Through Trust, Series 2007-4, Class 1A51<sup>(b)</sup> | 1M US L + 0.60% | 05/25/37 | 2260730 | 861176 |
| &nbsp;&nbsp;&nbsp;CitiMortgage Alternative Loan Trust, Series 2007-A2, Class 1A1<sup>(b)</sup> | 1M US L + 0.60% | 02/25/37 | 1422273 | 1176267 |
| &nbsp;&nbsp;&nbsp;COLT Mortgage Loan Trust, Series 2022-1, Class B2<sup>(b)(c)</sup> | 4.11% | 12/27/66 | 2000000 | 1352125 |
| &nbsp;&nbsp;&nbsp;COLT Mortgage Loan Trust, Series 2022-3, Class B1<sup>(b)(c)</sup> | 4.21% | 02/25/67 | 6691547 | 4892286 |
| &nbsp;&nbsp;&nbsp;COLT Mortgage Loan Trust, Series 2022-3, Class B2<sup>(b)(c)</sup> | 4.21% | 02/25/67 | 3137906 | 2163941 |
| &nbsp;&nbsp;&nbsp;COLT Mortgage Loan Trust, Series 2022-4, Class B1<sup>(b)(c)</sup> | 4.55% | 03/25/67 | 2100000 | 1669218 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1<sup>(b)(c)</sup> | 1M US L + 3.25% | 01/25/40 | 2067379 | 1990762 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B2<sup>(b)(c)</sup> | 30D US SOFR + 5.50% | 12/25/41 | 3266000 | 2947339 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2<sup>(b)(c)</sup> | 30D US SOFR + 6.00% | 12/25/41 | 1100000 | 992074 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1<sup>(b)(c)</sup> | 30D US SOFR + 4.50% | 01/25/27 | 2750000 | 2673371 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Rate** | **Maturity<br> Date** | **Principal**<br> **Amount** | **Value** |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R03, Class 1B1<sup>(b)(c)</sup> | 30D US SOFR + 6.25% | 03/25/42 | $2472400 | $2600859 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B1<sup>(b)(c)</sup> | 30D US SOFR + 5.25% | 03/25/42 | 1494343 | 1514992 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates, Series 2021-NQM3, Class B2<sup>(b)(c)</sup> | 4.13% | 04/25/66 | 800000 | 486200 |
| &nbsp;&nbsp;&nbsp;Deephaven Residential Mortgage Trust, Series 2021-1, Class B2<sup>(b)(c)</sup> | 3.96% | 02/25/25 | 1600000 | 1254659 |
| &nbsp;&nbsp;&nbsp;Deephaven Residential Mortgage Trust, Series 2021-3, Class B2<sup>(b)(c)</sup> | 4.13% | 09/25/25 | 2800000 | 1727149 |
| &nbsp;&nbsp;&nbsp;Deephaven Residential Mortgage Trust, Series 2022-1, Class B2<sup>(b)(c)</sup> | 4.30% | 01/25/26 | 2628000 | 1668415 |
| &nbsp;&nbsp;&nbsp;Dominion Mortgage Trust, Series 2021-RTL1, Class M<sup>(c)(d)</sup> | 5.73% | 02/25/25 | 3500000 | 2820050 |
| &nbsp;&nbsp;&nbsp;Ellington Financial Mortgage Trust 2017-1, Series 2021-1, Class A1<sup>(b)(c)</sup> | 0.80% | 02/25/66 | 3105719 | 2590444 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-DNA2, Class B2<sup>(b)(c)</sup> | 1M US L + 4.80% | 02/25/50 | 3423457 | 2907631 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-DNA4, Class B2<sup>(b)(c)</sup> | 1M US L + 10.00% | 08/25/50 | 2622404 | 3044420 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2<sup>(b)(c)</sup> | 30D US SOFR + 5.65% | 12/25/50 | 1150000 | 1075442 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2021-DNA5, Class B1<sup>(b)(c)</sup> | 30D US SOFR + 3.05% | 01/25/34 | 6330000 | 6026440 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2021-DNA6, Class B1<sup>(b)(c)</sup> | 30D US SOFR + 3.40% | 10/25/41 | 7959000 | 7595660 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2022-DNA1, Class B1<sup>(b)(c)</sup> | 30D US SOFR + 3.40% | 01/25/42 | 3600000 | 3377599 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust, Series 2022-DNA1, Class B2<sup>(b)(c)</sup> | 30D US SOFR + 7.10% | 01/25/42 | 1050000 | 907724 |
| &nbsp;&nbsp;&nbsp;Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class B1<sup>(b)(c)</sup> | 30D US SOFR + 3.40% | 08/25/33 | 7500000 | 7146873 |
| &nbsp;&nbsp;&nbsp;Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class B2<sup>(b)(c)</sup> | 30D US SOFR + 6.00% | 08/25/33 | 1688556 | 1482643 |
| &nbsp;&nbsp;&nbsp;GCAT , Series 2021-NQM4, Class A1<sup>(b)(c)</sup> | 1.09% | 08/25/25 | 5440453 | 4436020 |
| &nbsp;&nbsp;&nbsp;GS Mortgage-Backed Securities Trust, Series 2021-NQM1, Class B2<sup>(b)(c)</sup> | 4.21% | 07/25/61 | 1000000 | 651355 |
| &nbsp;&nbsp;&nbsp;Home Partners of America , Series 2021-2, Class G<sup>(c)</sup> | 4.51% | 12/17/26 | 5823498 | 4854468 |
| &nbsp;&nbsp;&nbsp;Imperial Fund Mortgage Trust, Series 2021-NQM1, Class B2<sup>(b)(c)</sup> | 4.36% | 06/25/56 | 2785000 | 1944271 |
| &nbsp;&nbsp;&nbsp;Lehman Mortgage Trust, Series 2005-2, Class 2A1<sup>(b)</sup> | 1M US L + 0.68% | 12/25/35 | 5261749 | 2942328 |
| &nbsp;&nbsp;&nbsp;Lehman Mortgage Trust, Series 2005-2, Class 3A1<sup>(b)</sup> | 1M US L + 0.75% | 12/25/35 | 1410405 | 705019 |
| &nbsp;&nbsp;&nbsp;Lehman Mortgage Trust, Series 2006-9, Class 1A5<sup>(b)</sup> | 1M US L + 0.60% | 01/25/37 | 1740146 | 983517 |
| &nbsp;&nbsp;&nbsp;Lehman XS Trust, Series 2007-6, Class 3A31<sup>(d)</sup> | 4.31% | 05/25/37 | 3260585 | 2913723 |
| &nbsp;&nbsp;&nbsp;Lehman XS Trust, Series 2007-6, Class 3A32<sup>(b)</sup> | 1M US L + 0.50% | 05/25/37 | 3702897 | 3300676 |
| &nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2022-RTL1, Class A1<sup>(c)</sup> | 3.97% | 02/25/27 | 17000000 | 15768981 |
| &nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2022-RTL2, Class M<sup>(c)(d)</sup> | 8.00% | 04/25/27 | 4413000 | 3978886 |
| &nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2020-RTL2, Class M<sup>(c)</sup> | 7.87% | 04/25/23 | 6250000 | 5910319 |
| &nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2021-RTL2, Class M<sup>(c)(d)</sup> | 4.61% | 01/25/24 | 4750000 | 4016503 |
| &nbsp;&nbsp;&nbsp;LHOME Mortgage Trust, Series 2021-RTL3, Class M<sup>(c)(d)</sup> | 5.19% | 05/25/25 | 9000000 | 7594288 |
| &nbsp;&nbsp;&nbsp;MASTR Alternative Loan Trust, Series 2007-1, Class 2A15<sup>(b)</sup> | 1M US L + 0.37% | 10/25/36 | 925002 | 205068 |
| &nbsp;&nbsp;&nbsp;MFA , Series 2022-RTL1, Class A2<sup>(c)(d)</sup> | 6.41% | 03/25/24 | 13000000 | 11891110 |
| &nbsp;&nbsp;&nbsp;Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 4B2<sup>(b)(c)</sup> | 3.74% | 08/26/47 | 1866304 | 1377598 |
| &nbsp;&nbsp;&nbsp;New Residential Mortgage Loan Trust, Series 2022-NQM2, Class B1<sup>(b)(c)</sup> | 3.87% | 02/25/26 | 3087000 | 1999289 |
| &nbsp;&nbsp;&nbsp;OBX, Series 2021-NQM2, Class A1<sup>(b)(c)</sup> | 1.10% | 05/25/61 | 6730192 | 5406770 |
| &nbsp;&nbsp;&nbsp;Point Securitization Trust, Series 2021-1, Class A2<sup>(b)(c)(f)</sup> | 5.56% | 02/25/52 | 14000001 | 12539129 |
| &nbsp;&nbsp;&nbsp;Progress Residential , Series 2021-SFR10, Class G<sup>(c)</sup> | 4.86% | 12/17/28 | 3996319 | 3390926 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Rate** | **Maturity<br> Date** | **Principal**<br> **Amount** | **Value** |
| &nbsp;&nbsp;&nbsp;Progress Residential , Series 2022-SFR1, Class G<sup>(c)</sup> | 5.52% | 02/17/29 | $2000000 | $1637297 |
| &nbsp;&nbsp;&nbsp;RAAC, Series 2007-SP1, Class M3<sup>(b)</sup> | 1M US L + 1.50% | 03/25/37 | 3218861 | 2665245 |
| &nbsp;&nbsp;&nbsp;RALI, Series 2005-QS12, Class A8<sup>(b)</sup> | 1M US L + 0.35% | 08/25/35 | 280772 | 222723 |
| &nbsp;&nbsp;&nbsp;RALI, Series 2006-QS2, Class 1A10<sup>(b)</sup> | 1M US L + 0.50% | 02/25/36 | 1333762 | 966096 |
| &nbsp;&nbsp;&nbsp;RALI, Series 2006-QS8, Class A4<sup>(b)</sup> | 1M US L + 0.45% | 08/25/36 | 1109750 | 799357 |
| &nbsp;&nbsp;&nbsp;RALI, Series 2007-QO5, Class A<sup>(b)</sup> | 12M US FED + 3.12% | 08/25/47 | 9462102 | 1822595 |
| &nbsp;&nbsp;&nbsp;Residential Asset Securitization Trust, Series 2006-R1, Class A2<sup>(b)</sup> | 1M US L + 0.40% | 01/25/46 | 10050002 | 3207867 |
| &nbsp;&nbsp;&nbsp;RMF Buyout Issuance Trust, Series 2021-HB1, Class M4<sup>(b)(c)</sup> | 4.70% | 11/25/31 | 3250000 | 2786550 |
| &nbsp;&nbsp;&nbsp;RMF Proprietary Issuance Trust, Series 2022-1, Class M2<sup>(b)(c)</sup> | 3.00% | 01/25/28 | 5000000 | 4232000 |
| &nbsp;&nbsp;&nbsp;Roc Mortgage Trust, Series 2021-RTL1, Class M<sup>(b)(c)</sup> | 5.68% | 03/25/24 | 6745000 | 5791754 |
| &nbsp;&nbsp;&nbsp;Saxon Asset Securities Trust, Series 2005-1, Class M4<sup>(b)</sup> | 1M US L + 1.13% | 03/25/35 | 730404 | 464710 |
| &nbsp;&nbsp;&nbsp;Soundview Home Equity Loan Trust, Series 2007-NS1, Class M1<sup>(b)</sup> | 1M US L + 0.35% | 01/25/37 | 3093845 | 2814475 |
| &nbsp;&nbsp;&nbsp;Specialty Underwriting & Residential Finance, Series 2005-BC1, Class B1<sup>(b)</sup> | 1M US L + 1.80% | 12/25/35 | 1969836 | 1670840 |
| &nbsp;&nbsp;&nbsp;Starwood Mortgage Residential Trust, Series 2021-4, Class B2<sup>(b)(c)</sup> | 4.14% | 08/25/56 | 3700000 | 2353080 |
| &nbsp;&nbsp;&nbsp;Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A2<sup>(b)</sup> | 1M US L + 0.21% | 01/25/37 | 1589053 | 1726769 |
| &nbsp;&nbsp;&nbsp;Structured Asset Mortgage Investments II Trust, Series 2007-AR2, Class 1A2<sup>(b)</sup> | 1M US L + 0.19% | 02/25/37 | 5061467 | 5616699 |
| &nbsp;&nbsp;&nbsp;Toorak Mortgage Corp., Ltd., Series 2021-1, Class M1<sup>(c)(d)</sup> | 5.80% | 07/25/23 | 9500000 | 9146667 |
| &nbsp;&nbsp;&nbsp;Verus Securitization Trust, Series 2021-R1, Class A2<sup>(b)(c)</sup> | 1.06% | 10/25/63 | 1921970 | 1735078 |
| &nbsp;&nbsp;&nbsp;Verus Securitization Trust, Series 2021-R1, Class A3<sup>(b)(c)</sup> | 1.26% | 10/25/63 | 1461429 | 1314508 |
| &nbsp;&nbsp;&nbsp;Verus Securitization Trust, Series 2021-R3, Class B2<sup>(b)(c)</sup> | 4.07% | 04/25/64 | 3000000 | 2076991 |
| &nbsp;&nbsp;&nbsp;Verus Securitization Trust, Series 2021-3, Class A1 | 1.05% | 06/25/66 | 7509158 | 6381827 |
| &nbsp;&nbsp;&nbsp;Washington Mutual Mortgage Pass-Through Certificates, Series 2005-3, Class 1CB3<sup>(b)</sup> | 1M US L + 0.45% | 05/25/35 | 1300132 | 1032274 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** |
| **(Cost $332,702,174)** |  |  |  | **297843316** |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day<br> Yield**  | **Shares** | **Value** |
| **SHORT-TERM INVESTMENT - COMMON SHARES (21.15%)** | **SHORT-TERM INVESTMENT - COMMON SHARES (21.15%)** | **SHORT-TERM INVESTMENT - COMMON SHARES (21.15%)** | **SHORT-TERM INVESTMENT - COMMON SHARES (21.15%)** |
| &nbsp;&nbsp;&nbsp;First American Government Obligations Fund | 4.13% | 276183452 | 276183452 |
| **TOTAL SHORT-TERM INVESTMENT** |  |  |  |
| **(Cost $276,183,452)** |  |  | **276183452** |
| **TOTAL INVESTMENTS (98.16%)** |  |  |  |
| **(Cost $1,428,466,524)** |  |  | $**1281672903** |
| **Other Assets In Excess Of Liabilities (1.84%)** |  |  | 24043175 |
| **NET ASSETS (100.00%)** |  |  | $**1305716078** |

---

*<sup>(a)</sup>* *Perpetual maturity.*

*<sup>(b)</sup>* *Floating or variable rate security. The Reference Rate is described below. Interest rate shown reflects the rate in effect at January 31, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.*

*<sup>(c)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. The total value of Rule 144A securities amounts to $732,637,747, which represents 56.11% of net assets as of January 31, 2023.*

*<sup>(d)</sup>* *Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at January 31, 2023.*

*<sup>(e)</sup>* *The Fund's interest in this loan are held through a wholly-owned LLC of the Fund.* 

*<sup>(f)</sup>* *Interest only securities.*

*<sup>(g)</sup>* *Issued with a zero coupon. Income is recognized through the accretion of discount.*

---

| |
|:---|
| **Investment Abbreviations:** |
| LIBOR - London Interbank Offered Rate |
| REIT - Real Estate Investment Trust |
| SOFR - Secured Overnight Financing Rate |
| FED - Federal Funds Rate |
| **Reference Rates:** |
| 1M US L - 1 Month LIBOR as of January 31, 2023 was 4.57% |
| 3M US L - 3 Month LIBOR as of January 31, 2023 was 4.81% |
| 12M US FED - 12 Month US FED as of January 31, 2023 was 4.33% |
| 1D US SOFR - 1 Day US SOFR as of January 31, 2023 was 4.31% |
| 1M US SOFR - 1 Month US SOFR as of January 31, 2023 was 4.31% |
| 30D US SOFR - 30 Day US SOFR as of January 31, 2023 was 4.46% |

---

**INTEREST RATE SWAP CONTRACTS (CENTRALLY CLEARED)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Pay/Receive Floating Rate<sup>\*</sup>** | **Clearing House** | **Floating Rate** | **Expiration Date** | **Notional Amount<sup>\*\*</sup>** | **Currency** | **Fixed Rate** | **Fair Value** | **Unrealized Appreciation** |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 04/22/2028 | 15000000 | USD | 1.23% | $1724243 | $1724243 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/07/2027 | 4000000 | USD | 2.46% | 163022 | 163022 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/07/2024 | 13000000 | USD | 2.45% | 344391 | 344391 |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 05/25/2026 | 20000000 | USD | 0.91% | 1878546 | 1878546 |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 12/17/2023 | 50000000 | USD | 0.87% | 1791124 | 1791124 |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 08/05/2026 | 50000000 | USD | 0.73% | 5170529 | 5170529 |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 06/11/2028 | 36000000 | USD | 1.15% | 4356156 | 4356156 |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 07/07/2027 | 5000000 | USD | 2.54% | 193211 | 193211 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2024 | 2000000 | USD | 3.04% | 44381 | 44381 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2025 | 2000000 | USD | 2.82% | 54769 | 54769 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/11/2025 | 2800000 | USD | 2.51% | 94316 | 94316 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 03/21/2026 | 9000000 | USD | 1.99% | 464559 | 464559 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/19/2026 | 2000000 | USD | 2.50% | 73712 | 73712 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 07/08/2024 | 2000000 | USD | 2.87% | 48253 | 48253 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2024 | 2000000 | USD | 3.10% | 42536 | 42536 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2025 | 2000000 | USD | 2.87% | 52457 | 52457 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/14/2025 | 3000000 | USD | 2.43% | 106132 | 106132 |
| Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 05/13/2026 | 3837000 | USD | 2.69% | 120646 | 120646 |
| Receive | Goldman Sachs & Co. LLC | 3 M US L | 02/11/2024 | 37348000 | USD | 1.51% | 1316769 | 1316769 |
|  |  |  |  |  |  |  | $18039752 | $18039752 |

---

*\** *The swap contracts with the floating of 3M US L receive interest quarterly and pay interest semiannually, while 1D US SOFR pay and receive amounts annually.*

*\*\** *The notional amount of each interest rate swap contract is stated in the currency in which the derivative is denominated.*

**Axonic Strategic Income Fund**

**CONSOLIDATED NOTES TO STATEMENT OF INVESTMENTS (Unaudited)** 

January 31, 2023

**1. ORGANIZATION**

Axonic Strategic Income Fund (the "Fund"), is a non-diversified series of the Axonic Funds (the "Trust"), which is registered under the Investment Company Act of 1940, as amended ("1940 Act") as an open-end management investment company. The Trust was organized as a Delaware statutory trust on October 17, 2019 pursuant to a Declaration of Trust governed by the laws of the State of Delaware. Axonic Capital LLC (the "Adviser") acts as the Fund's investment adviser. The Adviser is a registered investment adviser and is responsible for making the investment decisions for the Fund's portfolio. The Fund's investment objective is to seek total return. The Fund's portfolio will be deemed to be non-diversified under the 1940 Act, meaning it may invest a greater percentage of its assets in a single or limited number of issuers than a diversified fund. Under normal circumstances, the Fund will concentrate its investments (i.e., invest 25% or more of its total assets (measured at the time of purchase)) in Mortgage-Backed Securities ("MBS") and other mortgage-related securities (such as CMOs), which the Fund treats as investments in a group of industries.

The Fund currently offers Class A and Class I shares. Class A shares commenced operations on July 17, 2020 and Class I commenced operations on December 31, 2019. Class A shares are offered subject to a maximum sales charge of 2.25%. Class I shares are offered at NAV and are not subject to sales charges. The Fund may offer additional classes of shares in the future.

On December 23, 2021, the Fund formed a wholly-owned subsidiary (the "Subsidiary"). To the extent permitted by the 1940 Act, the Fund may make investments through the Subsidiary, which is a pass-through entity.

**2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES**

The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP"). The Fund is considered an investment company for financial reporting purposes under GAAP. The Fund follows the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services – Investment Companies". The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

**Consolidation of Subsidiary** – The consolidated financial statements include the financial position and the results of operations of the Fund and its Subsidiary. As of January 31, 2023, the total value of investments held by the Subsidiary is $15,707,368, or approximately 1.20% of the Fund's net assets.

All intercompany accounts and transactions have been eliminated in these consolidated financial statements.

**Securities Valuation** – The Fund values its investments at fair value. The Fund's Board of Trustees (the "Board") has approved pricing policies and procedures and fair valuation policies and procedures pursuant to which the Fund will value its investments. The Adviser has appointed an independent Administrator of the Fund, pursuant to the administration agreement, under which the Administrator independently calculates the daily Net Asset Value per share ("NAV") of the Fund. In doing so, the Administrator, on a daily basis, in compliance with the policies and procedures described above, independently values the investment positions within the Fund's portfolio. The Administrator at its discretion may notify the Fund or the Board of any valuation conflicts and/or non-compliance with the policies and procedures. The Administrator and the Adviser will include in quarterly written reports to the Board confirmation that the policies and procedures provide fair and accurate prices. Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined. Investments in shares of funds, including money market funds that are not traded on an exchange are valued at the end of day NAV of such fund.

Structured credit and other similar debt securities including, but not limited to, asset-backed securities, collateralized debt obligations, collateralized loan obligations, collateralized mortgage obligations, mortgage-backed securities, commercial mortgage-backed security, and other securitized investments backed by certain debt or other receivables (collectively, "Structured Credit Securities"), are valued on the basis of valuations provided by independent pricing services and /or dealers in those instruments recommended by the Adviser and approved by the Board. Interest Rate Swaps are valued by an independent pricing service as approved by the Board. For centrally cleared swaps, the daily change in valuation and upfront payments, if any, are recorded as a receivable or payable for variation margin on the statement of assets and liabilities. In determining fair value, pricing services and dealers will generally use information with respect to transactions in the securities being valued, quotations from other dealers, market transactions in comparable securities, analyses and evaluations of various relationships between securities, and yield to maturity information. The Adviser will, based on its reasonable judgment, select the pricing service or dealer quotation that most accurately reflects the fair market value of the Structured Credit Security while taking into account the information utilized by the pricing service or dealer to formulate the quotation in addition to any other relevant factors.

When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value by the Adviser, those securities will be valued at "fair value" as determined in good faith by the Adviser's Valuation Committee using the fair valuation policies and procedures adopted by, and under the supervision of, the Board. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund's NAV.

The fair valuation policies and procedures may be used to value a substantial portion of the assets of the Fund. The Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and has not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Adviser determines that the quotation or price for a portfolio security provided by an independent pricing service and broker-dealer is inaccurate.

The "fair value" of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level and supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; and (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve and credit quality.

**Fair Value Measurements** – A three-tier hierarchy has been established to classify fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available. In accordance with the authoritative guidance on fair value measurements and disclosure under GAAP, the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value.

Various inputs are used in determining the value of the Fund's investments as of the reporting period end. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

---

| | |
|:---|:---|
| Level 1 – | Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date; |
| Level 2 – | Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability at the measurement date; and |
| Level 3 – | Significant unobservable prices or inputs (including the Fund's own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |

---

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

An investment level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. To the extent practicable, the Adviser generally endeavors to maximize the use of observable inputs and minimize the use of unobservable inputs by requiring that the most observable inputs are to be used when available.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk or liquidity associated with investing in those securities. The following is a summary of the inputs used in valuing the Fund's investments as of January 31, 2023:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value<sup>(a)</sup>** | **Level 1 - <br> Quoted Prices** | **Level 2 - <br> Other Significant Observable Inputs** | **Level 3 - <br> Significant Unobservable Inputs** | **Total** |
| Common Stocks | $6650456 | $– | $– | $6650456 |
| Preferred Stocks | 31506356 |  |  | 31506356 |
| Asset-Backed Securities |  | 205099026 |  | 205099026 |
| Bank Loans |  | 22282932 |  | 22282932 |
| Commercial Mortgage-Backed Securities |  | 334435851 |  | 334435851 |
| Convertible Corporate Bonds |  | 75310648 |  | 75310648 |
| Corporate Bonds |  | 32360866 |  | 32360866 |
| Residential Mortgage-Backed Securities |  | 297843316 |  | 297843316 |
| Short-Term Investment | 276183452 | – | – | 276183452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $314340264 | $967332639 | $– | $1281672903 |
| **Other Financial Instruments<sup>(b)</sup>** |  |  |  |  |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Interest Rate Swap Contracts | $– | $18039752 | $– | $18039752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $– | $18039752 | $– | $18039752 |

---

*<sup>(a)</sup>* *For detailed descriptions of industries, see the accompanying Consolidated Schedule of Investments.*

*<sup>(b)</sup>* *Other financial instruments are derivative instruments reflected in the Consolidated Schedule of Investments. The derivatives shown in this table are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value.*

**Securities Transactions and Investment Income** – Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Dividend income from REITs is recognized on the ex-dividend date. It is common for distributions from REITs to exceed taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Fund' investment in REITs are reported to the Fund after the end of the calendar year; accordingly, the Fund estimates these amounts for accounting purposes until the characterization of REIT distributions is reported to the Fund after the end of the calendar year. Estimates are based on the most recent REIT distribution information available.

**3. SWAPS**

The Fund may transact in credit default swaps, total return swaps, interest rate swaps, equity swaps, currency swaps and other types of swaps. Such transactions are subject to market risk, liquidity risk, risk of default by the other party to the transaction, known as "counterparty risk," regulatory risk and risk of imperfect correlation between the value of such instruments and the underlying assets and may involve commissions or other costs.

Swap agreements are primarily entered into by institutional investors and the value of such agreements may be extremely volatile. Certain swap agreements are traded OTC between two parties, while other more standardized swaps must be transacted through a futures commission merchant and centrally cleared or exchange-traded. While central clearing and exchange-trading are intended to reduce counterparty credit and liquidity risk, they do not make a swap transaction risk-free. The current regulatory environment regarding swap agreements is subject to change. The Adviser will continue to monitor these developments, particularly to the extent regulatory changes affect the Fund's ability to enter into or close out swap agreements.

The swap market has matured in recent years with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid; however there is no guarantee that the swap market will continue to provide liquidity and may be subject to liquidity risk, which exists when a particular swap is difficult to purchase or sell. The absence of liquidity may also make it more difficult for the Fund to ascertain a market value for such instruments. The inability to close derivative positions also could have an adverse impact on the Fund's ability to effectively hedge its portfolio. If the Adviser is incorrect in its forecasts of market values, interest rates or currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if these investment techniques were not used. In a total return swap, the Fund pays the counterparty a floating short-term interest rate and receives in exchange the total return of underlying loans or debt securities. The Fund bears the risk of default on the underlying loans or debt securities, based on the notional amount of the swap and, therefore, incurs a form of leverage. The Fund would typically have to post collateral to cover this potential obligation.

The Fund will "cover" its swap positions by segregating an amount of cash and/or liquid securities as required by the 1940 Act and applicable SEC interpretations and guidance from time to time.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AXONIC FUNDS

- **b. Investment Company Act file number:** 811-23483

- **c. CIK number of Registrant:** 0001791032

- **d. LEI of Registrant:** 254900FM4YEIW3TLA840

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

  - **Street Address 1:** 520 MADISON AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022

  - **Telephone number:** 2122590430

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

- **a. Name of Series:** Axonic Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000067475

- **c. LEI of Series:** 254900FM4YEIW3TLA840

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1328441014.21

**Total Liabilities:** $26104325.84

**Net Assets:** $1302336688.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 17.04440800 | **1-Year:** 13198.00417800 | **5-Year:** 32955.38106900 | **10-Year:** 10402.32236200 | **30-Year:** 327.98247500

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

- **3-Month:** 776.23130100 | **1-Year:** 15839.12152300 | **5-Year:** 26820.82081500 | **10-Year:** 36576.81302700 | **30-Year:** 23763.82032000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000216960 | -0.27%               | 0.07%                | 1.58%                |
| Class ID C000216959 | -2.61%               | -2.15%               | -0.83%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2005206.84              | $-11395270.91                              |
| Month 2  | $143443.26               | $-5947623.70                               |
| Month 3  | $1069688.40              | $13600938.82                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Cps Auto Trust                                    | CPS Auto Receivables Trust 2021-D                                        | CUSIP: 12658VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7868000 | PA      | $6840439.20   | 0.53%             | 2025-11-15      | Fixed         | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2019-SB66 Mortgage Trust                                           | CUSIP: 30312BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34277539 | PA      | $1257303.55   | 0.10%             | 2029-07-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance Ii Llc                   | Horizon Aircraft Finance II, Ltd.                                        | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-MBS          | CORP              | KY        |   1766170 | PA      | $1413289.48   | 0.11%             | 2026-07-15      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc       | BBCMS Mortgage Trust 2022-C17                                            | CUSIP: 054976AT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5223000 | PA      | $2766100.80   | 0.21%             | 2032-08-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2007-AR1                  | CUSIP: 86362XAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1589053 | PA      | $1726768.73   | 0.13%             | 2037-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                               | Copper Hill Sportsmans RT                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   7209732 | PA      | $6575563.90   | 0.50%             | 2027-02-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Raac Series                                       | RAAC Series 2007-SP1 Trust                                               | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3218861 | PA      | $2665244.64   | 0.20%             | 2037-03-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 0.9130% 05/25/26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1878545.68   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                              | CUSIP: 12660LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $486199.92    | 0.04%             | 2066-04-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Home Partners Of America Trust                    | Home Partners of America 2021-2 Trust                                    | CUSIP: 43732VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5823498 | PA      | $4854467.66   | 0.37%             | 2026-12-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Pennymac Corp                                     | PennyMac Corp.                                                           | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   6346000 | PA      | $5774860.00   | 0.44%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Acres Commercial Realty                           | ACRES Commercial Realty Corp.                                            | CUSIP: 00489QAA0<br>LEI: 549300RUJWPCMY4JFR46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1870000.00   | 0.14%             | 2026-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust                     | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16535669 | PA      | $16459604.87  | 1.26%             | 2051-02-15      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fremf Mortgage Trust                              | FREMF 2018-KF49 Mortgage Trust                                           | CUSIP: 30307PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20727194 | PA      | $20273268.84  | 1.56%             | 2025-06-25      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance      | Specialty Underwriting & Residential Finance Series 2005-BC1             | CUSIP: 84751PEV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1969836 | PA      | $1670839.75   | 0.13%             | 2035-12-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                              | LHOME Mortgage Trust                                                     | CUSIP: 50204DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17000000 | PA      | $15768980.70  | 1.21%             | 2027-02-25      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                               | CUSIP: 58940BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $11131200.00  | 0.85%             | 2026-03-20      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-AR4                             | CUSIP: 073324AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6067386 | PA      | $5524553.40   | 0.42%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Gkn Sub Ctl Pt Trust Aub                          | GKN Subordinated CTL Pass-Through Trust/Auburn MI                        | CUSIP: 36175XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7076849 | PA      | $4038050.04   | 0.31%             | 2030-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Imperial Fund Llc                                 | Imperial Fund Mortgage Trust 2021-NQM1                                   | CUSIP: 452764AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2785000 | PA      | $1944271.16   | 0.15%             | 2056-06-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QO5 Trust                                               | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9462102 | PA      | $1822594.75   | 0.14%             | 2047-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2022-1                              | CUSIP: 24382JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2628000 | PA      | $1668414.71   | 0.13%             | 2026-01-25      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| RBC Barbados Trading Bank Corp                    | Recv Irs 3.1050% 08/05/24                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $42536.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                  | Connecticut Avenue Securities Trust 2021-R03                             | CUSIP: 20754AAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3266000 | PA      | $2947338.99   | 0.23%             | 2041-12-25      | Floating      | 9.81%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 0.8690% 12/17/23                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1791123.69   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                | Rithm Capital Corp.                                                      | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               | CORP              | US        |     13206 | NS      | $124268.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman Xs Trust                                   | Lehman XS Trust 2007-6                                                   | CUSIP: 52524PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3702897 | PA      | $3300676.12   | 0.25%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                        | Hudsons Bay Simon JV Trust 2015-HBS                                      | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2214207 | PA      | $1994779.09   | 0.15%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                              | CUSIP: 12659RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6311003 | PA      | $4502900.64   | 0.35%             | 2026-07-15      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2007-HE3                    | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511916 | PA      | $474363.81    | 0.04%             | 2037-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Alphaflow Transitional Mortgage Trust             | AlphaFlow Transitional Mortgage Trust 2021-WL1                           | CUSIP: 02079YAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830020 | PA      | $798878.69    | 0.06%             | 2023-07-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                              | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11500000 | PA      | $10054450.00  | 0.77%             | 2025-10-15      | Floating      | 10.62%                | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing Llc                       | Hertz Vehicle Financing III LP                                           | CUSIP: 42806MAH2<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $25851000.00  | 1.98%             | 2026-12-25      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Colt Funding Llc                                  | COLT 2022-4 Mortgage Loan Trust                                          | CUSIP: 19685GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1669217.55   | 0.13%             | 2067-03-25      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2021-3                            | CUSIP: 92258RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705634 | PA      | $525711.38    | 0.04%             | 2031-11-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Bravo Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM1                                | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3720901 | PA      | $3290644.20   | 0.25%             | 2049-02-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 2.5135% 04/11/25                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $94316.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR REMIC Trust 2020-DNA4                                  | CUSIP: 35565XBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2622404 | PA      | $3044420.13   | 0.23%             | 2050-08-25      | Floating      | 14.51%                | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2019-1A                             | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-MBS          | CORP              | US        |   5395788 | PA      | $4585880.19   | 0.35%             | 2026-04-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                              | LHOME Mortgage Trust 2021-RTL3                                           | CUSIP: 50203RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7594288.20   | 0.58%             | 2025-05-25      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR10 Trust                                    | CUSIP: 74333WAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3996319 | PA      | $3390925.55   | 0.26%             | 2028-12-17      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Fhlmc Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates             | CUSIP: 3137FKJJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40753413 | PA      | $709109.39    | 0.05%             | 2024-12-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase & Co.                           | Recv Irs 2.8715% 07/08/24                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $48253.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pennymac Corp                                     | PennyMac Corp.                                                           | CUSIP: 70932AAD5<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1404750.00   | 0.11%             | 2024-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust                                   | CUSIP: 92257NAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333400 | PA      | $270759.54    | 0.02%             | 2027-03-25      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 1.2335% 04/24/28                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1724243.01   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Vmc Finance Llc                                   | VMC Finance 2021-HT1 LLC                                                 | CUSIP: 91835TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9302000.00   | 0.71%             | 2037-01-18      | Floating      | 8.97%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-9                                             | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740146 | PA      | $983516.90    | 0.08%             | 2037-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2021-1A                             | CUSIP: 14856GAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10092289 | PA      | $6939457.88   | 0.53%             | 2026-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                              | Falcon 2019-1 Aerospace, Ltd.                                            | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2538047 | PA      | $2032721.83   | 0.16%             | 2026-09-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust               | CitiMortgage Alternative Loan Trust Series 2007-A2                       | CUSIP: 12566UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1422273 | PA      | $1176266.90   | 0.09%             | 2037-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2006-AR3                             | CUSIP: 07400JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735837 | PA      | $2968001.41   | 0.23%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                          | Arbor Realty Trust, Series D                                             | CUSIP: 038923876<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |    200000 | NS      | $4082000.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2017-1R                             | CUSIP: 14856JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13556976 | PA      | $6473456.05   | 0.50%             | 2025-08-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Redwood Trust Inc                                 | Redwood Trust, Inc.                                                      | CUSIP: 758075AD7<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |   5763000 | PA      | $5444882.40   | 0.42%             | 2024-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-1                              | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1254658.88   | 0.10%             | 2025-02-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Dominion Mortgage Trust                           | Dominion Mortgage Trust 2021-RTL1                                        | CUSIP: 257463AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2820050.10   | 0.22%             | 2025-02-25      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-20CB                                         | CUSIP: 02147MAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1947955 | PA      | $694737.86    | 0.05%             | 2036-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Equity Loan Trust 2007-NS1                                | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3093845 | PA      | $2814475.16   | 0.22%             | 2037-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                               | UTEX-DEFEASED                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2602153 | PA      | $2602153.47   | 0.20%             | 2049-12-31      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2005-1                                      | CUSIP: 805564RQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730404 | PA      | $464709.96    | 0.04%             | 2035-03-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Clsec Holdings 22t Llc                            | Clsec Holdings 22t LLC                                                   | CUSIP: 12567UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7167102 | PA      | $5733681.93   | 0.44%             | 2028-11-10      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp                                | Rithm Capital Corp.                                                      | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |    166420 | NS      | $3521447.20   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington Mutual Mortgage Pass-through Ctfs      | Washington Mutual Mortgage Pass-Through Certificates Series 2005-3 Trust | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300132 | PA      | $1032274.10   | 0.08%             | 2035-05-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-2                                             | CUSIP: 52520MBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410405 | PA      | $705018.90    | 0.05%             | 2035-12-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Limited/ Us Llc        | Thunderbolt II Aircraft Lease, Ltd.                                      | CUSIP: 886065AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3491964 | PA      | $2095178.57   | 0.16%             | 2038-09-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-5CB                                          | CUSIP: 02150EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13470174 | PA      | $5831894.12   | 0.45%             | 2037-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp                              | Ambac Assurance Corp.                                                    | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |   2079758 | PA      | $3026047.56   | 0.23%             | 2055-02-12      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS2 Trust                                               | CUSIP: 761118UR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1333762 | PA      | $966096.23    | 0.07%             | 2036-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2022-DKLX                     | CUSIP: 05530SAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2515229 | PA      | $2304452.81   | 0.18%             | 2024-01-15      | Floating      | 9.44%                 | Yes           |                  2 | On Loan: No      |
| Tlwnd 2019-1                                      | GAIA Aviation, Ltd.                                                      | CUSIP: 87404LAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  16134725 | PA      | $11294307.38  | 0.87%             | 2026-12-15      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Mastr Alternative Loans Trust                     | MASTR Alternative Loan Trust 2007-1                                      | CUSIP: 55275SBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925002 | PA      | $205068.43    | 0.02%             | 2036-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR Remic Trust 2020-DNA2                                  | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   3423457 | PA      | $2907631.38   | 0.22%             | 2050-02-25      | Floating      | 9.31%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R1                                       | CUSIP: 92538BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461429 | PA      | $1314508.14   | 0.10%             | 2063-10-25      | Variable      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Maps Ltd                                          | MAPS 2021-1 Trust                                                        | CUSIP: 55292RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5133750 | PA      | $3850312.50   | 0.30%             | 2028-06-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Colt Funding Llc                                  | COLT 2022-1 Mortgage Loan Trust                                          | CUSIP: 19688HAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1352124.80   | 0.10%             | 2066-12-27      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial Llc                          | OBX 2021-NQM2 Trust                                                      | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6730192 | PA      | $5406770.33   | 0.42%             | 2061-05-25      | Variable      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac Structured Agency Credit Risk Debt Notes                     | CUSIP: 35564KDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1688556 | PA      | $1482642.67   | 0.11%             | 2033-08-25      | Floating      | 10.31%                | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 1.9860% 03/21/26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $464558.71    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | Toorak Mortgage Corp. 2021-1, Ltd.                                       | CUSIP: 89053BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $9146667.45   | 0.70%             | 2023-07-25      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Fremf Mortgage Trust                              | FREMF 2016-KF24 Mortgage Trust                                           | CUSIP: 30295TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3251706 | PA      | $3198703.23   | 0.25%             | 2026-10-25      | Floating      | 9.39%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2006-AR3                             | CUSIP: 07400HAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342278 | PA      | $371324.16    | 0.03%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-79CB                                         | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1584127 | PA      | $849160.45    | 0.07%             | 2036-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2021-SB83 Mortgage Trust                                           | CUSIP: 30318NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29396004 | PA      | $1126384.32   | 0.09%             | 2041-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| N/A                                               | REVERSE REPO                                                             | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1500000 | NS      | $-1500000.00  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Ready Capital Corp                                | Ready Capital Corp.                                                      | CUSIP: 75574U887<br>LEI: 549300MYWGZUG7ZUYO87 | Long             | EP               | CORP              | US        |     18013 | NS      | $361522.71    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Ncmf Trust                                        | NCMF Trust 2022-MFP                                                      | CUSIP: 628870AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12600000 | PA      | $12034260.00  | 0.92%             | 2027-03-15      | Floating      | 9.61%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR1 Trust                                     | CUSIP: 74333YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1637296.80   | 0.13%             | 2029-02-17      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2019-AHT                      | CUSIP: 05525DAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $10109000.00  | 0.78%             | 2034-03-15      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2021-1                            | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2214707 | PA      | $1503675.44   | 0.12%             | 2031-03-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2022-1                            | CUSIP: 92258XAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3967716 | PA      | $3249302.50   | 0.25%             | 2032-06-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF1                           | CUSIP: 12529MDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4136780.00   | 0.32%             | 2024-04-15      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                            | CWALT 2007-17CB 1A6                                                      | CUSIP: 02151HAF2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   6972088 | PA      | $3316783.52   | 0.25%             | 2037-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR REMIC Trust 2021-DNA6                                  | CUSIP: 35564KLU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7959000 | PA      | $7595660.51   | 0.58%             | 2041-10-25      | Floating      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-4                               | CUSIP: 85573PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $2353080.12   | 0.18%             | 2056-08-25      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Sb Multifamily Repack Trust Series 2020-frr1      | SB Multifamily Repack Trust                                              | CUSIP: 78397JAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19911339 | PA      | $19602713.52  | 1.51%             | 2026-05-27      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Fat Brands Twin Peaks Llc                         | FAT Brands Twin Peaks I LLC                                              | CUSIP: 31200AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2624400.00   | 0.20%             | 2025-01-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2022-2                            | CUSIP: 92259UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750383 | PA      | $3171699.19   | 0.24%             | 2052-04-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-14CB                                         | CUSIP: 021468AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2329144 | PA      | $1061010.06   | 0.08%             | 2036-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-2CB                                          | CUSIP: 02149HAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1710619 | PA      | $769225.99    | 0.06%             | 2037-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 2.4640% 04/07/24                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $344391.03    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                | Freddie Mac Multifamily Structured Credit Risk                           | CUSIP: 35563GAB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14086000 | PA      | $12477378.80  | 0.96%             | 2051-11-25      | Floating      | 8.31%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2006-R1                           | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10050002 | PA      | $3207867.33   | 0.25%             | 2046-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2022-1                       | Boston Lending Trust 2022-1                                              | CUSIP: 10084LAC5<br>LEI: 254900UWHMJRRODS3Z64 | Long             | ABS-MBS          | CORP              | US        |   2568047 | PA      | $2056748.53   | 0.16%             | 2027-02-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Flexential Issuer, Llc                            | Flexential Issuer 2021-1                                                 | CUSIP: 33938MAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $6844000.00   | 0.53%             | 2026-11-25      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR REMIC Trust 2022-DNA1                                  | CUSIP: 35564KQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3377598.84   | 0.26%             | 2042-01-25      | Floating      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-18CB                                         | CUSIP: 02147FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2065908 | PA      | $898723.12    | 0.07%             | 2036-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Apollo Cmmrl Real Est Fi                          | Apollo Commercial Real Estate Finance, Inc.                              | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5792500.00   | 0.44%             | 2029-06-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Limited/ Us Llc        | Thunderbolt III Aircraft Lease, Ltd.                                     | CUSIP: 88607AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  10868487 | PA      | $5488585.89   | 0.42%             | 2026-11-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                  | Connecticut Avenue Securities Trust 2022-R03                             | CUSIP: 20753XAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2472400 | PA      | $2600859.23   | 0.20%             | 2042-03-25      | Floating      | 10.56%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR REMIC Trust 2022-DNA1                                  | CUSIP: 35564KQZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $907723.74    | 0.07%             | 2042-01-25      | Floating      | 11.41%                | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-980M                                                           | CUSIP: 12659RAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11700000 | PA      | $8928270.00   | 0.69%             | 2026-07-15      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2019-1A                             | CUSIP: 14855MAB4<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-MBS          | CORP              | US        |   2422091 | PA      | $1695463.79   | 0.13%             | 2026-04-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Acres Commercial Realty Corp                      | ACRES Commercial Realty Corp.                                            | CUSIP: 00489Q102<br>LEI: 549300RUJWPCMY4JFR46 | Long             | EC               | CORP              | US        |     91094 | NS      | $860838.30    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | Cascade Funding Mortgage Trust 2021-FRR1                                 | CUSIP: 12529YBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24870000 | PA      | $17702466.00  | 1.36%             | 2029-09-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2021-1A                             | CUSIP: 14856GAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215762 | PA      | $1706136.64   | 0.13%             | 2027-07-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Granite Point Mtge Trst                           | Granite Point Mortgage Trust, Inc.                                       | CUSIP: 38741LAC1<br>LEI: 529900VX2HQZ76AYIE02 | Long             | DBT              | CORP              | US        |  18396000 | PA      | $18053834.40  | 1.39%             | 2023-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 2.6880% 05/13/26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $120645.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-41CB                                         | CUSIP: 02149CAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3105828 | PA      | $1398788.80   | 0.11%             | 2037-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QS12 Trust                                              | CUSIP: 761118DV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280772 | PA      | $222723.32    | 0.02%             | 2035-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                       | SMR 2022-IND Mortgage Trust                                              | CUSIP: 78458MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10899872 | PA      | $10124891.49  | 0.78%             | 2024-02-15      | Floating      | 9.48%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust                                   | CUSIP: 92257NAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405946 | PA      | $326722.12    | 0.03%             | 2028-02-25      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Solrr Aircraft 2021-1 Limited                     | Lunar 2021-1 Structured Aircraft Portfolio Notes                         | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   7972137 | PA      | $6616873.34   | 0.51%             | 2028-09-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                         | BCP Trust 2021-330N                                                      | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15300000 | PA      | $12735720.00  | 0.98%             | 2023-06-15      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Horizon Aircraft Finance I Limited                | Horizon Aircraft Finance I, Ltd.                                         | CUSIP: 440405AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080960 | PA      | $702623.76    | 0.05%             | 2025-12-15      | Fixed         | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                          | BX Trust 2019-ATL                                                        | CUSIP: 056058AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8242707 | PA      | $7523118.68   | 0.58%             | 2036-10-15      | Floating      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-11CB                                         | CUSIP: 12667GJS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889426 | PA      | $677616.21    | 0.05%             | 2035-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 2.4340% 04/14/25                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $106132.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | Recv Irs 2.8285% 08/05/25                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $54769.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lunar Aircraft 2020-1 Limited                     | LUNAR AIRCRAFT, Ltd.                                                     | CUSIP: 55037LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3546412 | PA      | $2269703.72   | 0.17%             | 2027-02-15      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2008-C2             | CUSIP: 46632MCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3799323 | PA      | $2012881.17   | 0.15%             | 2051-02-12      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                                 | Redwood Trust, Inc.                                                      | CUSIP: 758075AC9<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |   2032000 | PA      | $2016556.80   | 0.15%             | 2023-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                              | LHOME Mortgage Trust 2021-RTL2                                           | CUSIP: 501895AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $4016503.10   | 0.31%             | 2024-01-25      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                              | Falcon 2019-1 Aerospace, Ltd.                                            | CUSIP: 30610GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1694666 | PA      | $1118479.59   | 0.09%             | 2026-09-15      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Jol Air                                           | JOL Air, Ltd.                                                            | CUSIP: 46651NAB0<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-MBS          | CORP              | KY        |  16633502 | PA      | $11976121.78  | 0.92%             | 2026-04-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                         | BCP Trust 2021-330N                                                      | CUSIP: 05553BAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8500000 | PA      | $6426850.00   | 0.49%             | 2023-06-15      | Floating      | 9.09%                 | Yes           |                  2 | On Loan: No      |
| Wave Usa                                          | WAVE 2019-1 LLC                                                          | CUSIP: 94354KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6963966 | PA      | $4526577.97   | 0.35%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 2.5045% 04/19/26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $73711.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2021-SB84 Mortgage Trust                                           | CUSIP: 30320WAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |  28757859 | PA      | $761695.02    | 0.06%             | 2031-01-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase & Co.                           | Recv Irs 2.8775% 08/05/25                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $52457.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                        | VERUS 2021-3 A1                                                          | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7509158 | PA      | $6381826.53   | 0.49%             | 2066-06-25      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fat Brands Gfg Royalty Llc                        | FAT Brands GFG Royalty I LLC                                             | CUSIP: 31189WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $11716800.00  | 0.90%             | 2023-07-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust           | Lendingpoint 2021-B Asset Securitization Trust                           | CUSIP: 52607HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2383500.00   | 0.18%             | 2024-12-16      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp                                | Rithm Capital Corp.                                                      | CUSIP: 64828TAA0<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |  18835000 | PA      | $17634268.75  | 1.35%             | 2025-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-AR2                             | CUSIP: 07401TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6700309 | PA      | $6036208.17   | 0.46%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2022-1                            | CUSIP: 92258XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2352261 | PA      | $1902396.93   | 0.15%             | 2033-08-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust              | Castlelake Aircraft Securitization Trust 2018-1                          | CUSIP: 14856CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3276109 | PA      | $2358798.56   | 0.18%             | 2025-06-15      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Rwt Holdings Inc                                  | RWT Holdings, Inc.                                                       | CUSIP: 749772AD1<br>LEI: Z31FN4C0IQMCYFAEUP31 | Long             | DBT              | CORP              | US        |  16800000 | PA      | $14170800.00  | 1.09%             | 2025-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance Ii Llc                   | Horizon Aircraft Finance II, Ltd.                                        | CUSIP: 44040HAB8<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-MBS          | CORP              | KY        |   2483333 | PA      | $1489999.99   | 0.11%             | 2026-07-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Mortgage Finance Trust Series 2007-S2                              | CUSIP: 16163EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3643457 | PA      | $2266115.71   | 0.17%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                   | Lehman XS Trust 2007-6                                                   | CUSIP: 52524PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3260585 | PA      | $2913722.60   | 0.22%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                           | New York Mortgage Trust, Inc.                                            | CUSIP: 649604865<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |    187940 | NS      | $3553945.40   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-SFR1                            | CUSIP: 64831KAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4250110.00   | 0.33%             | 2027-02-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R1                                       | CUSIP: 92538BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921970 | PA      | $1735077.73   | 0.13%             | 2063-10-25      | Variable      | 1.06%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                  | First Investors Auto Owner Trust 2021-1A                                 | CUSIP: 32059FAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1144016.00   | 0.09%             | 2025-02-15      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Gcat                                              | GCAT 2021-NQM4 Trust                                                     | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5440453 | PA      | $4436019.72   | 0.34%             | 2025-08-25      | Variable      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38380JNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  74592011 | PA      | $3013517.26   | 0.23%             | 2059-03-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                              | CUSIP: 12643PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3043424 | PA      | $2494826.08   | 0.19%             | 2048-05-26      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 1.1515% 06/11/28                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $4356156.05   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-18CB                                         | CUSIP: 02147FAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17282722 | PA      | $7518429.77   | 0.58%             | 2036-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2020-SB78 Mortgage Trust                                           | CUSIP: 30316KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29569562 | PA      | $1248045.47   | 0.10%             | 2030-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                          | CUSIP: 03464BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185369 | PA      | $761111.92    | 0.06%             | 2026-01-25      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Mrcd Mortgage Trust                               | MRCD 2019-MARK Mortgage Trust                                            | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8311000 | PA      | $7184028.40   | 0.55%             | 2024-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                        | Hudsons Bay Simon JV Trust 2015-HBFL                                     | CUSIP: 44422PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29946257 | PA      | $29047869.30  | 2.23%             | 2034-08-05      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-41CB                                         | CUSIP: 02149CAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3254681 | PA      | $1477528.03   | 0.11%             | 2037-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I, Llc                 | FAT Brands Fazoli's Native I LLC                                         | CUSIP: 31200BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1764800.00   | 0.14%             | 2025-01-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust               | GS Mortgage-Backed Securities Trust                                      | CUSIP: 36262EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $651355.20    | 0.05%             | 2061-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP          | CUSIP: 466317AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7186548 | PA      | $6847343.19   | 0.53%             | 2027-04-15      | Floating      | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                    | Avant Credit Card Master Trust                                           | CUSIP: 05351KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3193400.00   | 0.25%             | 2024-10-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Cfk Trust                                         | CFK Trust 2020-MF2                                                       | CUSIP: 12529AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4767600.00   | 0.37%             | 2027-03-15      | Variable      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| Amsr Trust                                        | AMSR 2021-SFR3 Trust                                                     | CUSIP: 00180UAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5929372.40   | 0.46%             | 2026-10-17      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-42                                           | CUSIP: 02148YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3370893 | PA      | $1485486.46   | 0.11%             | 2047-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Reremic Trust                      | Morgan Stanley Resecuritization Trust 2015-R4                            | CUSIP: 61690WAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1866304 | PA      | $1377598.09   | 0.11%             | 2047-08-26      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Dt Auto Owner Trust                               | DT Auto Owner Trust 2022-1                                               | CUSIP: 23345YAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3170000 | PA      | $2864729.00   | 0.22%             | 2025-11-17      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Tpg Re Finance Trust Inc                          | TPG RE Finance Trust, Inc.                                               | CUSIP: 87266M206<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    160000 | NS      | $2744000.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                        | Hudsons Bay Simon JV Trust                                               | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2789700.00   | 0.21%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                          | BX 2022-MVRK Mortgage Trust                                              | CUSIP: 05610JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14000000 | PA      | $13290200.00  | 1.02%             | 2027-03-15      | Floating      | 10.09%                | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2019-3                            | CUSIP: 92257HAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329001 | PA      | $286521.27    | 0.02%             | 2028-08-25      | Variable      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-AR5                             | CUSIP: 07400NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303120 | PA      | $2037621.72   | 0.16%             | 2037-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 0.7335% 08/05/26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $5170529.17   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Rmf Proprietary Issuance Trust                    | RMF Proprietary Issuance Trust 2022-1                                    | CUSIP: 74969XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4232000.00   | 0.32%             | 2028-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-4                                   | CUSIP: 12544RCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260730 | PA      | $861176.30    | 0.07%             | 2037-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                  | Connecticut Avenue Securities Trust 2022-R04                             | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1494343 | PA      | $1514992.13   | 0.12%             | 2042-03-25      | Floating      | 9.56%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                  | Connecticut Avenue Securities Trust 2022-R02                             | CUSIP: 20754BAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2750000 | PA      | $2673370.98   | 0.21%             | 2027-01-25      | Floating      | 8.81%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R3                                       | CUSIP: 92538EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2076991.20   | 0.16%             | 2064-04-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                              | Roc Mortgage Trust 2021-RTL1                                             | CUSIP: 77118TAC7<br>LEI: 549300IBVH6A13CK6E15 | Long             | ABS-MBS          | CORP              | US        |   6745000 | PA      | $5791754.11   | 0.44%             | 2024-03-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2021-SB82 Mortgage Trust                                           | CUSIP: 30318CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  47509762 | PA      | $1861061.90   | 0.14%             | 2040-10-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Mfa Financial Inc                                 | MFA Financial, Inc.                                                      | CUSIP: 55272XAA0<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | DBT              | CORP              | US        |  29624000 | PA      | $28444964.80  | 2.18%             | 2024-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                  | Connecticut Avenue Securities Trust 2020-R01                             | CUSIP: 20754CAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2067379 | PA      | $1990762.14   | 0.15%             | 2040-01-25      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2020-SB79 Mortgage Trust                                           | CUSIP: 30316VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15692602 | PA      | $604716.01    | 0.05%             | 2040-07-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limited                  | Pioneer Aircraft Finance, Ltd.                                           | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2631687 | PA      | $2131403.71   | 0.16%             | 2026-06-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                  | Connecticut Avenue Securities Trust 2022-R01                             | CUSIP: 20754LAJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $992073.61    | 0.08%             | 2041-12-25      | Floating      | 10.31%                | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                              | LHOME Mortgage Trust                                                     | CUSIP: 50204TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4413000 | PA      | $3978886.13   | 0.31%             | 2027-04-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR REMIC Trust 2020-DNA6                                  | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1075441.59   | 0.08%             | 2050-12-25      | Floating      | 9.96%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-B                                 | CUSIP: 00834DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $3640140.00   | 0.28%             | 2024-04-15      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Tpg Re Finance Trust Inc                          | TPG RE Finance Trust, Inc.                                               | CUSIP: 87266M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     98698 | NS      | $859659.58    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fremf Mortgage Trust                              | FREMF 2016-K722 Mortgage Trust                                           | CUSIP: 30295AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16711242 | PA      | $16268394.09  | 1.25%             | 2023-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Horizon Aircraft Finance I Limited                | Horizon Aircraft Finance I, Ltd.                                         | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5226204 | PA      | $4351859.78   | 0.33%             | 2025-12-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Redwood Trust Inc                                 | Redwood Trust, Inc.                                                      | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |     44220 | NS      | $369679.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2020-1                            | CUSIP: 92259LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1197981 | PA      | $1004690.41   | 0.08%             | 2050-02-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-40T1                                         | CUSIP: 02148KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5131529 | PA      | $2975959.29   | 0.23%             | 2037-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Mfra Trust                                        | MFA 2022-RTL1 Trust                                                      | CUSIP: 55284RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $11891110.40  | 0.91%             | 2024-03-25      | Fixed         | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-6CB                                          | CUSIP: 12668BUB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3961240 | PA      | $1228266.75   | 0.09%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust                        | Point Securitization Trust 2021-1                                        | CUSIP: 73090AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14000001 | PA      | $12539128.90  | 0.96%             | 2052-02-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc       | BBCMS 2018-TALL Mortgage Trust                                           | CUSIP: 05548WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12161000 | PA      | $8494458.50   | 0.65%             | 2037-03-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Start Ltd.                                        | Start II, Ltd.                                                           | CUSIP: 85573LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2282749 | PA      | $1666406.57   | 0.13%             | 2026-03-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac Structured Agency Credit Risk Debt Notes                     | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $7146873.00   | 0.55%             | 2033-08-25      | Floating      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2019-1                            | CUSIP: 92257CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628586 | PA      | $1381895.15   | 0.11%             | 2029-10-29      | Variable      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                           | Stellar Jay Ireland DAC                                                  | CUSIP: 858558AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4734700 | PA      | $3551025.00   | 0.27%             | 2028-03-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Mfa Financial Inc                                 | MFA Financial, Inc.                                                      | CUSIP: 55272X409<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     29611 | NS      | $606137.17    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS8 Trust                                               | CUSIP: 75115AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109750 | PA      | $799357.51    | 0.06%             | 2036-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer Llc                   | Cologix Data Centers US Issuer LLC                                       | CUSIP: 19521UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3148330.00   | 0.24%             | 2026-12-28      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2020-SB76 Mortgage Trust                                           | CUSIP: 30315EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12997085 | PA      | $512742.80    | 0.04%             | 2030-05-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Kkr Real Estate Fin                               | KKR Real Estate Finance Trust, Inc.                                      | CUSIP: 48251K209<br>LEI: 549300K23AYZDZ2REL62 | Long             | EP               | CORP              | US        |    183991 | NS      | $3560225.85   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Lhome Mortgage Trust                              | LHOME Mortgage Trust 2020-RTL2                                           | CUSIP: 502002AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6250000 | PA      | $5910318.75   | 0.45%             | 2023-04-25      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| N/A                                               | REVERSE REPO                                                             | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4000000 | NS      | $-4000000.00  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2020-SB81Mortgage Trust                                            | CUSIP: 30317QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19551885 | PA      | $883770.61    | 0.07%             | 2030-10-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2007-HE7                    | CUSIP: 07387VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3986727 | PA      | $3006539.13   | 0.23%             | 2037-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Mtn Commercial Mortgage Trust 2022-lpfl           | MTN Commercial Mortgage Trust 2022-LPFL                                  | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9277000.00   | 0.71%             | 2027-03-15      | Floating      | 9.76%                 | Yes           |                  2 | On Loan: No      |
| First American Government Obligations Fund        | First American Government Obligations Fund                               | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        | 276183452 | NS      | $276183452.23 | 21.21%            |  |  |  | No            |                  1 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-2                                             | CUSIP: 52520MBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5261749 | PA      | $2942327.85   | 0.23%             | 2035-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                               | Freddie Mac STACR REMIC Trust 2021-DNA5                                  | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6330000 | PA      | $6026440.42   | 0.46%             | 2034-01-25      | Floating      | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 2.4640% 04/07/27                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $163021.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bsst Mortgage Trust                               | Beast 2021-1818 Mortgage Trust                                           | CUSIP: 07403PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3125000 | PA      | $2995625.00   | 0.23%             | 2026-03-15      | Floating      | 8.91%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limited                  | Pioneer Aircraft Finance, Ltd.                                           | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1656250 | PA      | $1109687.53   | 0.09%             | 2026-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                               | REVERSE REPO                                                             | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -10000000 | NS      | $-10000000.00 | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                | Rithm Capital Corp.                                                      | CUSIP: 64828T300<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |      5470 | NS      | $121598.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Granite Point Mtge Trst                           | Granite Point Mortgage Trust, Inc.                                       | CUSIP: 38741L305<br>LEI: 529900VX2HQZ76AYIE02 | Long             | EP               | CORP              | US        |    257360 | NS      | $4707114.40   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Colt Funding Llc                                  | COLT 2022-3 Mortgage Loan Trust                                          | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6691547 | PA      | $4892286.37   | 0.38%             | 2067-02-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Ladder Capital Corp                               | Ladder Capital Corp.                                                     | CUSIP: 505743104<br>LEI: 549300Q6LLV2QCV67C06 | Long             | EC               | CORP              | US        |    381070 | NS      | $4267984.00   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2020-SB77 Mortgage Trust                                           | CUSIP: 30316AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17526453 | PA      | $599327.57    | 0.05%             | 2027-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance Iii Limited              | Horizon Aircraft Finance III, Ltd.                                       | CUSIP: 44040JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7082262 | PA      | $4603470.35   | 0.35%             | 2026-11-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2007-AR2                  | CUSIP: 86363DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5061467 | PA      | $5616699.19   | 0.43%             | 2037-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance Iii Limited              | Horizon Aircraft Finance III, Ltd.                                       | CUSIP: 44040JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5583474 | PA      | $4411502.73   | 0.34%             | 2026-11-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Acres Commercial Realty                           | ACRES Commercial Realty Corp.                                            | CUSIP: 00489Q300<br>LEI: 549300RUJWPCMY4JFR46 | Long             | EP               | CORP              | US        |    200000 | NS      | $4224000.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust                                | CUSIP: 80282YAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1197106.00   | 0.09%             | 2025-07-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                          | Arbor Realty Trust                                                       | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |    200000 | NS      | $4052000.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2007-HE3                    | CUSIP: 073852AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704736 | PA      | $876298.84    | 0.07%             | 2037-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Rmf Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2786550.00   | 0.21%             | 2031-11-25      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                     | Recv Irs 1.5090% 02/11/24                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1316769.31   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica | FRESB 2020-SB80 Mortgage Trust                                           | CUSIP: 30316XAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59521912 | PA      | $2896871.93   | 0.22%             | 2030-09-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF2                           | CUSIP: 12528YBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4988052 | PA      | $4065761.19   | 0.31%             | 2029-09-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| Pennymac Financial Services Inc                   | PennyMac Financial Services, Inc.                                        | CUSIP: 70932M107<br>LEI: 549300W1D516HBDEU871 | Long             | EC               | CORP              | US        |      6390 | NS      | $430813.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. Morgan Chase & Co.                           | Recv Irs 2.5405% 07/07/27                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $193211.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Stonepeak                                         | Stonepeak 2021-1 ABS                                                     | CUSIP: 78433XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10349711 | PA      | $8279768.71   | 0.64%             | 2028-05-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-18CB                                         | CUSIP: 02147FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9688271 | PA      | $4294800.83   | 0.33%             | 2036-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch                     | Recv Irs 3.041% 08/05/24                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $44380.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2017-1                                | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3105719 | PA      | $2590444.28   | 0.20%             | 2066-02-25      | Variable      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-3                              | CUSIP: 24381VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $1727149.20   | 0.13%             | 2025-09-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                               | REVERSE REPO                                                             | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4000000 | NS      | $-4000000.00  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Colt Funding Llc                                  | COLT 2022-3 Mortgage Loan Trust                                          | CUSIP: 12659YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3137906 | PA      | $2163941.08   | 0.17%             | 2067-02-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                               | BRE Select Service                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |  13167773 | PA      | $13105214.80  | 1.01%             | 2049-12-31      | Floating      | 13.65%                | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-AR5                             | CUSIP: 07400NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886039 | PA      | $774360.93    | 0.06%             | 2037-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Jpmorgan Chase Bank, Na - Cacln                   | JPMorgan Chase Bank NA - Chase Auto Credit Linked Notes                  | CUSIP: 48128U2S7<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-MBS          | CORP              | US        |   2350000 | PA      | $2032280.00   | 0.16%             | 2025-07-25      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-NQM2                            | CUSIP: 64831MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3087000 | PA      | $1999288.76   | 0.15%             | 2026-02-25      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Mtk Mortgage Trust                                | MTK 2021-GRNY Mortgage Trust                                             | CUSIP: 55379DAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2384200.00   | 0.18%             | 2023-12-15      | Floating      | 10.26%                | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** AXONIC FUNDS

**Signature:** John R. Kelly

**Name of Signer:** John R. Kelly

**Title:** Treasurer Principal Financial Officer and Principal Accounting Officer