# EDGAR Filing Document

**Accession Number:** 0000909994
**File Stem:** 0001752724-25-157254
**Filing Date:** 2025-6
**Character Count:** 328719
**Document Hash:** b4c29ca949386390b94a8bb716e0b9a9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-157254.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-157254

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** OLD WESTBURY FUNDS INC
- **CENTRAL INDEX KEY:** 0000909994

**ORGANIZATION NAME:**
- **EIN:** 232874698
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07912
- **FILM NUMBER:** 251076138

**BUSINESS ADDRESS:**
- **STREET 1:** 103 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 3027914394

**MAIL ADDRESS:**
- **STREET 1:** 103 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### Old Westbury Credit Income Fund (Series ID: S000069572)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000221944 | Old Westbury Credit Income Fund | OWCIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Old Westbury Funds Inc

- **b. Investment Company Act file number:** 811-07912

- **c. CIK number of Registrant:** 0000909994

- **d. LEI of Registrant:** 549300YMRMTWRGXX0W63

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

  - **Street Address 1:** 103 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-607-2200

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

- **a. Name of Series:** Old Westbury Credit Income Fund

- **b. EDGAR series identifier (if any):** S000069572

- **c. LEI of Series:** 5493001Y8PAM01Y76G88

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $2300887866.15

**Total Liabilities:** $3416573.57

**Net Assets:** $2297471292.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 22.19518000 | **1-Year:** 9112.64992000 | **5-Year:** 36259.16115000 | **10-Year:** 44160.04001000 | **30-Year:** 4806.83668000

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

- **3-Month:** 396.10951000 | **1-Year:** 55163.51898000 | **5-Year:** 184449.33935000 | **10-Year:** 152643.20536000 | **30-Year:** 84134.52967000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221944 | 2.53%                | -0.51%               | -0.63%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $659637.74               | $43115803.79                               |
| Month 2  | $712206.94               | $-21264723.04                              |
| Month 3  | $95086.43                | $-23428682.58                              |

**Designated Index Information**

- **Index Name:** Old Westbury Credit Income Fund - ExDerivatives

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                              | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BARCLAYS BANK PLC                                 | TRS LUMSTRUU INDEX                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $694112.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3877229 | PA      | $2937992.98   | 0.13%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469875 | PA      | $1495184.48   | 0.07%             | 2063-10-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                        | Phinia Inc                                                                       | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404269.66    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                              | Garda World Security Corp                                                        | CUSIP: 36485MAM1<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    550000 | PA      | $567741.35    | 0.02%             | 2028-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248577 | PA      | $216572.27    | 0.01%             | 2036-02-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                    | Structured Asset Mortgage Investments II Trust 2007-AR4                          | CUSIP: 86364NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943656 | PA      | $847361.05    | 0.04%             | 2047-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                     | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $250525.50    | 0.01%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1221753 | PA      | $1000129.84   | 0.04%             | 2051-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2597147 | PA      | $2462074.35   | 0.11%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3611486 | PA      | $2576974.22   | 0.11%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844652 | PA      | $396506.64    | 0.02%             | 2052-02-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                          | Connect Finco SARL / Connect US Finco LLC                                        | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    525000 | PA      | $491120.96    | 0.02%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                     | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4665205 | PA      | $3825188.32   | 0.17%             | 2039-05-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3445133 | PA      | $388929.30    | 0.02%             | 2037-03-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                            | Cloud Software Group Inc                                                         | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    875000 | PA      | $875314.01    | 0.04%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999450 | PA      | $334891.27    | 0.01%             | 2036-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-2 Mortgage Loan Trust                                                  | CUSIP: 19685WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650000 | PA      | $3313623.02   | 0.14%             | 2066-08-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                               | Lightning Power LLC                                                              | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |    550000 | PA      | $569817.23    | 0.02%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                 | Post Holdings Inc                                                                | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    875000 | PA      | $824779.38    | 0.04%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HRT DNT / HRT DNT FIN                             | Heartland Dental LLC / Heartland Dental Finance Corp                             | CUSIP: 42239PAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $684899.80    | 0.03%             | 2028-04-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                               | Station Casinos LLC                                                              | CUSIP: 857691AJ8<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    375000 | PA      | $372824.85    | 0.02%             | 2032-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2576400 | PA      | $2379933.27   | 0.10%             | 2064-06-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1865979 | PA      | $1261360.74   | 0.05%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1605000 | PA      | $1641984.34   | 0.07%             | 2063-10-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2022-SFR1 Trust                                               | CUSIP: 89616QAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1596260.00   | 0.07%             | 2039-04-17      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    325000 | PA      | $336628.26    | 0.01%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200299 | PA      | $1842957.42   | 0.08%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF3             | CUSIP: 863592AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13255645 | PA      | $7186350.26   | 0.31%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5249933 | PA      | $4191917.00   | 0.18%             | 2047-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    786795 | PA      | $741187.80    | 0.03%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                           | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $245719.93    | 0.01%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                        | Phinia Inc                                                                       | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    725000 | PA      | $711394.40    | 0.03%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6144717 | PA      | $5174042.68   | 0.23%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179838 | PA      | $981557.53    | 0.04%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |   5957050 | PA      | $5189421.84   | 0.23%             | 2037-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                              | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2516191.50   | 0.11%             | 2064-10-25      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287100 | PA      | $1105053.22   | 0.05%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88700 | PA      | $69772.75     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1138040 | PA      | $953535.88    | 0.04%             | 2037-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                             | Bread Financial Holdings Inc                                                     | CUSIP: 018581AP3<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |    850000 | PA      | $894220.19    | 0.04%             | 2029-03-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363792 | PA      | $313339.23    | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                              | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005811 | PA      | $856207.95    | 0.04%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945307 | PA      | $381904.12    | 0.02%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| VIKING BAKED GOODS ACQUI                          | Viking Baked Goods Acquisition Corp                                              | CUSIP: 92676AAA5<br>LEI: 254900DBFD2H1FJK0893 | Long             | DBT              | CORP              | US        |    325000 | PA      | $308716.01    | 0.01%             | 2031-11-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                    | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3314000 | PA      | $2607784.28   | 0.11%             | 2067-01-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427639 | PA      | $325264.36    | 0.01%             | 2051-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                              | LifePoint Health Inc                                                             | CUSIP: 53219LAV1<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    275000 | PA      | $292523.83    | 0.01%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                              | Garda World Security Corp                                                        | CUSIP: 36485MAN9<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    375000 | PA      | $368397.11    | 0.02%             | 2032-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $978188.60    | 0.04%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2007-9                                                    | CUSIP: 3622EEAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14406146 | PA      | $5263623.99   | 0.23%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                     | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $911106.20    | 0.04%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2123 | PA      | $2050.54      | 0.00%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ONESKY FLIGHT LLC                                 | OneSky Flight LLC                                                                | CUSIP: 68278CAA3<br>LEI: 549300PM6NEPXGG5B882 | Long             | DBT              | CORP              | US        |    650000 | PA      | $656108.43    | 0.03%             | 2029-12-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778713 | PA      | $366183.27    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                      | MASTR Resecuritization Trust 2008-3                                              | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937965 | PA      | $292047.71    | 0.01%             | 2037-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust Resecuritization 2008-1R                                  | CUSIP: 02152LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343244 | PA      | $613361.31    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   1530387 | PA      | $1421425.74   | 0.06%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                            | Energizer Holdings Inc                                                           | CUSIP: 29272WAC3<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    450000 | PA      | $433561.01    | 0.02%             | 2028-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259300 | PA      | $230999.30    | 0.01%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                          | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                   | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $558193.55    | 0.02%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2006-HE4                                  | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873088 | PA      | $433706.31    | 0.02%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL & GAS INC                            | Northern Oil & Gas Inc                                                           | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |    325000 | PA      | $320855.67    | 0.01%             | 2028-03-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XLII Ltd                                                    | CUSIP: 04965TAC5<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |  12131250 | PA      | $3311346.00   | 0.14%             | 2047-11-21      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963000 | PA      | $967622.50    | 0.04%             | 2063-10-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2264500 | PA      | $1777554.37   | 0.08%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                             | Civitas Resources Inc                                                            | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    325000 | PA      | $313234.29    | 0.01%             | 2030-11-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                          | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7829083 | PA      | $2405239.09   | 0.10%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                               | Axon Enterprise Inc                                                              | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    125000 | PA      | $127403.38    | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE                          | Perrigo Finance Unlimited Co                                                     | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |    950000 | PA      | $943011.71    | 0.04%             | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                              | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1579000 | PA      | $1600024.39   | 0.07%             | 2064-10-25      | Variable      | 8.21%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                     | Citicorp Mortgage Securities Trust Series 2007-9                                 | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1473149 | PA      | $1370192.22   | 0.06%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-31                                          | CUSIP: 126694UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    729870 | PA      | $635123.64    | 0.03%             | 2036-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4058860 | PA      | $3470984.28   | 0.15%             | 2059-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                    | Banc of America Mortgage 2005-I Trust                                            | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224812 | PA      | $207628.91    | 0.01%             | 2035-10-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258052 | PA      | $196409.03    | 0.01%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2004-4                                                 | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537774 | PA      | $2249233.53   | 0.10%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS                            | Adient Global Holdings Ltd                                                       | CUSIP: 00687YAC9<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    450000 | PA      | $445475.51    | 0.02%             | 2031-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                | Kennedy-Wilson Inc                                                               | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |    675000 | PA      | $595215.00    | 0.03%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109698 | PA      | $96120.52     | 0.00%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810100 | PA      | $804703.03    | 0.04%             | 2063-10-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908499 | PA      | $727311.29    | 0.03%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    869777 | PA      | $404224.64    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5490556 | PA      | $5488250.44   | 0.24%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin                    | Pagaya AI Technology in Housing Trust 2023-1                                     | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2461112.10   | 0.11%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FFY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012818 | PA      | $699593.30    | 0.03%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3694730.50   | 0.16%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                             | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    175000 | PA      | $171155.25    | 0.01%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| iShares MBS ETF                                   | iShares MBS ETF                                                                  | CUSIP: 464288588<br>LEI: 549300M0TH0IE2E6RP07 | Long             | EC               | RF                | US        |   1400000 | NS      | $131306000.00 | 5.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-AR1                                           | CUSIP: 17307G3A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5447 | PA      | $1909.33      | 0.00%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345800 | PA      | $309202.19    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                  | TriNet Group Inc                                                                 | CUSIP: 896288AC1<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |    925000 | PA      | $941499.23    | 0.04%             | 2031-08-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/VM HOLDS                           | VistaJet Malta Finance PLC / Vista Management Holding Inc                        | CUSIP: 92841HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    475000 | PA      | $463975.63    | 0.02%             | 2028-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1044124 | PA      | $1088339.82   | 0.05%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377436 | PA      | $457463.80    | 0.02%             | 2036-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3943262.40   | 0.17%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                    | IndyMac IMSC Mortgage Loan Trust 2007-F2                                         | CUSIP: 45670JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723242 | PA      | $496401.23    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETSMART INC/PETSMART FI                          | PetSmart Inc / PetSmart Finance Corp                                             | CUSIP: 71677KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $302697.07    | 0.01%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS                            | Adient Global Holdings Ltd                                                       | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    250000 | PA      | $236894.54    | 0.01%             | 2033-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412366 | PA      | $336742.77    | 0.01%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 94988U151<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |    122100 | NS      | $2315016.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-J2                                          | CUSIP: 12669GV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3864623 | PA      | $2466185.37   | 0.11%             | 2035-08-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                      | Novelis Corp                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    750000 | PA      | $647311.05    | 0.03%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945307 | PA      | $381903.53    | 0.02%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2880252 | PA      | $2760393.33   | 0.12%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2055938 | PA      | $2012549.10   | 0.09%             | 2060-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                            | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC            | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $649508.41    | 0.03%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626871 | PA      | $506691.50    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7024047 | PA      | $2730362.31   | 0.12%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22753 | PA      | $27191.78     | 0.00%             | 2036-01-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3991745 | PA      | $1444939.78   | 0.06%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                 | TRS LUMSTRUU INDEX                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $1331310.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2020-4 LLC                                                                  | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2554037 | PA      | $2552530.15   | 0.11%             | 2025-10-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                             | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1548000 | PA      | $1537415.86   | 0.07%             | 2039-04-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Invesco Preferred ETF                             | Invesco Preferred ETF                                                            | CUSIP: 46138E511<br>LEI: 549300J11Q08WEERN210 | Long             | EC               | RF                | US        |   3482215 | NS      | $38408831.45  | 1.67%             |  |  |  | No            |                  1 | On Loan: No      |
| APS RESECURITIZATION TRUST                        | APS Resecuritization Trust 2016-1                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13931180 | PA      | $5178868.88   | 0.23%             | 2057-07-31      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22683223 | PA      | $798866.83    | 0.03%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403400 | PA      | $362046.13    | 0.02%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2216500 | PA      | $2088233.14   | 0.09%             | 2063-10-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| SPDR Bloomberg Convertible Securities ETF         | SPDR Bloomberg Convertible Securities ETF                                        | CUSIP: 78464A359<br>LEI: 549300IXKU3G7R6DMX93 | Long             | EC               | RF                | US        |   1115770 | NS      | $86505648.10  | 3.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365300 | PA      | $306267.99    | 0.01%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| EVERGREEN ACQCO/TVI INC                           | Evergreen Acqco 1 LP / TVI Inc                                                   | CUSIP: 30015DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    684000 | PA      | $706199.22    | 0.03%             | 2028-04-26      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93935BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3594986 | PA      | $788371.10    | 0.03%             | 2036-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2006-2                                              | CUSIP: 80556XAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4213394 | PA      | $3127795.42   | 0.14%             | 2036-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177805.95    | 0.01%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914036 | PA      | $819224.97    | 0.04%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47350000 | PA      | $37700588.01  | 1.64%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                    | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2582143 | PA      | $877879.45    | 0.04%             | 2057-08-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1625034 | PA      | $1176237.43   | 0.05%             | 2051-05-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| VERITIV OPERATING CO                              | Veritiv Operating Co                                                             | CUSIP: 92339LAA0<br>LEI: 5493004G8OK5L1UTIY12 | Long             | DBT              | CORP              | US        |    125000 | PA      | $130568.63    | 0.01%             | 2030-11-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                    | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R3    | CUSIP: 03072SA54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4187662.50   | 0.18%             | 2035-05-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1718741 | PA      | $757567.92    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKET SOFTWARE INC                               | Rocket Software Inc                                                              | CUSIP: 77314EAB4<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |    950000 | PA      | $978824.90    | 0.04%             | 2028-11-28      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3126725 | PA      | $1654911.93   | 0.07%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                               | CBAM 2019-10 Ltd                                                                 | CUSIP: 12482QAC8<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | KY        |  17550000 | PA      | $3785359.50   | 0.16%             | 2032-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-S2                                      | CUSIP: 16163EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5311839 | PA      | $2861168.80   | 0.12%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | Iron Mountain Inc                                                                | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    850000 | PA      | $823705.17    | 0.04%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                            | Mauser Packaging Solutions Holding Co                                            | CUSIP: 57763RAC1<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    850000 | PA      | $779888.26    | 0.03%             | 2027-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1706380 | PA      | $722763.60    | 0.03%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                    | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3126694.23   | 0.14%             | 2065-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                                    | Owens-Brockway Glass Container Inc                                               | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    925000 | PA      | $918568.35    | 0.04%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-12                                    | CUSIP: 23242EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1783708 | PA      | $1753220.67   | 0.08%             | 2037-01-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2017-2 Trust                                                                | CUSIP: 12651N106<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3014310 | PA      | $2636083.81   | 0.11%             | 2047-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                            | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1620650.26   | 0.07%             | N/A             | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                          | Clear Channel Outdoor Holdings Inc                                               | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $437529.29    | 0.02%             | 2027-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                     | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24458200 | PA      | $5280963.21   | 0.23%             | 2038-02-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872776 | PA      | $336941.43    | 0.01%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR4 Trust                                             | CUSIP: 74332XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4751000 | PA      | $4795743.49   | 0.21%             | 2041-05-17      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BUA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94763 | PA      | $76844.12     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48055000 | PA      | $39930701.56  | 1.74%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                    | Structured Asset Investment Loan Trust 2005-9                                    | CUSIP: 86358EYG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4524992 | PA      | $3960074.15   | 0.17%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                        | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100367.05    | 0.00%             | 2031-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OA14                                                 | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3001474 | PA      | $2402461.74   | 0.10%             | 2046-11-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                            | Mauser Packaging Solutions Holding Co                                            | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75198.01     | 0.00%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $478554.32    | 0.02%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2023-SFR1 Trust                                             | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $933087.55    | 0.04%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       330 | PA      | $324.88       | 0.00%             | 2063-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3041340 | PA      | $1684671.52   | 0.07%             | 2060-12-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| MATIV HOLDINGS INC                                | Mativ Holdings Inc                                                               | CUSIP: 808541AC0<br>LEI: 549300Z1FU4IDULG1R21 | Long             | DBT              | CORP              | US        |    300000 | PA      | $249387.54    | 0.01%             | 2029-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                            | Edgewell Personal Care Co                                                        | CUSIP: 28035QAB8<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    432000 | PA      | $403772.56    | 0.02%             | 2029-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AZORRA FINANCE                                    | Azorra Finance Ltd                                                               | CUSIP: 05480AAA3<br>LEI: 254900MC1HXDAVUUP395 | Long             | DBT              | CORP              | KY        |    450000 | PA      | $446526.00    | 0.02%             | 2030-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                             | Williams Scotsman Inc                                                            | CUSIP: 96949VAM5<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |    325000 | PA      | $329348.83    | 0.01%             | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                     | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2                   | CUSIP: 52521VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2564393.70   | 0.11%             | 2037-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                     | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                   | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3055827.24   | 0.13%             | 2037-10-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust 2006-FF8                                      | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9145217 | PA      | $7623653.72   | 0.33%             | 2036-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                           | Zayo Group Holdings Inc                                                          | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |    775000 | PA      | $713768.10    | 0.03%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                          | California Buyer Ltd / Atlantica Sustainable Infrastructure PLC                  | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    650000 | PA      | $638592.24    | 0.03%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782700 | PA      | $683226.50    | 0.03%             | 2063-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                             | American Airlines Inc                                                            | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    650000 | PA      | $662476.04    | 0.03%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208051 | PA      | $134787.46    | 0.01%             | 2037-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QA12 Trust                                                      | CUSIP: 761118NB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1188987 | PA      | $1021303.37   | 0.04%             | 2035-12-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAS6<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499440.95    | 0.02%             | 2025-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                     | ZF North America Capital Inc                                                     | CUSIP: 98877DAE5<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    700000 | PA      | $644004.18    | 0.03%             | 2030-04-14      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-WMC2                                   | CUSIP: 46628TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204106 | PA      | $85308.92     | 0.00%             | 2036-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                    | RASC Series 2005-KS10 Trust                                                      | CUSIP: 75405WAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3825000 | PA      | $3233579.27   | 0.14%             | 2035-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                       | MetLife Inc                                                                      | CUSIP: 59156R850<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EP               | CORP              | US        |     27600 | NS      | $540408.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2007-1                                                   | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930126 | PA      | $2660082.07   | 0.12%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                    | Gray Media Inc                                                                   | CUSIP: 389375AM8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    400000 | PA      | $410592.80    | 0.02%             | 2029-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3965820.00   | 0.17%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390835 | PA      | $912434.33    | 0.04%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AJAXM_21-F                                        | AJAXM_21-F                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7507 | PA      | $7281.79      | 0.00%             | 2061-06-27      | Fixed         | 0.01%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2376358 | PA      | $1735735.63   | 0.08%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3453061 | PA      | $2726049.39   | 0.12%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                    | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1952130.00   | 0.08%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                    | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2890322 | PA      | $975125.63    | 0.04%             | 2046-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                        | Terex Corp                                                                       | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    225000 | PA      | $215334.72    | 0.01%             | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                     | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2                   | CUSIP: 52521VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108444 | PA      | $107597.19    | 0.00%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                  | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124662.79    | 0.01%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OA14                                                 | CUSIP: 02146SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    709562 | PA      | $644174.20    | 0.03%             | 2046-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JAGUAR LAND ROVER AUTOMO                          | Jaguar Land Rover Automotive PLC                                                 | CUSIP: 47010BAM6<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |    675000 | PA      | $647012.00    | 0.03%             | 2029-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                           | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    741000 | PA      | $786782.69    | 0.03%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                       | CUSIP: 902973734<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |     28500 | NS      | $435480.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-OA5                                         | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571376 | PA      | $1473301.74   | 0.06%             | 2046-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO II Ltd                                                                | CUSIP: 77587FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $291318.00    | 0.01%             | 2031-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                         | Olin Corp                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |    475000 | PA      | $450704.70    | 0.02%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                             | Williams Scotsman Inc                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |    375000 | PA      | $381791.33    | 0.02%             | 2030-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997664 | PA      | $868108.84    | 0.04%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE                     | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3429185 | PA      | $3295158.59   | 0.14%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6171634 | PA      | $1661825.36   | 0.07%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                               | Churchill Downs Inc                                                              | CUSIP: 171484AG3<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    650000 | PA      | $643708.20    | 0.03%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848058 | PA      | $712972.71    | 0.03%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-SPT1 Trust                                                             | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $1999628.40   | 0.09%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-WF1                                    | CUSIP: 46628SAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102098 | PA      | $26929.02     | 0.00%             | 2036-07-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3151368 | PA      | $2948315.16   | 0.13%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2434302 | PA      | $2473973.16   | 0.11%             | 2063-10-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4054190 | PA      | $3352684.95   | 0.15%             | 2047-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-HE1                            | CUSIP: 0738796S2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2483026 | PA      | $2383025.40   | 0.10%             | 2035-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                    | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4604505 | PA      | $1679516.32   | 0.07%             | 2057-11-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM7 Trust                                                             | CUSIP: 36167YAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3437000 | PA      | $2924704.84   | 0.13%             | 2066-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                            | Lumen Technologies Inc                                                           | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399000.00    | 0.02%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640986 | PA      | $559632.85    | 0.02%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust 2003-FF4                                      | CUSIP: 32027NDU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1063866 | PA      | $1038628.98   | 0.05%             | 2033-10-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2007-BC2                                   | CUSIP: 12669QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819998 | PA      | $383835.69    | 0.02%             | 2037-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR11 Trust                                            | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2403111.25   | 0.10%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128235 | PA      | $629811.59    | 0.03%             | 2050-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H                    | Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1          | CUSIP: 04541GVM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6035494 | PA      | $5297153.67   | 0.23%             | 2036-01-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999392 | PA      | $892476.94    | 0.04%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                     | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658238 | PA      | $303401.80    | 0.01%             | 2039-05-28      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4786012.00   | 0.21%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2005-RP1                                               | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2416257 | PA      | $2085405.57   | 0.09%             | 2035-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16455954 | PA      | $306845.94    | 0.01%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                 | Iliad Holding SASU                                                               | CUSIP: 449691AG9<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $253407.95    | 0.01%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417400 | PA      | $351607.66    | 0.02%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                          | Organon & Co / Organon Foreign Debt Co-Issuer BV                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | PA      | $902302.43    | 0.04%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2095221 | PA      | $2065674.18   | 0.09%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47000000 | PA      | $34980117.07  | 1.52%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| iShares J.P. Morgan USD Emerging Markets Bond ETF | iShares J.P. Morgan USD Emerging Markets Bond ETF                                | CUSIP: 464288281<br>LEI: 54930070R8WH6MNUJG74 | Long             | EC               | RF                | US        |   2061297 | NS      | $185434278.12 | 8.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2944910 | PA      | $2240264.53   | 0.10%             | 2051-12-26      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                    | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $514348.00    | 0.02%             | 2025-12-10      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2007-3                                                    | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184449 | PA      | $162590.64    | 0.01%             | 2047-05-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                          | LCM Investments Holdings II LLC                                                  | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313766.70    | 0.01%             | 2031-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                          | Fortress Transportation and Infrastructure Investors LLC                         | CUSIP: 34960PAF8<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305034.60    | 0.01%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656405 | PA      | $520679.63    | 0.02%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MMDA OVERNIGHT SWEEP                              | MMDA OVERNIGHT SWEEP                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 105624289 | NS      | $105624289.00 | 4.60%             |  |  |  | No            |                  1 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7735928 | PA      | $5806280.27   | 0.25%             | 2037-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-1                                                | CUSIP: 92537QAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3162000 | PA      | $2371211.94   | 0.10%             | 2066-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-OA2                                                 | CUSIP: 3622NCAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7535680 | PA      | $4412379.56   | 0.19%             | 2047-06-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2795119.50   | 0.12%             | 2041-02-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSR TR                          | Midcap Financial Issuer Trust                                                    | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    825000 | PA      | $787569.09    | 0.03%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GQY7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     78871 | PA      | $74017.25     | 0.00%             | 2035-05-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                              | WR Grace Holdings LLC                                                            | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    400000 | PA      | $354378.94    | 0.02%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-69                                                   | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45505 | PA      | $39684.38     | 0.00%             | 2035-12-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7008704 | PA      | $7001954.57   | 0.30%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2023-4                                    | CUSIP: 92259HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771725 | PA      | $739088.93    | 0.03%             | 2053-11-25      | Variable      | 10.72%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3112610 | PA      | $87886.10     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1992294 | PA      | $1608478.06   | 0.07%             | 2047-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                          | KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc            | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $383625.38    | 0.02%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268851 | PA      | $205757.83    | 0.01%             | 2036-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2023-SFR2 Trust                                                             | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1660193.46   | 0.07%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                | Seagate HDD Cayman                                                               | CUSIP: 81180WBM2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    631125 | PA      | $712302.18    | 0.03%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41315000 | PA      | $35885950.78  | 1.56%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                          | Univision Communications Inc                                                     | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    750000 | PA      | $728510.55    | 0.03%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                          | Fortress Transportation and Infrastructure Investors LLC                         | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    700000 | PA      | $709312.10    | 0.03%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2895846 | PA      | $2885368.97   | 0.13%             | 2051-12-26      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                    | GMACM Home Equity Loan Trust 2005-HE3                                            | CUSIP: 361856EJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266212 | PA      | $258815.35    | 0.01%             | 2036-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BB77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395367 | PA      | $362433.23    | 0.02%             | 2036-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo                    | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041828 | PA      | $1002176.29   | 0.04%             | 2040-12-28      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24987651 | PA      | $1115181.38   | 0.05%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46350000 | PA      | $37023872.93  | 1.61%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-25                                                   | CUSIP: 02151UAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3446098 | PA      | $1534986.89   | 0.07%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 510 Loan Acquisition Trust                        | 510 Loan Acquisition Trust 2020-1                                                | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2573959 | PA      | $2535349.62   | 0.11%             | 2060-09-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                    | Ellington Financial Mortgage Trust 2017-1                                        | CUSIP: 31574XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2797000 | PA      | $1982820.99   | 0.09%             | 2066-02-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                           | Allied Universal Holdco LLC                                                      | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    925000 | PA      | $944758.55    | 0.04%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W5      | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4736146 | PA      | $4731248.75   | 0.21%             | 2036-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    950000 | PA      | $943420.11    | 0.04%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730051 | PA      | $579015.14    | 0.03%             | 2037-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                       | CHNGE Mortgage Trust 2022-1                                                      | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1013096 | PA      | $957794.18    | 0.04%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FRTKL                                             | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1415900.10   | 0.06%             | 2038-09-17      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78500000 | PA      | $57390859.38  | 2.50%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2                      | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338327 | PA      | $1081865.17   | 0.05%             | 2037-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47300000 | PA      | $34283261.84  | 1.49%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3728943.60   | 0.16%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                          | LCM Investments Holdings II LLC                                                  | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |    925000 | PA      | $874470.49    | 0.04%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925612 | PA      | $854458.54    | 0.04%             | 2037-01-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                              | Chart Industries Inc                                                             | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    400000 | PA      | $414995.38    | 0.02%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                    | Public Storage                                                                   | CUSIP: 74460W487<br>LEI: 254900GLQZAD4N7N5Q19 | Long             | EP               | CORP              | US        |     31500 | NS      | $504315.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-2                                            | CUSIP: 07324YAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693630 | PA      | $653785.15    | 0.03%             | 2036-07-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                           | Starwood Property Trust Inc                                                      | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    250000 | PA      | $259256.17    | 0.01%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498700 | PA      | $1505559.10   | 0.07%             | 2064-06-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| BRINK'S CO/THE                                    | Brink's Co/The                                                                   | CUSIP: 109696AD6<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |    750000 | PA      | $767689.50    | 0.03%             | 2032-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5343614 | PA      | $5161114.55   | 0.22%             | 2061-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                            | CUSIP: 527298BX0<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    650000 | PA      | $719702.46    | 0.03%             | 2029-04-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13678252 | PA      | $13784607.13  | 0.60%             | 2064-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                           | Fremont Home Loan Trust 2005-D                                                   | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1438388 | PA      | $1302014.55   | 0.06%             | 2035-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383175 | PA      | $566357.73    | 0.02%             | 2037-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2005-F Trust                                             | CUSIP: 05946XZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66646 | PA      | $57587.45     | 0.00%             | 2035-09-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                    | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600957 | PA      | $523533.99    | 0.02%             | 2037-07-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74000000 | PA      | $74575234.56  | 3.25%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust Series 2007-FF2                               | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3209819 | PA      | $1488379.94   | 0.06%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61762V606<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |     38900 | NS      | $883030.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2617474 | PA      | $1251920.68   | 0.05%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2684362 | PA      | $1718060.21   | 0.07%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                      | MERIT Securities Corp                                                            | CUSIP: 589962CW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1820293 | PA      | $1745124.08   | 0.08%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                            | Resorts World Las Vegas LLC / RWLV Capital Inc                                   | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $602224.85    | 0.03%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                                    | Dcli Bidco LLC                                                                   | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |    250000 | PA      | $232880.05    | 0.01%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                               | NCL Corp Ltd                                                                     | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    275000 | PA      | $268520.87    | 0.01%             | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470RT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5612855 | PA      | $2993601.17   | 0.13%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42400000 | PA      | $36671031.14  | 1.60%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A7CB                                 | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642804 | PA      | $104020.82    | 0.00%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| VICTRA HLDG/VICTRA FIN                            | Victra Holdings LLC / Victra Finance Corp                                        | CUSIP: 92648DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $608889.60    | 0.03%             | 2029-09-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SO                          | Global Infrastructure Solutions Inc                                              | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |    722000 | PA      | $686602.00    | 0.03%             | 2029-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                     | American Home Mortgage Assets Trust 2007-3                                       | CUSIP: 026935AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765207 | PA      | $678046.59    | 0.03%             | 2037-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ROCKET SOFTWARE INC                               | Rocket Software Inc                                                              | CUSIP: 77314EAA6<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $998727.14    | 0.04%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-2                                                | CUSIP: 92539UAF7<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $993960.40    | 0.04%             | 2069-02-25      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR2 Trust                                                   | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2553000 | PA      | $2482995.46   | 0.11%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4670352.50   | 0.20%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                     | Citicorp Mortgage Securities Trust Series 2008-2                                 | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1744013 | PA      | $1441075.38   | 0.06%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                    | RASC Series 2006-KS4 Trust                                                       | CUSIP: 75406EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420247 | PA      | $1390790.92   | 0.06%             | 2036-06-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                          | Standard Building Solutions Inc                                                  | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    800000 | PA      | $809962.93    | 0.04%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                          | Clarios Global LP / Clarios US Finance Co                                        | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    125000 | PA      | $127162.50    | 0.01%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72131 | PA      | $46154.25     | 0.00%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2015-4R                                                              | CUSIP: 12650BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4504668 | PA      | $3054852.92   | 0.13%             | 2036-10-27      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                           | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    675000 | PA      | $699457.24    | 0.03%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1078510 | PA      | $1088300.94   | 0.05%             | 2064-06-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208331 | PA      | $167880.73    | 0.01%             | 2049-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-SEA1                                 | CUSIP: 61757MAC2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |   1243581 | PA      | $1161850.37   | 0.05%             | 2047-02-25      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC/FIN                           | Shift4 Payments LLC / Shift4 Payments Finance Sub Inc                            | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $633904.48    | 0.03%             | 2032-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                                    | Owens-Brockway Glass Container Inc                                               | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    350000 | PA      | $349118.24    | 0.02%             | 2027-05-13      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                         | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    775000 | PA      | $738282.45    | 0.03%             | 2027-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871700 | PA      | $856912.13    | 0.04%             | 2065-01-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                     | Bear Stearns Mortgage Funding Trust 2006-SL1                                     | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435209 | PA      | $427140.24    | 0.02%             | 2036-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                         | HSI Asset Loan Obligation Trust 2007-WF1                                         | CUSIP: 40431KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4313344 | PA      | $1422598.77   | 0.06%             | 2036-12-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                          | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    925000 | PA      | $895676.48    | 0.04%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                   | ERO Copper Corp                                                                  | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |    900000 | PA      | $867630.09    | 0.04%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-7F                                                  | CUSIP: 36298NAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2485561 | PA      | $641383.39    | 0.03%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                              | Neptune Bidco US Inc                                                             | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    350000 | PA      | $311500.00    | 0.01%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| BARC_22-RPL1                                      | BARC_22-RPL1                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2633 | PA      | $2554.01      | 0.00%             | 2028-02-25      | Fixed         | 0.01%                 | No            |                  3 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                          | Olympus Water US Holding Corp                                                    | CUSIP: 25259KAA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    900000 | PA      | $937762.20    | 0.04%             | 2028-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2024-NQM7                                        | CUSIP: 105698AG9<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1485168.45   | 0.06%             | 2064-10-27      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827000 | PA      | $671248.53    | 0.03%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2005-12                                                   | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472459 | PA      | $423702.52    | 0.02%             | 2036-02-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                             | Western Alliance Bank                                                            | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   1577897 | PA      | $1635103.73   | 0.07%             | 2059-07-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273000 | PA      | $233286.88    | 0.01%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                        | DaVita Inc                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    575000 | PA      | $580569.45    | 0.03%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                         | CUSIP: 44106MBB7<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    800000 | PA      | $627859.33    | 0.03%             | 2029-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2023-SFR2 Trust                                                             | CUSIP: 00178YAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2230000 | PA      | $1969804.05   | 0.09%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | TRK 2021-INV1 Trust                                                              | CUSIP: 89688WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $2902829.25   | 0.13%             | 2056-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                            | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1053895.50   | 0.05%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 103400000 | PA      | $55121086.20  | 2.40%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                    | Structured Asset Investment Loan Trust 2005-HE1                                  | CUSIP: 86358EUX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4394635 | PA      | $3002642.42   | 0.13%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3373862 | PA      | $2889407.32   | 0.13%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2680000 | PA      | $2698295.02   | 0.12%             | 2068-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-OA4                                         | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9718097 | PA      | $2594615.32   | 0.11%             | 2046-04-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757900 | PA      | $738975.99    | 0.03%             | 2065-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2296430 | PA      | $1598647.54   | 0.07%             | 2051-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1859425 | PA      | $2159413.08   | 0.09%             | 2037-05-26      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1819170 | PA      | $1515412.77   | 0.07%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6444520 | PA      | $2792184.94   | 0.12%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                              | OneMain Finance Corp                                                             | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    325000 | PA      | $310683.75    | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                          | Builders FirstSource Inc                                                         | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    575000 | PA      | $517851.79    | 0.02%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2024-NQM7                                        | CUSIP: 105698AH7<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1477786.95   | 0.06%             | 2064-10-27      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                            | WESCO Distribution Inc                                                           | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    450000 | PA      | $455224.95    | 0.02%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                              | Range Resources Corp                                                             | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    525000 | PA      | $537649.44    | 0.02%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2004-36CB                                                 | CUSIP: 12667FR23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269909 | PA      | $192082.58    | 0.01%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032165 | PA      | $551504.12    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/VM HOLDS                           | VistaJet Malta Finance PLC / Vista Management Holding Inc                        | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    525000 | PA      | $453266.99    | 0.02%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-SA3 Trust                                                      | CUSIP: 749575AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71054 | PA      | $36764.25     | 0.00%             | 2036-09-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| ONT GAMING GTA/OTG CO-IS                          | Ontario Gaming GTA LP/OTG Co-Issuer Inc                                          | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    850000 | PA      | $817878.84    | 0.04%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1389444 | PA      | $1183707.67   | 0.05%             | 2046-11-20      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                    | Residential Mortgage Loan Trust 2020-2                                           | CUSIP: 76123MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3621640.13   | 0.16%             | 2060-05-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-79CB                                                 | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698313 | PA      | $808216.70    | 0.04%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | Countrywide Asset-Backed Certificates                                            | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2726916 | PA      | $2342746.41   | 0.10%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12666TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822356 | PA      | $796537.05    | 0.03%             | 2035-12-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                           | HomeBanc Mortgage Trust 2006-1                                                   | CUSIP: 43739ECN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131003 | PA      | $120036.19    | 0.01%             | 2037-04-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES                                 | Amsted Industries Inc                                                            | CUSIP: 032177AK3<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200900.60    | 0.01%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                  | RCO VII Mortgage LLC 2024-1                                                      | CUSIP: 754921AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389866 | PA      | $1396701.86   | 0.06%             | 2029-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    300000 | PA      | $304496.25    | 0.01%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1804989 | PA      | $1378998.27   | 0.06%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2023-4                                    | CUSIP: 92259HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2978295 | PA      | $3030824.82   | 0.13%             | 2053-11-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                           | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    600000 | PA      | $606393.07    | 0.03%             | 2028-02-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                             | Icahn Enterprises LP / Icahn Enterprises Finance Corp                            | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $330602.27    | 0.01%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $696053.82    | 0.03%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Corp                                                      | CUSIP: 16163YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000991 | PA      | $1787436.97   | 0.08%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1192440 | PA      | $1022254.95   | 0.04%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/VM HOLDS                           | VistaJet Malta Finance PLC / Vista Management Holding Inc                        | CUSIP: 92840JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    650000 | PA      | $631237.56    | 0.03%             | 2027-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680300 | PA      | $1560347.75   | 0.07%             | 2065-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                             | CUSIP: 393505B27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    755605 | PA      | $760577.61    | 0.03%             | 2028-12-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-J1                                                   | CUSIP: 02149MCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93197 | PA      | $149431.40    | 0.01%             | 2036-11-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4884740 | PA      | $4049440.67   | 0.18%             | 2036-12-26      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE                     | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4258367 | PA      | $2737874.14   | 0.12%             | 2031-09-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863704 | PA      | $1320140.95   | 0.06%             | 2051-08-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| SIGMA HOLDCO BV                                   | Sigma Holdco BV                                                                  | CUSIP: 82660CAA0<br>LEI: 254900RAPCKVT00GAO59 | Long             | DBT              | CORP              | NL        |    260000 | PA      | $257414.25    | 0.01%             | 2026-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                             | Caesars Entertainment Inc                                                        | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    650000 | PA      | $653404.70    | 0.03%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1333665 | PA      | $1031547.95   | 0.04%             | 2035-11-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867065 | PA      | $694533.09    | 0.03%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                          | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp               | CUSIP: 505742AR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $308250.02    | 0.01%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                          | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2901568 | PA      | $2846868.39   | 0.12%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579RP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924752 | PA      | $742551.78    | 0.03%             | 2035-05-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748684 | PA      | $358928.97    | 0.02%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2017-D                                                  | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1179 | PA      | $407.35       | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    407000 | PA      | $408120.43    | 0.02%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINME                             | Six Flags Entertainment Corp                                                     | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |    625000 | PA      | $633582.59    | 0.03%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-21                                          | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299443 | PA      | $575655.62    | 0.03%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3737913 | PA      | $3034873.22   | 0.13%             | 2051-10-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2008-AR1 Trust                            | CUSIP: 94985QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880339 | PA      | $726366.95    | 0.03%             | 2038-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                          | PM General Purchaser LLC                                                         | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $482713.30    | 0.02%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-NC2                                      | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3574894 | PA      | $3313957.85   | 0.14%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4368445 | PA      | $4152259.00   | 0.18%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ENDO FINANCE HOLDINGS                             | Endo Finance Holdings Inc                                                        | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $285927.13    | 0.01%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| TVC DSCR_21-1: CERT                               | TVC DSCR_21-1: CERT                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322747 | PA      | $1138231.00   | 0.05%             | 2051-02-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  66000000 | PA      | $49309219.08  | 2.15%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-AR3                                           | CUSIP: 17306SAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43955 | PA      | $41845.84     | 0.00%             | 2036-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                          | Ascent Resources Utica Holdings LLC / ARU Finance Corp                           | CUSIP: 04364VAX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $296853.06    | 0.01%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1605800 | PA      | $1178972.26   | 0.05%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3927445 | PA      | $3008881.11   | 0.13%             | 2046-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust 2006-FFH1                                     | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4442689 | PA      | $3943215.10   | 0.17%             | 2036-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3404 | PA      | $3214.54      | 0.00%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                            | Patrick Industries Inc                                                           | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388331.40    | 0.02%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2020-NQM1                                    | CUSIP: 64830VAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1389000 | PA      | $1174263.93   | 0.05%             | 2060-01-26      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559577 | PA      | $525213.02    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                             | Caesars Entertainment Inc                                                        | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    450000 | PA      | $460639.48    | 0.02%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRS                                  | Insight Enterprises Inc                                                          | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608702.40    | 0.03%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                             | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAD9<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    275000 | PA      | $286715.61    | 0.01%             | 2029-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                 | CUSIP: 12543DBH2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    750000 | PA      | $698676.27    | 0.03%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                    | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                        | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3857737 | PA      | $1701902.67   | 0.07%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COTY/HFC PRESTIGE/INT US                          | Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC             | CUSIP: 22207AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $751825.50    | 0.03%             | 2030-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2006-SP3 Trust                                                       | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144319 | PA      | $1084113.51   | 0.05%             | 2036-08-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $683218.79    | 0.03%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-42CB                                                 | CUSIP: 12667G4S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4354166 | PA      | $2482190.57   | 0.11%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    275000 | PA      | $272886.35    | 0.01%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                            | Acrisure LLC / Acrisure Finance Inc                                              | CUSIP: 00489LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $852643.83    | 0.04%             | 2029-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4683373 | PA      | $461354.89    | 0.02%             | 2035-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                     | Aegis Asset Backed Sec Corp Mort Pass Thr Certs Series 2003-3                    | CUSIP: 00764MAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141911 | PA      | $141324.19    | 0.01%             | 2034-01-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OA21                                                 | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2119111 | PA      | $1767614.83   | 0.08%             | 2047-03-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                    | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3011448.00   | 0.13%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                      | JELD-WEN Inc                                                                     | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |    450000 | PA      | $415641.42    | 0.02%             | 2027-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                     | EchoStar Corp                                                                    | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    500000 | PA      | $466036.40    | 0.02%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  81560000 | PA      | $39674479.48  | 1.73%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                  | Boyd Gaming Corp                                                                 | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    925000 | PA      | $862363.63    | 0.04%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1965631 | PA      | $1202914.14   | 0.05%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                    | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $655508.57    | 0.03%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Irwin Home Equity                                 | Irwin Home Equity Loan Trust 2006-3                                              | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136554 | PA      | $137200.21    | 0.01%             | 2037-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin                    | Greenpoint Manufactured Housing                                                  | CUSIP: 395386AY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4585901 | PA      | $1607412.49   | 0.07%             | 2031-06-20      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74000000 | PA      | $74125742.28  | 3.23%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2014-2R                                                              | CUSIP: 12648EFN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1827181 | PA      | $1632846.94   | 0.07%             | 2037-04-27      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                    | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                        | CUSIP: 933631AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1517002 | PA      | $669747.70    | 0.03%             | 2037-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo                    | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496056 | PA      | $495777.71    | 0.02%             | 2040-12-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3372394 | PA      | $1712435.13   | 0.07%             | 2035-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                          | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp               | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $646119.99    | 0.03%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                    | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461236 | PA      | $178576.14    | 0.01%             | 2022-09-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 Trust | CUSIP: 93935FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043787 | PA      | $561620.66    | 0.02%             | 2046-08-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1570205 | PA      | $1581526.01   | 0.07%             | 2065-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                          | Ascent Resources Utica Holdings LLC / ARU Finance Corp                           | CUSIP: 04364VAR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $303082.50    | 0.01%             | 2028-12-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                     | DISH DBS Corp                                                                    | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $297404.06    | 0.01%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  90726676 | PA      | $985409.65    | 0.04%             | 2051-12-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                              | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1862977 | PA      | $1733453.96   | 0.08%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2021-NQM2                                        | CUSIP: 10569EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2501000 | PA      | $2307980.57   | 0.10%             | 2060-03-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-9                                            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4768844 | PA      | $1489165.14   | 0.06%             | 2036-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-A3                            | CUSIP: 59023CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488283 | PA      | $315523.18    | 0.01%             | 2036-05-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization                    | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11183346 | PA      | $1597412.43   | 0.07%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OC3                                                  | CUSIP: 021464AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1542301 | PA      | $1402481.21   | 0.06%             | 2046-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2199685 | PA      | $899309.78    | 0.04%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities Trust 2006-SD1                              | CUSIP: 07384YVJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4849879.79   | 0.21%             | 2036-04-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-OH2                                                  | CUSIP: 02151RAC7<br>LEI: 549300QKXMAFE33VN106 | Long             | ABS-MBS          | CORP              | US        |    796262 | PA      | $688431.14    | 0.03%             | 2047-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                             | Civitas Resources Inc                                                            | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    325000 | PA      | $315567.98    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                            | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $683102.00    | 0.03%             | 2028-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2807375 | PA      | $1187000.74   | 0.05%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    873700 | PA      | $839587.96    | 0.04%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                           | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5709581.40   | 0.25%             | 2037-10-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                          | Clear Channel Outdoor Holdings Inc                                               | CUSIP: 18453HAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $425190.20    | 0.02%             | 2030-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| RAISING CANE'S RESTAURAN                          | Raising Cane's Restaurants LLC                                                   | CUSIP: 75103AAA3<br>LEI: 254900V6ADXFWHYOED66 | Long             | DBT              | CORP              | US        |    554000 | PA      | $587103.72    | 0.03%             | 2029-05-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85686345 | PA      | $2446730.74   | 0.11%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1424300 | PA      | $1352301.92   | 0.06%             | 2064-01-25      | Variable      | 8.69%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142369 | PA      | $821124.12    | 0.04%             | 2051-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3493034 | PA      | $3508567.54   | 0.15%             | 2053-05-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                        | Viasat Inc                                                                       | CUSIP: 92552VAK6<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499977.30    | 0.02%             | 2025-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                    | CWHEQ Revolving Home Equity Loan Trust Series 2006-C                             | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320622 | PA      | $316098.66    | 0.01%             | 2036-05-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                    | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1970905.86   | 0.09%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                           | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $628520.38    | 0.03%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5395518 | PA      | $5277979.68   | 0.23%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                    | New Century Home Equity Loan Trust Series 2005-C                                 | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5733185 | PA      | $4768916.96   | 0.21%             | 2035-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                             | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    700000 | PA      | $699023.36    | 0.03%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26961985 | PA      | $1208872.93   | 0.05%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FORTRESS INTERMEDIATE                             | Fortress Intermediate 3 Inc                                                      | CUSIP: 34966MAA0<br>LEI: 254900NLAZ3JQJW5JP75 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1073338.35   | 0.05%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                            | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    450000 | PA      | $463645.35    | 0.02%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                     | EchoStar Corp                                                                    | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    600000 | PA      | $634519.67    | 0.03%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                          | Boost Newco Borrower LLC                                                         | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |    575000 | PA      | $606772.20    | 0.03%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    650000 | PA      | $644503.73    | 0.03%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                              | LifePoint Health Inc                                                             | CUSIP: 53219LAY5<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    700000 | PA      | $713955.20    | 0.03%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1495433 | PA      | $1506177.87   | 0.07%             | 2065-01-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $964140.59    | 0.04%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2310117.12   | 0.10%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481800 | PA      | $423609.64    | 0.02%             | 2062-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9317615 | PA      | $9181510.55   | 0.40%             | 2037-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                    | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9752270 | PA      | $1435489.24   | 0.06%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184096 | PA      | $169403.65    | 0.01%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3100 | PA      | $2913.95      | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                            | Cloud Software Group Inc                                                         | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    400000 | PA      | $417247.20    | 0.02%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA3 Trust                                                      | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1518922 | PA      | $618049.44    | 0.03%             | 2035-08-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-4                                            | CUSIP: 41164YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1266551 | PA      | $1158237.18   | 0.05%             | 2047-07-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187900 | PA      | $1145114.69   | 0.05%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2279716 | PA      | $645674.03    | 0.03%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                    | Bombardier Inc                                                                   | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    475000 | PA      | $486331.13    | 0.02%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2017-5                                                  | CUSIP: 46590YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7682 | PA      | $7725.25      | 0.00%             | 2048-10-26      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP                           | Gulfport Energy Operating Corp                                                   | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    275000 | PA      | $271009.31    | 0.01%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                             | Western Alliance Bank                                                            | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   2220246 | PA      | $2304931.25   | 0.10%             | 2059-07-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3441696 | PA      | $3129483.60   | 0.14%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                               | Sirius XM Radio LLC                                                              | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    675000 | PA      | $634990.66    | 0.03%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $2844073.20   | 0.12%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-63                                                   | CUSIP: 12668AXL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67959 | PA      | $66395.66     | 0.00%             | 2035-12-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3613591 | PA      | $3070972.27   | 0.13%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                    | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    600000 | PA      | $595777.98    | 0.03%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC                             | SS&C Technologies Inc                                                            | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |    650000 | PA      | $646795.05    | 0.03%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18233563 | PA      | $1068647.25   | 0.05%             | 2064-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                    | Residential Mortgage Loan Trust 2021-1R                                          | CUSIP: 76090NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2814000 | PA      | $2450322.58   | 0.11%             | 2065-01-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8729191 | PA      | $8245863.26   | 0.36%             | 2062-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13185 | PA      | $10571.42     | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1995876 | PA      | $446498.94    | 0.02%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2022-SFR1                                    | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6249258.60   | 0.27%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    650000 | PA      | $613610.29    | 0.03%             | 2040-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755129 | PA      | $628052.08    | 0.03%             | 2048-10-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24809757 | PA      | $352534.24    | 0.02%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-25CB                                                 | CUSIP: 02147VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6820510 | PA      | $3536321.07   | 0.15%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402300 | PA      | $1422333.82   | 0.06%             | 2065-01-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $156125.88    | 0.01%             | 2065-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28584761 | PA      | $807105.01    | 0.04%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    817900 | PA      | $806043.39    | 0.04%             | 2064-12-26      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2007-1                                            | CUSIP: 007037AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1378526 | PA      | $897758.77    | 0.04%             | 2037-03-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                     | TransDigm Inc                                                                    | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    700000 | PA      | $727570.90    | 0.03%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS D                          | Axalta Coating Systems Dutch Holding B BV                                        | CUSIP: 05455JAA5<br>LEI: 5493007DMEBZH3CQ5E51 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $258867.50    | 0.01%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550606 | PA      | $1556423.89   | 0.07%             | 2064-01-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | TRK 2022-INV1 Trust                                                              | CUSIP: 872635AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3076380.00   | 0.13%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                   | AdaptHealth LLC                                                                  | CUSIP: 00653VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $630391.39    | 0.03%             | 2028-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2974279 | PA      | $3479966.47   | 0.15%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241259 | PA      | $930509.35    | 0.04%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52750000 | PA      | $37994423.96  | 1.65%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust Resecuritization 2006-22R                                 | CUSIP: 02147LAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852542 | PA      | $434772.88    | 0.02%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7627121 | PA      | $7342084.48   | 0.32%             | 2062-03-27      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BARC_21-NPL1                                      | BARC_21-NPL1                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2604 | PA      | $2525.88      | 0.00%             | 2051-11-27      | Fixed         | 0.01%                 | No            |                  3 | On Loan: No      |
| CIMPRESS PLC                                      | Cimpress PLC                                                                     | CUSIP: 17186HAH5<br>LEI: 549300X1IFD75XISOR81 | Long             | DBT              | CORP              | IE        |    700000 | PA      | $638697.78    | 0.03%             | 2032-09-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                         | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    350000 | PA      | $352845.08    | 0.02%             | 2027-07-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330578 | PA      | $117826.28    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2024-HB13 LLC                                                               | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1710213.80   | 0.07%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479765 | PA      | $447136.96    | 0.02%             | 2036-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $227209.79    | 0.01%             | 2065-05-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                     | MASTR Reperforming Loan Trust 2005-2                                             | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124778 | PA      | $1476402.54   | 0.06%             | 2035-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2012-RR3 Trust                                                          | CUSIP: 05539BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1471909 | PA      | $1064936.87   | 0.05%             | 2037-12-26      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-5                                                    | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7820561 | PA      | $2244877.07   | 0.10%             | 2036-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MAGNERA CORP                                      | Magnera Corp                                                                     | CUSIP: 55939AAA5<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |    650000 | PA      | $614659.50    | 0.03%             | 2031-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                     | Mastr Asset Backed Securities Trust 2007-NCW                                     | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1083132 | PA      | $954939.34    | 0.04%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                 | DISH Network Corp                                                                | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    850000 | PA      | $893306.40    | 0.04%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620122 | PA      | $1223256.38   | 0.05%             | 2050-02-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                    | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4959489 | PA      | $1771110.86   | 0.08%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-20CB                                                 | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2826465 | PA      | $1149509.85   | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                 | Waste Pro USA Inc                                                                | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    125000 | PA      | $127535.13    | 0.01%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housin                    | Lehman ABS Manufactured Housing Contract Trust 2001-B                            | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    679050 | PA      | $685368.03    | 0.03%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623800 | PA      | $607222.95    | 0.03%             | 2064-12-26      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                    | MASTR Adjustable Rate Mortgages Trust 2007-1                                     | CUSIP: 576431BG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21429135 | PA      | $642.87       | 0.00%             | 2047-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-2                                                  | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716316 | PA      | $618865.47    | 0.03%             | 2036-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust Series 2006-3                     | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520067 | PA      | $781399.72    | 0.03%             | 2036-04-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-3                                            | CUSIP: 007036HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250122 | PA      | $230770.30    | 0.01%             | 2035-07-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2463906 | PA      | $1076720.85   | 0.05%             | 2035-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                            | Cushman & Wakefield US Borrower LLC                                              | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    800000 | PA      | $855846.40    | 0.04%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                    | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1789785 | PA      | $1150842.22   | 0.05%             | 2037-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184271 | PA      | $1189631.23   | 0.05%             | 2064-01-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251369 | PA      | $1186380.16   | 0.05%             | 2037-12-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028100 | PA      | $1029385.84   | 0.04%             | 2064-06-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                             | Icahn Enterprises LP / Icahn Enterprises Finance Corp                            | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $479444.66    | 0.02%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                             | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2020741 | PA      | $599012.17    | 0.03%             | 2030-03-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899144 | PA      | $355572.29    | 0.02%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                          | Blue Racer Midstream LLC / Blue Racer Finance Corp                               | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $333246.88    | 0.01%             | 2032-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HLF FIN SARL LLC/HERBALI                          | HLF Financing Sarl LLC / Herbalife International Inc                             | CUSIP: 40390DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $450957.30    | 0.02%             | 2029-04-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                    | Apidos CLO XV                                                                    | CUSIP: 03764WAG4<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $986560.00    | 0.04%             | 2031-04-20      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A5                                                 | CUSIP: 46632BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662957 | PA      | $435998.30    | 0.02%             | 2037-10-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Resecuritization Trust 2013-R7                                    | CUSIP: 61690PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2157823 | PA      | $1954474.51   | 0.09%             | 2046-12-26      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                          | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    975000 | PA      | $1027206.38   | 0.04%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                    | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-O            | CORP              | US        |   4637321 | PA      | $4641889.23   | 0.20%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                          | RHP Hotel Properties LP / RHP Finance Corp                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $448498.26    | 0.02%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-1 Mortgage Loan Trust                                                  | CUSIP: 19688HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2027936.63   | 0.09%             | 2066-12-27      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232405 | PA      | $1042214.99   | 0.05%             | 2049-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| HUSKY INJECTION / TITAN                           | Husky Injection Molding Systems Ltd / Titan Co-Borrower LLC                      | CUSIP: 44805RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    400000 | PA      | $406052.00    | 0.02%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465787 | PA      | $703150.26    | 0.03%             | 2051-12-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1458118.35   | 0.06%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                     | TransDigm Inc                                                                    | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    475000 | PA      | $486568.15    | 0.02%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                    | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5007195.00   | 0.22%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1427800 | PA      | $1369179.81   | 0.06%             | 2064-12-26      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                             | Mineral Resources Ltd                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    425000 | PA      | $401928.28    | 0.02%             | 2028-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6331916 | PA      | $6194334.38   | 0.27%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507232 | PA      | $305649.56    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243200 | PA      | $1255089.34   | 0.05%             | 2064-01-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| SEALED AIR/SEALED AIR US                          | Sealed Air Corp/Sealed Air Corp US                                               | CUSIP: 812127AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $286371.25    | 0.01%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                    | VOC Escrow Ltd                                                                   | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    425000 | PA      | $416836.01    | 0.02%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391185 | PA      | $339617.02    | 0.01%             | 2048-10-26      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                           | Starwood Property Trust Inc                                                      | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    800000 | PA      | $780921.92    | 0.03%             | 2026-07-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                          | Sinclair Television Group Inc                                                    | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    525000 | PA      | $519676.50    | 0.02%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1495113.60   | 0.07%             | 2068-03-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926891 | PA      | $457411.44    | 0.02%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2600 | PA      | $2414.68      | 0.00%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                               | Prestige Brands Inc                                                              | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    475000 | PA      | $428830.76    | 0.02%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QO5 Trust                                                       | CUSIP: 75114HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460192 | PA      | $414127.68    | 0.02%             | 2046-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                    | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5572718 | PA      | $2294852.99   | 0.10%             | 2037-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2249474 | PA      | $378071.17    | 0.02%             | 2037-02-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                    | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YAX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313409 | PA      | $300964.02    | 0.01%             | 2030-02-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1160730.25   | 0.05%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES/ESCR                          | Windstream Services LLC / Windstream Escrow Finance Corp                         | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1202869.83   | 0.05%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MASTR Second Lien Trust                           | MASTR Second Lien Trust 2006-1                                                   | CUSIP: 57644DAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3644719 | PA      | $212035.55    | 0.01%             | 2036-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| XHR LP                                            | XHR LP                                                                           | CUSIP: 98372MAE5<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |    450000 | PA      | $443263.34    | 0.02%             | 2030-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                      | GSMSC Resecuritization Trust 2015-5R                                             | CUSIP: 36251QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3726451 | PA      | $2104861.74   | 0.09%             | 2037-04-26      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                                   | CUSIP: 77587VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $698400.00    | 0.03%             | 2030-10-23      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                 | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    630000 | PA      | $615963.73    | 0.03%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                           | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $795383.16    | 0.03%             | 2031-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890301 | PA      | $755745.40    | 0.03%             | 2049-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-R1                                                 | CUSIP: 034651AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3324000 | PA      | $2892091.74   | 0.13%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                    | Structured Asset Mortgage Investments II Trust 2006-AR4                          | CUSIP: 86360QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387102 | PA      | $378839.02    | 0.02%             | 2036-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663800 | PA      | $663060.46    | 0.03%             | 2064-01-25      | Variable      | 8.69%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                     | TransDigm Inc                                                                    | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399170.76    | 0.02%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724200 | PA      | $730116.86    | 0.03%             | 2064-01-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3485536 | PA      | $951648.20    | 0.04%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457230 | PA      | $292453.56    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                           | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3766500 | PA      | $3473643.33   | 0.15%             | 2037-10-25      | Floating      | 7.07%                 | 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        |    550000 | PA      | $507972.03    | 0.02%             | 2029-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                    | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5947218 | PA      | $421540.62    | 0.02%             | 2031-06-15      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| APH/APH2/APH3/AQUARIAN                            | APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $683193.00    | 0.03%             | 2029-11-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899144 | PA      | $171021.35    | 0.01%             | 2036-08-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968000 | PA      | $942091.87    | 0.04%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                          | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $426347.98    | 0.02%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                    | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254988 | PA      | $122598.00    | 0.01%             | 2037-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1034127 | PA      | $515761.41    | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                             | HUB International Ltd                                                            | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    600000 | PA      | $622345.80    | 0.03%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-RM5                           | CUSIP: 59023FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6863528 | PA      | $1006152.08   | 0.04%             | 2037-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-15CB                                                 | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1544006 | PA      | $685508.48    | 0.03%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FHV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082210 | PA      | $907068.86    | 0.04%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921100 | PA      | $1478517.17   | 0.06%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                       | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1937139.40   | 0.08%             | 2057-08-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2019-3                                             | CUSIP: 78432BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95225.08     | 0.00%             | 2059-09-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                      | Calpine Corp                                                                     | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    166000 | PA      | $164424.41    | 0.01%             | 2028-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MAXIM CRANE WORKS LLC                             | Maxim Crane Works Holdings Capital LLC                                           | CUSIP: 57779EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $296250.00    | 0.01%             | 2028-09-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6334442 | PA      | $5044857.87   | 0.22%             | 2035-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4498949 | PA      | $1753775.64   | 0.08%             | 2037-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898414 | PA      | $812003.99    | 0.04%             | 2049-03-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                   | Hanesbrands Inc                                                                  | CUSIP: 410345AQ5<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    450000 | PA      | $466198.05    | 0.02%             | 2031-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                 | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15033AAC0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |   9915625 | PA      | $683966.92    | 0.03%             | 2031-01-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICE                          | Prime Healthcare Services Inc                                                    | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $762704.51    | 0.03%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2169549 | PA      | $1823143.74   | 0.08%             | 2036-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                    | IndyMac INDX Mortgage Loan Trust 2007-FLX5                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2347420 | PA      | $2087848.41   | 0.09%             | 2037-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2006-R2                                            | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279554 | PA      | $260559.02    | 0.01%             | 2036-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                         | CUSIP: 44106MAV4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395020.68    | 0.02%             | 2026-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                    | PRET 2024-RN2 LLC                                                                | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |   4762358 | PA      | $4790277.39   | 0.21%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| MIDCONTINENT COMMUNICATI                          | Midcontinent Communications                                                      | CUSIP: 59565XAD2<br>LEI: 549300ZI9GDQBS28C408 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1070472.90   | 0.05%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                           | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $548898.01    | 0.02%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Trust                                                                       | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330045 | PA      | $118535.93    | 0.01%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                               | Altice Financing SA                                                              | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    500000 | PA      | $383989.25    | 0.02%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5591684 | PA      | $2391411.02   | 0.10%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2022-SFR2 Trust                                               | CUSIP: 89616TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4084980.40   | 0.18%             | 2040-07-17      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2291514 | PA      | $938038.64    | 0.04%             | 2038-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    754457 | PA      | $535162.97    | 0.02%             | 2050-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                           | US Acute Care Solutions LLC                                                      | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $634488.13    | 0.03%             | 2029-05-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2018-1                                    | CUSIP: 92257AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324287 | PA      | $286572.63    | 0.01%             | 2048-04-25      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021234 | PA      | $900681.24    | 0.04%             | 2049-03-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                               | Buckeye Partners LP                                                              | CUSIP: 118230AW1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    275000 | PA      | $279814.15    | 0.01%             | 2030-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3295989 | PA      | $2804640.45   | 0.12%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $451761.65    | 0.02%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI2            | CUSIP: 3137G1CT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29416 | PA      | $28331.71     | 0.00%             | 2048-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3471913 | PA      | $677673.25    | 0.03%             | 2059-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                            | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |    450000 | PA      | $467378.55    | 0.02%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11282557 | PA      | $10667847.49  | 0.46%             | 2063-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-1                                              | CUSIP: 80556BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8521709 | PA      | $8110228.38   | 0.35%             | 2047-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1783964 | PA      | $1773016.48   | 0.08%             | 2064-12-26      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                             | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1280577.67   | 0.06%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                            | HAT Holdings I LLC / HAT Holdings II LLC                                         | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $924409.11    | 0.04%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1388271 | PA      | $1010556.63   | 0.04%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER                            | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    700000 | PA      | $652101.38    | 0.03%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3527669 | PA      | $1411524.41   | 0.06%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                    | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626000 | PA      | $1445366.20   | 0.06%             | 2065-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                    | IndyMac IMSC Mortgage Loan Trust 2007-HOA1                                       | CUSIP: 45670LAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13196156 | PA      | $13264.78     | 0.00%             | 2047-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                          | Snap Inc                                                                         | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124841.93    | 0.01%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10438174 | PA      | $1443168.44   | 0.06%             | 2056-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5040331 | PA      | $143924.14    | 0.01%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-OA3                                                  | CUSIP: 02150TAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100669 | PA      | $9671.32      | 0.00%             | 2047-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GCI LLC                                           | GCI LLC                                                                          | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |    675000 | PA      | $638577.34    | 0.03%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                    | Popular ABS Mortgage Pass-Through Trust 2005-3                                   | CUSIP: 73316PDT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2955985 | PA      | $2472335.51   | 0.11%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                    | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6795981 | PA      | $539637.60    | 0.02%             | 2031-06-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                     | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1034708 | PA      | $876167.02    | 0.04%             | 2046-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2023-H11 LLC                                                                | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3259760.88   | 0.14%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6923965 | PA      | $6897838.30   | 0.30%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2024-INV4 Mortgage Loan Trust                                               | CUSIP: 19688QAE1<br>LEI: 2138008UGM66WOAUY633 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1487530.20   | 0.06%             | 2069-05-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                            | Harvest Midstream I LP                                                           | CUSIP: 417558AA1<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607315.80    | 0.03%             | 2028-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COGENT COMM GROUP LLC                             | Cogent Communications Group LLC                                                  | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1030016.35   | 0.04%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TVC DSCR_21-1: A                                  | TVC DSCR_21-1: A                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2838826 | PA      | $2604805.94   | 0.11%             | 2051-02-01      | Fixed         | 2.38%                 | No            |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2024-HB13 LLC                                                               | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1506190.88   | 0.07%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360126 | PA      | $1261058.02   | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1706591 | PA      | $967945.76    | 0.04%             | 2035-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                 | Newell Brands Inc                                                                | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    275000 | PA      | $246532.02    | 0.01%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6037122 | PA      | $1252424.49   | 0.05%             | 2035-11-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-HE10                           | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2446034 | PA      | $2403141.46   | 0.10%             | 2036-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998384 | PA      | $1987942.93   | 0.09%             | 2064-12-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                              | Alpha Generation LLC                                                             | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |    325000 | PA      | $331211.40    | 0.01%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru                    | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4163747 | PA      | $694659.93    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3259110.75   | 0.14%             | 2031-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260442 | PA      | $1241995.64   | 0.05%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| XEROX HOLDINGS CORP                               | Xerox Holdings Corp                                                              | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |    425000 | PA      | $272261.33    | 0.01%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW ENTERPRISE STONE & L                          | New Enterprise Stone & Lime Co Inc                                               | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |    925000 | PA      | $897922.85    | 0.04%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QA10 Trust                                                      | CUSIP: 761118GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4961233 | PA      | $1919196.61   | 0.08%             | 2035-09-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                         | TEGNA Inc                                                                        | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $931475.71    | 0.04%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1044577 | PA      | $920802.34    | 0.04%             | 2048-10-26      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-5                                            | CUSIP: 07325WAE2<br>LEI: 549300I4K1GWFS0CTQ34 | Long             | ABS-MBS          | CORP              | US        |   5291772 | PA      | $2951043.64   | 0.13%             | 2037-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1182038 | PA      | $1192421.07   | 0.05%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                          | Blue Racer Midstream LLC / Blue Racer Finance Corp                               | CUSIP: 095796AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $432334.23    | 0.02%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                            | Spirit AeroSystems Inc                                                           | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    425000 | PA      | $452276.93    | 0.02%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                    | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127032 | PA      | $48738.29     | 0.00%             | 2037-04-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP                              | Capstone Copper Corp                                                             | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $98255.88     | 0.00%             | 2033-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                             | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276028.73    | 0.01%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3258602 | PA      | $2565526.32   | 0.11%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3411783.55   | 0.15%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                            | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    675000 | PA      | $642847.39    | 0.03%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN                          | Raven Acquisition Holdings LLC                                                   | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $633974.43    | 0.03%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-JR1 Trust                                                              | CUSIP: 12657XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956275 | PA      | $355256.47    | 0.02%             | 2060-07-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-AHL3                                          | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3156755 | PA      | $2140478.96   | 0.09%             | 2045-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-31                                                   | CUSIP: 12667GZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485996 | PA      | $448997.28    | 0.02%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1344600 | PA      | $1344047.23   | 0.06%             | 2064-12-26      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                               | Buckeye Partners LP                                                              | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    325000 | PA      | $313322.72    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAKS GLOBAL ENTERPRISES                           | Saks Global Enterprises LLC                                                      | CUSIP: 79380MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $212288.08    | 0.01%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3893051 | PA      | $853988.94    | 0.04%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3289850 | PA      | $2497677.48   | 0.11%             | 2066-02-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DUM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140363 | PA      | $134525.52    | 0.01%             | 2035-01-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  82250000 | PA      | $52729960.94  | 2.30%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2432523 | PA      | $3143189.06   | 0.14%             | 2051-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2276209 | PA      | $2286701.72   | 0.10%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2019-INV3                                             | CUSIP: 92537MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3463000 | PA      | $3402468.15   | 0.15%             | 2059-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47550000 | PA      | $36056273.44  | 1.57%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3566000 | PA      | $3523221.55   | 0.15%             | 2047-02-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Frankin Mortgage Loan Trust 2006-FF4                                       | CUSIP: 362334FV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4710365 | PA      | $4460186.16   | 0.19%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                           | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3732355 | PA      | $3697252.31   | 0.16%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                               | NOVA Chemicals Corp                                                              | CUSIP: 66977WAP4<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $500000.00    | 0.02%             | 2025-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS                    | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2425000 | PA      | $2153394.67   | 0.09%             | 2050-01-28      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                  | MortgageIT Trust 2004-1                                                          | CUSIP: 61913PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533019 | PA      | $488679.37    | 0.02%             | 2034-11-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2020-SFR2 Trust                                                   | CUSIP: 33767JAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2710000 | PA      | $2664577.96   | 0.12%             | 2037-10-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2021-3 Trust                                            | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3615787 | PA      | $3255151.90   | 0.14%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| CBS Commercial Small Balance C                    | CBA Commercial Small Balance Commercial Mortgage                                 | CUSIP: 14984WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    639944 | PA      | $591866.75    | 0.03%             | 2039-07-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10920792 | PA      | $3671929.48   | 0.16%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2024-HB13 LLC                                                               | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2314874.25   | 0.10%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1862843.20   | 0.08%             | 2065-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                    | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    729325 | PA      | $550337.02    | 0.02%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2006-OPT5                                              | CUSIP: 83612CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11889029 | PA      | $9744433.83   | 0.42%             | 2036-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                          | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAA7<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    700000 | PA      | $694027.95    | 0.03%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                             | Quikrete Holdings Inc                                                            | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150845.39    | 0.01%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15278698 | PA      | $1726882.49   | 0.08%             | 2056-07-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF1                    | CUSIP: 86358BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2497982 | PA      | $4537187.18   | 0.20%             | 2037-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                    | IndyMac INDX Mortgage Loan Trust 2007-FLX3                                       | CUSIP: 45670AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242942 | PA      | $1527708.66   | 0.07%             | 2037-06-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark WM-R Ltd                                                                  | CUSIP: 77587CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $4110928.50   | 0.18%             | 2031-04-20      | Floating      | 12.63%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-E Trust                                             | CUSIP: 05950DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174768 | PA      | $155495.33    | 0.01%             | 2036-06-20      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1776595 | PA      | $333759.59    | 0.01%             | 2036-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562385 | PA      | $528014.00    | 0.02%             | 2036-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-4SL                                      | CUSIP: 61748HYC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195724 | PA      | $197210.85    | 0.01%             | 2036-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2005-TC1                            | CUSIP: 073879VJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908185 | PA      | $905224.86    | 0.04%             | 2035-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding Corp                                                     | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   4493208 | PA      | $3811376.97   | 0.17%             | 2036-03-27      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56026183 | PA      | $881611.20    | 0.04%             | 2052-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                    | GMACM Mortgage Loan Trust 2005-AR6                                               | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397708 | PA      | $305212.44    | 0.01%             | 2035-11-19      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941400 | PA      | $929674.49    | 0.04%             | 2064-06-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                      | Novelis Corp                                                                     | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152161.19    | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881861 | PA      | $1897603.40   | 0.08%             | 2064-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                          | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1457226.30   | 0.06%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp                                                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1884878 | PA      | $1593306.97   | 0.07%             | 2035-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                    | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8572117 | PA      | $544293.44    | 0.02%             | 2031-06-15      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                    | Gray Media Inc                                                                   | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    750000 | PA      | $447480.35    | 0.02%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5283303 | PA      | $3674159.22   | 0.16%             | 2036-08-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                              | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |    381965 | PA      | $517562.51    | 0.02%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2128000 | PA      | $1614777.26   | 0.07%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3027108 | PA      | $3487302.51   | 0.15%             | 2061-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-22                                    | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6356972 | PA      | $5303160.59   | 0.23%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LONG RIDGE ENERGY LLC                             | Long Ridge Energy LLC                                                            | CUSIP: 54288CAA1<br>LEI: 984500764EC9AZ2FC764 | Long             | DBT              | CORP              | US        |    225000 | PA      | $214247.03    | 0.01%             | 2032-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-25

**Name of Applicant:** Old Westbury Funds Inc

**Signature:** Matthew A. Rizzi

**Name of Signer:** Matthew A. Rizzi

**Title:** Vice President & Treasurer (Principal Financial Officer)