# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-25-019481
**Filing Date:** 2025-10
**Character Count:** 131551
**Document Hash:** 0d64956051cdd129e1be3c402a5b2587
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-019481.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0001410368-25-019481

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 251428512

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GMO CORE TRUST
- **DATE OF NAME CHANGE:** 19900927

## Series and Classes Contracts Data

### GMO Opportunistic Income Fund (Series ID: S000007516)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020548 | Class VI     | GMODX           |
| C000137450 | Class III    | GMOHX           |
| C000213384 | Class I      | GMOLX           |
| C000213385 | Class R6     | GAAAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GMO TRUST

- **b. Investment Company Act file number:** 811-04347

- **c. CIK number of Registrant:** 0000772129

- **d. LEI of Registrant:** 549300Y2Q6TQD4HU5C66

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

  - **Street Address 1:** 53 State Street, 33rd Floor

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-346-7646

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

- **a. Name of Series:** GMO Opportunistic Income Fund

- **b. EDGAR series identifier (if any):** S000007516

- **c. LEI of Series:** 5493000NQRD0885G4P95

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1417899335.44

**Total Liabilities:** $135123184.93

**Net Assets:** $1282776150.51

**Cash Not Reported:** $11589199.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3166.51000000 | **1-Year:** -39613.76000000 | **5-Year:** -79230.15000000 | **10-Year:** -18584.46000000 | **30-Year:** 1364.27000000

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

- **3-Month:** -1457.03000000 | **1-Year:** -15334.77000000 | **5-Year:** 86076.76000000 | **10-Year:** -3171.59000000 | **30-Year:** 27243.50000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020548 | 0.65%                | 0.16%                | 0.86%                |
| Class ID C000137450 | 0.65%                | 0.15%                | 0.85%                |
| Class ID C000213384 | 0.68%                | 0.14%                | 0.84%                |
| Class ID C000213385 | 0.65%                | 0.15%                | 0.85%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-432971.21              | $3652658.78                                |
| Month 2  | $247042.78               | $-3490035.21                               |
| Month 3  | $-150873.71              | $4771857.57                                |

**Designated Index Information**

- **Index Name:** JP Morgan ABS Total Index

- **Index Identifier:** JXABSTRE

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TCF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3559071 | PA      | $3493835.43   | 0.27%             | 2031-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2184318 | PA      | $2059579.94   | 0.16%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica  | FRESB 2019-SB63 Mortgage Trust                                                  | CUSIP: 30298BAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  95937656 | PA      | $3400059.32   | 0.27%             | 2039-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                         | KeyCorp Student Loan Trust 2005-A                                               | CUSIP: 493268CL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4938170 | PA      | $4841284.62   | 0.38%             | 2038-12-27      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust              | Harvest Commercial Capital Loan Trust 2020-1                                    | CUSIP: 41754FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3230000 | PA      | $3215533.15   | 0.25%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC             | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                                                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |   4560000 | OU      | $202920.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SMO54X18US01                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   4624500 | OU      | $21891.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                  | Citigroup Mortgage Loan Trust 2006-AR5                                          | CUSIP: 17309FAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3234858 | PA      | $1796589.84   | 0.14%             | 2036-07-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Zais Matrix CDO I                                  | Zais Clo 16 Ltd                                                                 | CUSIP: 98875JBJ2<br>LEI: 549300AH84CSK4XX3T86 | Long             | ABS-CBDO         | CORP              | KY        |   5368000 | PA      | $5368649.53   | 0.42%             | 2034-10-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                   | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SDB47F17US01                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    465518 | OU      | $94.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2006-3                                           | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3509677 | PA      | $3362288.07   | 0.26%             | 2036-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2006-4                                   | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |   1143803 | PA      | $1135567.99   | 0.09%             | 2032-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust             | Velocity Commercial Capital Loan Trust 2022-1                                   | CUSIP: 92258XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415390 | PA      | $1280230.32   | 0.10%             | 2052-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                         | KeyCorp Student Loan Trust 2006-A                                               | CUSIP: 49327HAJ4<br>LEI: 254900QO9Y4JHZFBGC87 | Long             | ABS-O            | CORP              | US        |  12158110 | PA      | $10089952.53  | 0.79%             | 2042-03-27      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  43450000 | PA      | $44386941.03  | 3.46%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2008-1                                           | CUSIP: 07324AAF8<br>LEI: 549300DNB16HFXTEDZ43 | Long             | ABS-MBS          | CORP              | US        |    899074 | PA      | $878371.78    | 0.07%             | 2038-01-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 674135EB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2184203 | PA      | $2197346.61   | 0.17%             | 2029-01-15      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates  | First Franklin Mortgage Loan Trust 2006-FF12                                    | CUSIP: 32027GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1877196 | PA      | $1782084.11   | 0.14%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                            | GSR Mortgage Loan Trust 2007-OA2                                                | CUSIP: 3622NCAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10287163 | PA      | $5963512.63   | 0.46%             | 2047-06-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                             | U.S. Treasury Floating Rate Notes                                               | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13200000 | PA      | $13196715.44  | 1.03%             | 2027-07-31      | Floating      | 4.30%                 | No            |                  1 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.   | BCMSC Trust 1999-A                                                              | CUSIP: 09774XAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2163579 | PA      | $2141777.95   | 0.17%             | 2029-03-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B15 Mortgage Trust                                               | CUSIP: 08160KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10395000 | PA      | $9705861.40   | 0.76%             | 2072-12-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                           | BX Commercial Mortgage Trust 2020-VIV4                                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7399683.20   | 0.58%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                       | CSMC Mortgage-Backed Trust 2007-4                                               | CUSIP: 126379AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3673411 | PA      | $1938514.25   | 0.15%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust       | American Express Credit Account Master Trust                                    | CUSIP: 02589BAE0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  13695000 | PA      | $13881249.26  | 1.08%             | 2029-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                             | Canyon Capital CLO 2016-1 Ltd                                                   | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2657059 | PA      | $2658154.07   | 0.21%             | 2031-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST              | Harvest Commercial Capital Loan Trust 2019-1                                    | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3288071.15   | 0.26%             | 2046-09-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                                           | BX Commercial Mortgage Trust 2020-VIVA                                          | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7378181.60   | 0.58%             | 2044-03-11      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.7.A)                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   2330376 | OU      | $520445.22    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.          | RAMP Series 2005-RS1 Trust                                                      | CUSIP: 76112BJH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2386228 | PA      | $2266033.99   | 0.18%             | 2035-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                        | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-175.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SMO47F17US00                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    811964 | OU      | $164.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.7.AA)                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    801669 | OU      | $-99440.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2006-SP2                                         | CUSIP: 07325KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5790948 | PA      | $5473762.67   | 0.43%             | 2037-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                   | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9532071 | PA      | $9290756.06   | 0.72%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                      | American Home Mortgage Assets Trust 2006-4                                      | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7400794 | PA      | $3679874.70   | 0.29%             | 2046-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                    | SWAP/CDSWAP/ICE: (ITRAXX.XO.42.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  21747193 | OU      | $-2547366.09  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | TRSWAP: IBXXLLTR INDEX                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | US        |   9130000 | OU      | $135970.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                 | New Century Home Equity Loan Trust 2006-S1                                      | CUSIP: 64352VQC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7688029 | PA      | $168144.11    | 0.01%             | 2036-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Daiwa Capital Markets America, Inc.                | REPO DAIWA                                                                      | CUSIP: 000000000<br>LEI: M67H5PRC0NQKM73ZAS82 | Long             | RA               | CORP              | US        | 125003526 | PA      | $125003526.38 | 9.74%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                    | SWAP/CDSWAP/ICE: (CDX.NA.IG.44.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        | 132730000 | OU      | $-3134256.72  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 2008-2                                                   | CUSIP: 784442AC9<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |   5410278 | PA      | $5410133.15   | 0.42%             | 2023-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.14.BBB-)                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   1360000 | OU      | $237773.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 2008-6                                                   | CUSIP: 78445CAD4<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |  16233550 | PA      | $16043011.61  | 1.25%             | 2083-07-26      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   5215000 | OU      | $633622.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                    | SWAP/CDSWAP/ICE: (ITRAXX.EUR.42.V1)                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |  47150000 | OU      | $-1226072.82  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                 | BX Trust 2019-OC11                                                              | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4570000 | PA      | $4322207.75   | 0.34%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 68213KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1408435 | PA      | $1332551.51   | 0.10%             | 2019-11-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust   | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                 | CUSIP: 59025TAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1041625 | PA      | $1010648.88   | 0.08%             | 2037-10-25      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                 | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $12292824.70  | 0.96%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   9940000 | OU      | $1207710.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2003-A                                    | CUSIP: 78443CAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1919000 | PA      | $1914202.50   | 0.15%             | 2032-06-15      | Variable      | 7.09%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   8160000 | OU      | $540327.35    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                             | Northwoods Capital XVII Ltd                                                     | CUSIP: 66860PAA2<br>LEI: 549300VSNJNLNM3KF997 | Long             | ABS-CBDO         | CORP              | KY        |   3091187 | PA      | $3095384.98   | 0.24%             | 2031-04-22      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                             | U.S. Treasury Floating Rate Notes                                               | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 194150000 | PA      | $194126364.18 | 15.13%            | 2027-04-30      | Floating      | 4.30%                 | No            |                  1 | On Loan: No      |
| MidOcean Credit CLO                                | MidOcean Credit CLO VI                                                          | CUSIP: 59802XBN2<br>LEI: 549300YUUBR2C1GYW366 | Long             | ABS-CBDO         | CORP              | KY        |   2049871 | PA      | $2051885.62   | 0.16%             | 2033-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                             | Rockford Tower CLO 2018-1 Ltd                                                   | CUSIP: 77342JAC7<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6013932.00   | 0.47%             | 2031-05-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica  | FRESB 2020-SB76 Mortgage Trust                                                  | CUSIP: 30315EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  78007466 | PA      | $2845423.74   | 0.22%             | 2030-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.              | Conseco Finance Securitizations Corp                                            | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3876346 | PA      | $3818899.25   | 0.30%             | 2033-12-01      | Variable      | 9.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2004-J11                                                 | CUSIP: 12667FXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124601 | PA      | $124862.72    | 0.01%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   5000000 | OU      | $715833.33    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1945060 | PA      | $1960927.87   | 0.15%             | 2032-11-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2006-1                                   | CUSIP: 63543PCD6<br>LEI: 635400ZLDAQQL4PJBJ98 | Long             | ABS-O            | CORP              | US        |   3550987 | PA      | $3502429.07   | 0.27%             | 2033-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2007-1                                   | CUSIP: 63543XAD1<br>LEI: 635400RGALHFSPGKCR23 | Long             | ABS-O            | CORP              | US        |   8214711 | PA      | $8102549.39   | 0.63%             | 2033-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                         | AMSR 2020-SFR5 Trust                                                            | CUSIP: 03217JAA9<br>LEI: 549300164ZV2301BC703 | Long             | ABS-O            | CORP              | US        |   2297504 | PA      | $2281885.57   | 0.18%             | 2037-11-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2006-1                                           | CUSIP: 07324SDG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531643 | PA      | $494322.01    | 0.04%             | 2036-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                               | Steele Creek CLO 2016-1 Ltd                                                     | CUSIP: 858102AX4<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | KY        |   2207393 | PA      | $2208340.21   | 0.17%             | 2031-06-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                 | SWAP/CDSWAP/CDS: (ITRAXX.EUR.42 12-100%)                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |  78580000 | OU      | $3084559.73   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust                                                      | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1222939 | PA      | $1233241.50   | 0.10%             | 2072-03-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                             | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       498 | NC      | $242475.21    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| South Carolina Student Loan Corporation            | South Carolina Student Loan Corp 2015-A                                         | CUSIP: 83715RAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418996 | PA      | $419214.92    | 0.03%             | 2036-01-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2006-7CB                                                 | CUSIP: 12668BXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1476728 | PA      | $599129.84    | 0.05%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica  | FRESB 2020-SB77 Mortgage Trust                                                  | CUSIP: 30316AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 134872981 | PA      | $4520524.22   | 0.35%             | 2040-06-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust     | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579QX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3849492 | PA      | $3142880.77   | 0.25%             | 2035-05-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   5000000 | OU      | $715833.33    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                    | Venture 32 CLO Ltd                                                              | CUSIP: 92325QAA5<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |   2045946 | PA      | $2046948.32   | 0.16%             | 2031-07-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                             | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -424 | NC      | $-232121.09   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC             | SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |   5000000 | OU      | $715833.33    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2005-B                                    | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |   9329115 | PA      | $9113584.58   | 0.71%             | 2039-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II         | Home Loan Trust 2007-HI1                                                        | CUSIP: 43718WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8441307 | PA      | $876572.34    | 0.07%             | 2037-03-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16450000 | PA      | $15302650.34  | 1.19%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2018-B8 Mortgage Trust                                                | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7760120 | PA      | $7650653.42   | 0.60%             | 2052-01-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                     | HarborView Mortgage Loan Trust 2007-4                                           | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5400188 | PA      | $5263897.40   | 0.41%             | 2037-07-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2004-A                                    | CUSIP: 78443CBH6<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |   2793600 | PA      | $2784657.63   | 0.22%             | 2033-06-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust             | Residential Asset Securitization Trust 2006-A7CB                                | CUSIP: 76113NAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15303444 | PA      | $3674897.12   | 0.29%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.   | BCMSC Trust 2000-A                                                              | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2928137 | PA      | $212426.67    | 0.02%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.6.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   1583438 | OU      | $129640.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Man GLG US CLO 2018-1 Ltd                          | Man GLG US CLO                                                                  | CUSIP: 26829CAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1417591 | PA      | $1417970.76   | 0.11%             | 2030-04-22      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   5156000 | OU      | $341412.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                             | Conseco Finance Corp                                                            | CUSIP: 393505XH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1074415 | PA      | $1092353.49   | 0.09%             | 2029-01-15      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15387600 | PA      | $14619044.78  | 1.14%             | 2037-03-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                  | ABFC 2005-AQ1 Trust                                                             | CUSIP: 04542BMT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711990 | PA      | $699612.78    | 0.05%             | 2035-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2005-2                                   | CUSIP: 63543PBU9<br>LEI: 635400WP3MSHUIUNQS85 | Long             | ABS-O            | CORP              | US        |   1093613 | PA      | $1082569.75   | 0.08%             | 2033-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9517000 | PA      | $8295701.47   | 0.65%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.7.A)_SCI47F17US00                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    330913 | OU      | $73903.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust             | Residential Asset Securitization Trust 2005-A8CB                                | CUSIP: 45660LSU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490799 | PA      | $1279551.42   | 0.10%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2005-18CB                                                | CUSIP: 12667GFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2056381 | PA      | $2047729.44   | 0.16%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                     | BCAP LLC 2014-RR2                                                               | CUSIP: 05543DCC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589817 | PA      | $576812.54    | 0.04%             | 2037-05-26      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2005-2                                           | CUSIP: 07324SBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050970 | PA      | $1985296.04   | 0.15%             | 2035-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AF1                   | CUSIP: 251510NC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2151772 | PA      | $1988699.09   | 0.16%             | 2036-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 25-35%)                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |  18250000 | OU      | $2868198.02   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                           | ISHARES IBOXX HIGH YIELD COR                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |      3400 | NC      | $61200.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20383000 | PA      | $20497750.99  | 1.60%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2007-4                                   | CUSIP: 63544EAL4<br>LEI: 6354004HZIMK13WCED04 | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $58455.00     | 0.00%             | 2038-03-25      | Variable      | 7.94%                 | No            |                  3 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5295000 | PA      | $4887403.61   | 0.38%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                             | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       300 | NC      | $158905.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11752084 | PA      | $1566153.21   | 0.12%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                             | GSAA Home Equity Trust 2006-9                                                   | CUSIP: 362382AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10300991 | PA      | $1887687.46   | 0.15%             | 2036-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust              | Harvest Commercial Capital Loan Trust 2024-1                                    | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799919 | PA      | $1838237.81   | 0.14%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.               | Fieldstone Mortgage Investment Trust Series 2004-4                              | CUSIP: 31659TCE3<br>LEI: 549300VDVZHMT2SH4W85 | Long             | ABS-O            | CORP              | US        |   4037890 | PA      | $2540790.81   | 0.20%             | 2035-10-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation             | Mellon Re-REMIC Pass-Through Trust 2004-TBC1                                    | CUSIP: 58552RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91737 | PA      | $85287.25     | 0.01%             | 2034-02-26      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| WAMU Commercial Mortgage Securities Trust          | WaMu Commercial Mortgage Securities Trust 2007-SL3                              | CUSIP: 93364LAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11594960 | PA      | $10194828.00  | 0.79%             | 2045-03-23      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2006-2                                           | CUSIP: 07324YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500911 | PA      | $1439277.82   | 0.11%             | 2036-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                 | New Century Home Equity Loan Trust Series 2003-B                                | CUSIP: 64352VES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    763562 | PA      | $760715.16    | 0.06%             | 2033-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10694000 | PA      | $9508190.46   | 0.74%             | 2055-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                       | MKT 2020-525M Mortgage Trust                                                    | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14600000 | PA      | $12921969.44  | 1.01%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                   | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8625000 | PA      | $7661813.48   | 0.60%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                   | IndyMac INDX Mortgage Loan Trust 2006-AR2                                       | CUSIP: 45661EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6398477 | PA      | $5806770.56   | 0.45%             | 2046-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                     | Carrington Mortgage Loan Trust Series 2007-RFC1                                 | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324672 | PA      | $317953.71    | 0.02%             | 2036-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                         | Progress Residential 2021-SFR10 Trust                                           | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297145 | PA      | $1229104.58   | 0.10%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS       | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust  | CUSIP: 93935EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3867971 | PA      | $1277974.21   | 0.10%             | 2036-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                               | Steele Creek Clo 2017-1 Ltd                                                     | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    223285 | PA      | $223523.69    | 0.02%             | 2030-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                   | IndyMac INDA Mortgage Loan Trust 2006-AR3                                       | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011435 | PA      | $771693.12    | 0.06%             | 2036-12-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022493<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -20000000 | PA      | $-18782284.40 | -1.46%            | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 2024-1                                      | CUSIP: 92868RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3526000 | PA      | $3565229.57   | 0.28%             | 2029-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust         | Bear Stearns Asset Backed Securities I Trust 2004-AC5                           | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414337 | PA      | $1349342.97   | 0.11%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                        | Houston Galleria Mall Trust 2025-HGLR                                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13916000 | PA      | $14321570.69  | 1.12%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2007-3                                           | CUSIP: 07325YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1637033 | PA      | $1554508.33   | 0.12%             | 2037-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 2021-3                       | CUSIP: 380140AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3131891 | PA      | $3125541.82   | 0.24%             | 2027-08-16      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract           | Lehman ABS Manufactured Housing Contract Trust 2001-B                           | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3325064 | PA      | $3155040.13   | 0.25%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                   | AccessLex Institute                                                             | CUSIP: 00432CBX8<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |   7791941 | PA      | $7694299.86   | 0.60%             | 2032-04-26      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                              | Marble Point CLO XIV Ltd                                                        | CUSIP: 56608KAW3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | KY        |   4646811 | PA      | $4642271.45   | 0.36%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                             | Invitation Homes 2024-SFR1 Trust                                                | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8485464 | PA      | $8321179.00   | 0.65%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2003-C                                    | CUSIP: 78443CBE3<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |   5400350 | PA      | $1512535.31   | 0.12%             | 2032-09-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 2007-7                                                   | CUSIP: 78444EAD1<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |   4212351 | PA      | $4145522.43   | 0.32%             | 2049-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                 | Morgan Stanley Mortgage Loan Trust 2006-2                                       | CUSIP: 61748HVW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600710 | PA      | $645072.66    | 0.05%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2007-2                                           | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4742740 | PA      | $4378573.98   | 0.34%             | 2037-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2019-C51                                  | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2285000 | PA      | $2162481.27   | 0.17%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                               | BlueMountain CLO 2013-2 Ltd                                                     | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   4929668 | PA      | $4933902.21   | 0.38%             | 2030-10-22      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |   7942889 | PA      | $7961846.74   | 0.62%             | 2022-07-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAD7<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |   8373895 | PA      | $8410549.12   | 0.66%             | 2023-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                             | CHL Mortgage Pass-Through Trust 2004-HYB6                                       | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681520 | PA      | $653361.10    | 0.05%             | 2034-11-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                              | Mountain View CLO 2013-1 Ltd                                                    | CUSIP: 62431UBD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4004388.00   | 0.31%             | 2030-10-12      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.10.AAA)_SGO59X17US04                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   7540000 | OU      | $27236.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                           | Ajax Mortgage Loan Trust 2021-A                                                 | CUSIP: 00971AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2008628 | PA      | $1794671.73   | 0.14%             | 2065-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC             | SWAP/CDSWAP/CDS: (CMBX.NA.17.BBB-)                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |   3966000 | OU      | $-504545.25   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                           | FSWP: USD 3.810000 31-AUG-2029 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  26000000 | OU      | $-500595.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                             | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -11 | NC      | $7577.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OZLM Ltd                                           | OZLM XXII Ltd                                                                   | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |   2190000 | PA      | $2195547.27   | 0.17%             | 2031-01-17      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                         | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4224421.60   | 0.33%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust               | GMACM Home Equity Loan Trust 2007-HE3                                           | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175517 | PA      | $1163237.85   | 0.09%             | 2037-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                               | ACE Securities Corp Home Equity Loan Trust Series 2006-ASL1                     | CUSIP: 00442AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742661 | PA      | $57722.67     | 0.00%             | 2036-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Bravo Mortgage Asset Trust                         | Bravo Mortgage Asset Trust                                                      | CUSIP: 105667AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14910702 | PA      | $13383664.60  | 1.04%             | 2036-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                | SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)_SMO58U17US00                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   3531098 | OU      | $616412.03    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Education Loan Trust 2010-C                                         | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |   3238853 | PA      | $3397907.91   | 0.26%             | 2041-10-15      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust             | Velocity Commercial Capital Loan Trust 2021-4                                   | CUSIP: 92258DAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314802 | PA      | $1095470.20   | 0.09%             | 2051-12-26      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                | Bear Stearns Mortgage Funding Trust 2007-SL2                                    | CUSIP: 07401RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79105 | PA      | $97665.32     | 0.01%             | 2037-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                | SWAP/CDSWAP/CDS: (CMBX.NA.8.A)                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   1102851 | OU      | $56000.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                         | Verus Securitization Trust 2022-5                                               | CUSIP: 924921AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4667947 | PA      | $4539075.40   | 0.35%             | 2067-04-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2003-A                                    | CUSIP: 78443CAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1939289 | PA      | $935383.53    | 0.07%             | 2032-06-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                            | Home Equity Asset Trust 2006-2                                                  | CUSIP: 437084TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1819514 | PA      | $1858588.80   | 0.14%             | 2036-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2006-A                                    | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |  14847019 | PA      | $14269012.94  | 1.11%             | 2039-06-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SMO54X18US00                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   4624500 | OU      | $21891.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                   | WFRBS Commercial Mortgage Trust 2014-C21                                        | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   9814966 | PA      | $9299876.58   | 0.72%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates            | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust                  | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602206 | PA      | $569512.31    | 0.04%             | 2035-09-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 2021-D                                                | CUSIP: 64034YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3295432 | PA      | $3285019.73   | 0.26%             | 2062-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2005-A                                    | CUSIP: 78443CBV5<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |  13075375 | PA      | $12916356.68  | 1.01%             | 2038-12-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                 | Tricon Residential 2024-SFR4 Trust                                              | CUSIP: 895975AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9955923 | PA      | $9903691.22   | 0.77%             | 2041-11-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program 2021-A LLC              | ELFI Graduate Loan Program 2021-A LLC                                           | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1198821 | PA      | $1081340.37   | 0.08%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2003-C                                    | CUSIP: 78443CBA1<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $897750.00    | 0.07%             | 2032-09-15      | Variable      | 8.07%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.6.AA)_SGO62Q17US00                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    495149 | OU      | $58671.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust        | Bear Stearns ARM Trust 2005-9                                                   | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346685 | PA      | $329750.25    | 0.03%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust      | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11393000 | PA      | $11633521.04  | 0.91%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $15693332.80  | 1.22%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   4000000 | OU      | $18934.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                           | 3 MONTH SOFR OPT DEC25P 95.62                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |       649 | NC      | $4056.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Conseco Finance Securitizations Corp.              | Conseco Finance Securitizations Corp                                            | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4464418 | PA      | $4514277.13   | 0.35%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2006-2                                           | CUSIP: 07324YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733758 | PA      | $701805.72    | 0.05%             | 2036-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust 2018-SL1                    | Towd Point Asset Trust 2018-SL1                                                 | CUSIP: 89174UAB2<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |   3192363 | PA      | $3188833.57   | 0.25%             | 2046-01-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica  | FRESB 2020-SB74 Mortgage Trust                                                  | CUSIP: 30291SAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  36221684 | PA      | $1401561.84   | 0.11%             | 2040-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust                             | Towd Point Asset Trust 2021-SL1                                                 | CUSIP: 89179XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17741000 | PA      | $16889721.18  | 1.32%             | 2061-11-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $353.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.14.BBB-)                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   3933500 | OU      | $687706.92    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                  | World Omni Auto Receivables Trust 2024-C                                        | CUSIP: 98164NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6030000 | PA      | $6055939.25   | 0.47%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                              | Tricon American Homes 2019-SFR1 Trust                                           | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11117952 | PA      | $11012005.46  | 0.86%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SCI54X18US00                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   4626000 | OU      | $21898.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS       | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393365X7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577970 | PA      | $1363577.31   | 0.11%             | 2035-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| UCFC Manufactured Housing Contract                 | UCFC Manufactured Housing Contract                                              | CUSIP: 90263ABY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1479372 | PA      | $1428135.47   | 0.11%             | 2029-10-15      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 2024-1                       | CUSIP: 36268GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6032710.80   | 0.47%             | 2028-12-18      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 68213KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290894 | PA      | $279836.95    | 0.02%             | 2031-12-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                         | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4117429.60   | 0.32%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 15-25%)                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |  11900000 | OU      | $-959026.59   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                 | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SBA47F17US00                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |    275652 | OU      | $55.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                | Apex Credit CLO 2021-II LLC                                                     | CUSIP: 58406CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9725000 | PA      | $9725000.00   | 0.76%             | 2034-10-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9635057 | PA      | $8424232.88   | 0.66%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2506807 | PA      | $1027868.34   | 0.08%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust    | BankAmerica Manufactured Housing Contract Trust                                 | CUSIP: 066053AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13743281 | PA      | $1278277.68   | 0.10%             | 2025-08-10      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                              | Mountain View CLO IX Ltd                                                        | CUSIP: 62432BAN3<br>LEI: 549300URXZ1TS31FK720 | Long             | ABS-CBDO         | CORP              | KY        |   1613843 | PA      | $1614708.07   | 0.13%             | 2031-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-9701.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.              | Conseco Finance Securitizations Corp                                            | CUSIP: 20846QHQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4881727 | PA      | $5061290.03   | 0.39%             | 2033-05-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                   | COLT 2021-RPL1 Trust                                                            | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550585 | PA      | $3267289.82   | 0.25%             | 2061-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-S3              | CUSIP: 65535VNS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10725 | PA      | $244966.16    | 0.02%             | 2035-08-25      | Floating      | 5.37%                 | No            |                  3 | On Loan: No      |
| National Collegiate Commutation Trust              | National Collegiate 2007-3 Commutation Trust                                    | CUSIP: 63544HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8758011 | PA      | $1226121.49   | 0.10%             | 2038-03-31      | Variable      | 8.64%                 | No            |                  3 | On Loan: No      |
| SLC Student Loan Trust                             | SLC Student Loan Trust 2008-2                                                   | CUSIP: 78444NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10169477 | PA      | $10071094.41  | 0.79%             | 2040-06-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST              | Harvest Commercial Capital Loan Trust 2019-1                                    | CUSIP: 41753CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295000 | PA      | $1220164.80   | 0.10%             | 2046-09-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.12.AA)_SGO61Q17US01                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   6974000 | OU      | $52942.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2006-B                                    | CUSIP: 78443CCY8<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   1392195 | PA      | $1355087.35   | 0.11%             | 2039-12-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                             | SWAP/CDSWAP/CDS: (ITRAXX.XO.42 35-100%)                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | XX        |  31770774 | OU      | $6844709.43   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                               | ACE Securities Corp Home Equity Loan Trust Series 2005-SD3                      | CUSIP: 004421TR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2101268 | PA      | $1874999.69   | 0.15%             | 2045-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10500000 | PA      | $-10729699.68 | -0.84%            | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2006-28CB                                                | CUSIP: 02147TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539107 | PA      | $585283.03    | 0.05%             | 2036-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.   | BCMSC Trust 1999-B                                                              | CUSIP: 09774XBE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8834023 | PA      | $590585.34    | 0.05%             | 2029-12-17      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $222.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                             | Chase Auto Owner Trust 2024-4                                                   | CUSIP: 16144YAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6847000 | PA      | $6910695.59   | 0.54%             | 2029-07-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                      | RFMSI Series 2005-SA4 Trust                                                     | CUSIP: 76111XYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50789310 | PA      | $0.51         | 0.00%             | 2035-09-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                 | New Century Home Equity Loan Trust 2006-S1                                      | CUSIP: 64352VQM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13477827 | PA      | $294975.71    | 0.02%             | 2036-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                           | OZLM VII Ltd                                                                    | CUSIP: 67108XAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1083456 | PA      | $7644.87      | 0.00%             | 2026-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                | Bear Stearns Mortgage Funding Trust 2006-AR1                                    | CUSIP: 07401LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5104340 | PA      | $4659587.29   | 0.36%             | 2036-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   3000000 | OU      | $39592.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                    | SWAP/CDSWAP/ICE: (ITRAXX.FINSR.43.V1)                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        | 104425000 | OU      | $-2495654.67  | -0.19%            |  |  |  | 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        |   3493777 | PA      | $195210.60    | 0.02%             | 2036-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2004-B                                    | CUSIP: 78443CBP8<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |   5752875 | PA      | $5683851.10   | 0.44%             | 2033-09-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                    | Saranac CLO III Ltd                                                             | CUSIP: 803169AN1<br>LEI: 5493000LWP4BVD5LGS13 | Long             | ABS-CBDO         | CORP              | JE        |     31885 | PA      | $31897.17     | 0.00%             | 2030-06-22      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5846037 | PA      | $2468873.92   | 0.19%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                   | SMB Private Education Loan Trust 2023-B                                         | CUSIP: 78449HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000 | PA      | $490341.50    | 0.04%             | 2056-10-16      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2007-A                                    | CUSIP: 78443DAD4<br>LEI: 549300T563MF7L069881 | Long             | ABS-O            | CORP              | US        |   9553030 | PA      | $9356609.49   | 0.73%             | 2041-12-16      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.8.A)                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   2757126 | OU      | $140001.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2005-4                                           | CUSIP: 07324SCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001332 | PA      | $946196.22    | 0.07%             | 2036-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS 2018-CHRS Mortgage Trust                                                  | CUSIP: 05491VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11037000 | PA      | $9340536.94   | 0.73%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Zais CLO 13, Limited                               | Zais Clo 13 Ltd                                                                 | CUSIP: 98876NAW4<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |   4302462 | PA      | $4303081.52   | 0.34%             | 2032-07-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Private Education Refi Loan Trust 2022-A                                | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3710239 | PA      | $3392401.32   | 0.26%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                             | US 10YR NOTE (CBT)DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       452 | NC      | $440331.62    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   2824814 | OU      | $-9797.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                     | FirstKey Homes 2021-SFR3 Trust                                                  | CUSIP: 33768JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6284774 | PA      | $6107506.78   | 0.48%             | 2038-12-17      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SGO47F17US00                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    269227 | OU      | $54.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II         | Home Loan Trust 2006-HI4                                                        | CUSIP: 43718MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7662125 | PA      | $1463426.76   | 0.11%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   5000000 | OU      | $225278.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                           | Angel Oak Mortgage Trust 2025-5                                                 | CUSIP: 03466EAA8<br>LEI: 254900QA46POYH7UR768 | Long             | ABS-MBS          | CORP              | US        |   8647102 | PA      | $8727212.69   | 0.68%             | 2070-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (ITRAXX.XO.42.V2 35-100%)                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |  16100000 | OU      | $3468591.02   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                   | WFRBS Commercial Mortgage Trust 2014-C21                                        | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   2461087 | PA      | $2381151.11   | 0.19%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                  | JP Morgan Resecuritization Trust Series 2009-10                                 | CUSIP: 46634ACN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26996 | PA      | $26828.50     | 0.00%             | 2037-02-26      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                      | Corevest American Finance 2021-1 Trust                                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570117 | PA      | $558801.02    | 0.04%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                | Sounds Point CLO IV-R LTD                                                       | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |   1066283 | PA      | $1065196.27   | 0.08%             | 2031-04-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                         | KeyCorp Student Loan Trust 2004-A                                               | CUSIP: 493268CB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3912827 | PA      | $3768501.44   | 0.29%             | 2042-07-28      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 25-35%)                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   3060000 | OU      | $480914.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.6.BBB-)_SCI63K11US02                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   1658729 | OU      | $135804.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust             | Velocity Commercial Capital Loan Trust 2021-4                                   | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650554 | PA      | $4168349.29   | 0.32%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2007-1                                           | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977280 | PA      | $927559.60    | 0.07%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Arcap Reit Inc                                     | ARCap 2005-1 Resecuritization Trust                                             | CUSIP: 03927NAB9<br>LEI: N/A                  | Long             | ABS-O            |  | US        |   8586000 | PA      | $8.59         | 0.00%             | 2042-12-21      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2006-C                                    | CUSIP: 78443JAG4<br>LEI: 549300YULY9L7IV1S531 | Long             | ABS-O            | CORP              | US        |   2672291 | PA      | $2519210.37   | 0.20%             | 2039-12-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                    | Lehman XS Trust Series 2007-15N                                                 | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687673 | PA      | $671639.07    | 0.05%             | 2037-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust            | American Home Mortgage Investment Trust 2006-2                                  | CUSIP: 02660YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17663707 | PA      | $511479.13    | 0.04%             | 2036-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                           | Bear Stearns ALT-A Trust 2007-1                                                 | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572318 | PA      | $1341635.08   | 0.10%             | 2047-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2007-2                                   | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |   3037501 | PA      | $2957981.39   | 0.23%             | 2033-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                 | BX Trust 2019-OC11                                                              | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $8297067.60   | 0.65%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052490<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13800000 | PA      | $14106258.98  | 1.10%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                   | IndyMac INDA Mortgage Loan Trust 2007-AR1                                       | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789401 | PA      | $608147.22    | 0.05%             | 2037-03-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                           | OZLM XVIII Ltd                                                                  | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |   2780503 | PA      | $2781320.76   | 0.22%             | 2031-04-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS       | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust | CUSIP: 93934FGN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1649135 | PA      | $1450268.31   | 0.11%             | 2035-12-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II         | Home Equity Loan Trust 2005-HS1                                                 | CUSIP: 76110VRX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4328989 | PA      | $49767.79     | 0.00%             | 2035-09-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   5752000 | OU      | $698868.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B11 Mortgage Trust                                               | CUSIP: 08162BBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6490722 | PA      | $6240254.77   | 0.49%             | 2052-05-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                   | AccessLex Institute                                                             | CUSIP: 00432CBZ3<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |   3210659 | PA      | $2932637.41   | 0.23%             | 2043-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2006-1                                           | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322568 | PA      | $1238281.03   | 0.10%             | 2036-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS       | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust  | CUSIP: 93936PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7370834 | PA      | $6801645.58   | 0.53%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Private Credit Student Loan Trust 2006-B                                    | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   7078468 | PA      | $6918424.14   | 0.54%             | 2039-12-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                   | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SDB47M10US00                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |   1020480 | OU      | $206.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                | SOUND POINT CLO XIX Ltd                                                         | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |    719424 | PA      | $719593.85    | 0.06%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                              | Tricon American Homes 2020-SFR2 Trust                                           | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5388053 | PA      | $5083784.31   | 0.40%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   3000000 | OU      | $135167.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                           | OBX 2025-NQM8 Trust                                                             | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   7733060 | PA      | $7798542.27   | 0.61%             | 2065-03-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC             | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |   9119398 | OU      | $-31630.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust             | National Collegiate Student Loan Trust 2007-3                                   | CUSIP: 63544DAH5<br>LEI: 635400MZY2WMKATC8Y90 | Long             | ABS-O            | CORP              | US        |     24944 | PA      | $19441.70     | 0.00%             | 2038-03-25      | Variable      | 7.94%                 | No            |                  3 | On Loan: No      |
| State Street Global Advisors                       | State Street Institutional Treasury Money Market Fund                           | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |    921314 | NS      | $921314.48    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust               | GMACM Home Equity Loan Trust 2004-HE3                                           | CUSIP: 361856DL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2206875 | PA      | $2169582.11   | 0.17%             | 2034-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial           | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                  | CUSIP: 52521UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4413175 | PA      | $4367526.44   | 0.34%             | 2037-10-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| National Collegiate II Commutation Trust           | National Collegiate II Commutation Trust                                        | CUSIP: 63543CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7625000 | PA      | $1067500.00   | 0.08%             | 2038-03-25      | Floating      | 8.07%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                   | SMB Private Education Loan Trust 2015-B                                         | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |   2097744 | PA      | $2087768.68   | 0.16%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                     | Bayview Commercial Asset Trust 2007-4                                           | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6525696 | PA      | $6116961.96   | 0.48%             | 2037-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   9999340 | OU      | $-34682.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                 | Shackleton 2014-V-R CLO Ltd                                                     | CUSIP: 81881JAC6<br>LEI: 549300OM5GJJFIKCOZ48 | Long             | ABS-CBDO         | CORP              | KY        |    511323 | PA      | $511740.26    | 0.04%             | 2031-05-07      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.7.A)_SGO47F17US06                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    661827 | OU      | $147806.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.14.A)                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   2682000 | OU      | $140273.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Commercial Mortgage Securities Trust          | WaMu Commercial Mortgage Securities Trust 2006-SL1                              | CUSIP: 933633AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4550000 | PA      | $4521545.21   | 0.35%             | 2043-11-23      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                | COMM 2024-277P Mortgage Trust                                                   | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15516000 | PA      | $16396815.39  | 1.28%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates            | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust                  | CUSIP: 933638AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766205 | PA      | $704981.00    | 0.05%             | 2047-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                 | New Century Home Equity Loan Trust 2006-S1                                      | CUSIP: 64352VQN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20497131 | PA      | $448145.16    | 0.03%             | 2036-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2                   | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7618185 | PA      | $7100739.00   | 0.55%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC             | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |   5156000 | OU      | $341412.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.17.BBB-)                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   3966000 | OU      | $-504545.25   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                      | Gallatin CLO VIII 2017-1 Ltd                                                    | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12028973 | PA      | $12041495.55  | 0.94%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                           | Bear Stearns ALT-A Trust 2004-11                                                | CUSIP: 07386HMR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975740 | PA      | $975632.97    | 0.08%             | 2034-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CMBX.NA.8.A)                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   1008557 | OU      | $51212.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9130000 | PA      | $8246969.32   | 0.64%             | 2054-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                             | Conseco Finance Corp                                                            | CUSIP: 393505K35<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008910 | PA      | $1022690.08   | 0.08%             | 2030-06-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc          | Structured Asset Mortgage Investments II Trust 2007-AR1                         | CUSIP: 86362XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2887261 | PA      | $2582802.65   | 0.20%             | 2037-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                              | Terwin Mortgage Trust 2006-7                                                    | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7606004 | PA      | $3258442.40   | 0.25%             | 2037-08-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                       | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3856216 | PA      | $3282809.13   | 0.26%             | 2060-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                              | Tricon American Homes 2020-SFR1                                                 | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9307941 | PA      | $9072629.60   | 0.71%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial           | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1                  | CUSIP: 52521GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2169814 | PA      | $2002201.39   | 0.16%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                            | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 15-25%)                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   3060000 | OU      | $246606.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                           | ISHARES IBOXX HIGH YIELD COR                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |     -3400 | NC      | $-20400.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GMO US Treasury Fund                               | GMO US Treasury Fund                                                            | CUSIP: 362013369<br>LEI: 0NIBQB0NDRTFX04R2J69 | Long             | EC               | RF                | US        |   2323242 | NS      | $11639443.41  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                                | COMM 2018-COR3 Mortgage Trust                                                   | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26327712 | PA      | $25921554.39  | 2.02%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                    | Oakwood Mortgage Investors Inc                                                  | CUSIP: 674135DG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625371 | PA      | $626969.02    | 0.05%             | 2028-05-15      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                        | SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   2000000 | OU      | $26395.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                        | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-700.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 2024-A                                           | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7066781.40   | 0.55%             | 2029-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-06

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer