# EDGAR Filing Document

**Accession Number:** 0001829774
**File Stem:** 0000910472-25-002899
**Filing Date:** 2025-10
**Character Count:** 370487
**Document Hash:** eeabbd5777670217ce521c1753d539f5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-25-002899.hdr.sgml**: 20251030

**ACCESSION NUMBER**: 0000910472-25-002899

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251030

**DATE AS OF CHANGE**: 20251030

**PERIOD START**: 20250831

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23611
- **FILM NUMBER:** 251434500

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-08-31

- **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:** $428357380.19

**Total Liabilities:** $14388681.37

**Net Assets:** $413968698.82

**Cash Not Reported:** $17994960.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1239.13383200 | **1-Year:** 4691.32859400 | **5-Year:** 20677.00408500 | **10-Year:** 59901.38806600 | **30-Year:** 11619.81172900

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

- **3-Month:** 514.38683300 | **1-Year:** -1299.51347900 | **5-Year:** -3787.26807200 | **10-Year:** 22069.10746500 | **30-Year:** 11531.28646400

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000224285 | 0.75%                | 0.12%                | 1.09%                |
| Class ID C000224287 | 0.76%                | 0.25%                | 1.20%                |
| Class ID C000224286 | 0.60%                | 0.07%                | 1.07%                |
| Class ID C000224288 | 0.79%                | 0.16%                | 1.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $949645.24               | $721786.72                                 |
| Month 2  | $641863.15               | $-1185693.43                               |
| Month 3  | $1549697.39              | $1343490.53                                |

**Designated Index Information**

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

- **Index Identifier:** I00001US-USD

### Schedule of Portfolio Investments

| Name                                                                                                     | Title                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CSMC TRUST 2021-RPL2                                                                                     | CSMC 2021-RPL2 M3         | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279423 | PA      | $189646.99    | 0.05%             | 2060-01-25      | Floating      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 01/29/31        | CUSIP: 22546VTV8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   1220000 | PA      | $1018700.00   | 0.25%             | 2031-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2003-AR3 B1         | CUSIP: 939336H30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144743 | PA      | $123867.42    | 0.03%             | 2033-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                            | CBASS 2003-CB1 M1         | CUSIP: 79549ARX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45757 | PA      | $45439.97     | 0.01%             | 2033-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                                          | BANK 2019-BN19 A1         | CUSIP: 06540WBA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13229 | PA      | $11670.19     | 0.00%             | 2061-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | RAST 2003-A10 A5          | CUSIP: 45660NUH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376661 | PA      | $362337.80    | 0.09%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                                                   | SEMT 2017-1 B3            | CUSIP: 81746TCD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65714 | PA      | $48901.01     | 0.01%             | 2047-02-25      | Floating      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2006-3 1A9           | CUSIP: 17310BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23809 | PA      | $19443.75     | 0.00%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SHELLPOINT CO-ORIGINATOR TRUST                                                                           | SCOT 2017-1 B4            | CUSIP: 82280RCE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67001 | PA      | $47099.23     | 0.01%             | 2047-04-25      | Floating      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | GMACM 2005-AR5 4A1        | CUSIP: 76112BYD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1448425 | PA      | $1265844.13   | 0.31%             | 2035-09-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VELOCITY COM CAP LN TR 2021-4                                                                            | VCC 2021-4 M5             | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2134063 | PA      | $1724297.45   | 0.42%             | 2051-12-26      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST                                                                                  | FSMT 2019-2 B3            | CUSIP: 33852BAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259927 | PA      | $216586.58    | 0.05%             | 2049-12-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-5 B             | CUSIP: 78444YAE5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    375000 | PA      | $379589.55    | 0.09%             | 2073-07-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2004-2 Trust                                                                     | BAFC 2010-R3 4A3          | CUSIP: 05955YAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    971307 | PA      | $834032.88    | 0.20%             | 2036-06-26      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/27/28         | CUSIP: 61760QDJ0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $883050.00    | 0.21%             | 2028-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                   | JPMCC 2012-WLDN A         | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1216535 | PA      | $1168129.47   | 0.28%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS 8 10/31/31            | CUSIP: 22548QKB0<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   1079000 | PA      | $913103.75    | 0.22%             | 2031-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C FLOAT 12/29/34          | CUSIP: 1730T03J6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    507000 | PA      | $356167.50    | 0.09%             | 2034-12-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2007-4 1A1           | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274143 | PA      | $185900.77    | 0.04%             | 2036-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2004-7 1A1            | CUSIP: 36228F4P8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    106923 | PA      | $96227.02     | 0.02%             | 2034-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 05/29/35         | CUSIP: 61760QGD0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90000.00     | 0.02%             | 2035-05-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                                                         | GECMS 1999-HE1 A6         | CUSIP: 36157RD77<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33035 | PA      | $33293.54     | 0.01%             | 2029-04-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2004-4XS 1A5         | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79919 | PA      | $78995.54     | 0.02%             | 2034-02-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 3A1       | CUSIP: 12667FYS8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     70476 | PA      | $62811.30     | 0.02%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 12/31/34            | CUSIP: 61760QFN9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    230000 | PA      | $155825.00    | 0.04%             | 2034-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 01/31/37             | CUSIP: 61766YAZ4<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1707000 | PA      | $1459485.00   | 0.35%             | 2037-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                 | JPALT 2005-S1 1A8         | CUSIP: 46627MAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244755 | PA      | $27587.29     | 0.01%             | 2035-12-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J11 1A3        | CUSIP: 12668AJB2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     50365 | PA      | $27356.55     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 09/30/30            | CUSIP: 61760QHJ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    428000 | PA      | $355240.00    | 0.09%             | 2030-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2005-4 1A1           | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178846 | PA      | $148971.81    | 0.04%             | 2035-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                                          | MLCC 2007-3 2A2           | CUSIP: 59022XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39615 | PA      | $29903.03     | 0.01%             | 2037-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/29/29         | CUSIP: 61761JRD3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97250.00     | 0.02%             | 2029-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                                                         | INDA 2006-AR1 A2          | CUSIP: 45662BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857462 | PA      | $640486.68    | 0.15%             | 2036-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/31/35         | CUSIP: 61760QFU3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    888000 | PA      | $630480.00    | 0.15%             | 2035-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                               | NOMURA FLOAT 02/28/34     | CUSIP: 65539ABB5<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |     65000 | PA      | $51694.31     | 0.01%             | 2034-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 04/30/30         | CUSIP: 61760QFX7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4385000 | PA      | $3639550.00   | 0.88%             | 2030-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WinWater Mortgage Loan Trust 2015-4                                                                      | WIN 2015-1 B2             | CUSIP: 97652TBC6<br>LEI: 549300PWVP7DMQC42S40 | Long             | ABS-O            | CORP              | US        |    192625 | PA      | $181058.81    | 0.04%             | 2045-01-20      | Floating      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Business Loan 07-A                                                                                       | BLX 2007-AX C             | CUSIP: U1220MAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     79859 | PA      | $68770.41     | 0.02%             | 2040-10-20      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J3 2A1         | CUSIP: 12669FFD0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     33670 | PA      | $36325.52     | 0.01%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                                                     | NATCM 2008-1 2A2          | CUSIP: 635419AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25209 | PA      | $25626.42     | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2009-10 6A2         | CUSIP: 17316AAZ3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    139883 | PA      | $127714.18    | 0.03%             | 2034-09-25      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                         | MSAC 2003-SD1 M2          | CUSIP: 61746RCG4<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    252736 | PA      | $226467.69    | 0.05%             | 2033-03-25      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                         | BALTA 2004-11 2A1         | CUSIP: 07386HMV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3393 | PA      | $3182.00      | 0.00%             | 2034-11-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2014-150E B           | CUSIP: 61764BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172000 | PA      | $131295.46    | 0.03%             | 2032-09-09      | Fixed         | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2006-7 1A             | CUSIP: 61749JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22816 | PA      | $18943.01     | 0.00%             | 2026-04-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-1 21A1         | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8853 | PA      | $8237.61      | 0.00%             | 2034-04-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon 06-Ar3                                                                                       | FHASI 2006-AR3 1A1        | CUSIP: 32052EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77563 | PA      | $38715.80     | 0.01%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-7 6A1           | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39537 | PA      | $40175.31     | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MOR                                                                           | CSFB 2005-10 2A1          | CUSIP: 225470DV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5706 | PA      | $0.06         | 0.00%             | 2025-01-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-3 2A1           | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43971 | PA      | $45642.92     | 0.01%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-7 B1            | CUSIP: 576433HV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34092 | PA      | $33456.64     | 0.01%             | 2034-01-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 9 11/30/35             | CUSIP: 61760QJD7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    176000 | PA      | $158400.00    | 0.04%             | 2035-11-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2005-8 9A9           | CUSIP: 2254582T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102623 | PA      | $67913.04     | 0.02%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BBH                                                                                                      | BBH SWEEP VEHICLE         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |  49743720 | PA      | $49743719.62  | 12.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 14 04/30/33            | CUSIP: 61766YCR0<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    737000 | PA      | $619080.00    | 0.15%             | 2033-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2          | CBAC 2007-1A A            | CUSIP: 14984WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1476604 | PA      | $1374201.83   | 0.33%             | 2039-07-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                                                     | GFMT 2017-1 A22           | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18264 | PA      | $15422.01     | 0.00%             | 2056-07-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Csmc Ser 2014-10r                                                                                        | CSMC 2014-10R 1A2         | CUSIP: 12649BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2121316 | PA      | $479497.17    | 0.12%             | 2036-05-27      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 04/30/35         | CUSIP: 61760QFY5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    921000 | PA      | $828900.00    | 0.20%             | 2035-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                 | JPALT 2006-A1 1A2         | CUSIP: 46627MCT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    749394 | PA      | $601323.57    | 0.15%             | 2036-03-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                                        | STWD 2022-FL3 A           | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    333686 | PA      | $333537.07    | 0.08%             | 2038-11-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                       | SASC 2005-RF2 A           | CUSIP: 86359DEX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66607 | PA      | $60050.97     | 0.01%             | 2035-04-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| National Collegiate Stud Ln 06-3                                                                         | NCSLT 2006-3 B            | CUSIP: 63543VAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $197127.39    | 0.05%             | 2032-01-26      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Corp. & Bishops Gate Residential Mortgage Trust Pass Through Certificates Series 2002 2 | CDMC 2004-1 A7            | CUSIP: 151314GB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    872490 | PA      | $879490.79    | 0.21%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2024-1                                                                           | MSAIC 2024-1A C           | CUSIP: 618937AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $308271.20    | 0.07%             | 2049-09-20      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | RAMP 2002-SL1 AII4        | CUSIP: 760985LJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245058 | PA      | $218877.89    | 0.05%             | 2032-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST 2021-1                                                                                   | GOODG 2021-1A C           | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1609320 | PA      | $1275867.96   | 0.31%             | 2056-10-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-J2 3A12         | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    477693 | PA      | $290358.81    | 0.07%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA4 A1         | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16162 | PA      | $15291.45     | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                                               | MSSTR 2004-1 4A1          | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46939 | PA      | $43276.58     | 0.01%             | 2032-10-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-12R A3         | CUSIP: 12667GAR4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     29972 | PA      | $29667.10     | 0.01%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                                    | LMT 2006-2 2A3            | CUSIP: 52520MGL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117343 | PA      | $118160.26    | 0.03%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 0 03/31/35             | CUSIP: 61760QFV1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    346000 | PA      | $236145.00    | 0.06%             | 2035-03-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS FLOAT 11/27/33     | CUSIP: 5394E8CE7<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    655000 | PA      | $459286.00    | 0.11%             | 2033-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C 10 03/29/34             | CUSIP: 17326YL95<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182000.00    | 0.04%             | 2034-03-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2014-150E AS          | CUSIP: 61764BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $369195.50    | 0.09%             | 2032-09-09      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-54CB 1A11      | CUSIP: 12668APD1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     28045 | PA      | $21560.81     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2006-8AR 4A2          | CUSIP: 61749LAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9222 | PA      | $8178.64      | 0.00%             | 2036-06-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Trust Series 2006-Wf1                                                            | NHELI 2006-HE2 M1         | CUSIP: 65536MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76985 | PA      | $67805.57     | 0.02%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                                                      | JPMBB 2014-C22 C          | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418000 | PA      | $388486.90    | 0.09%             | 2047-09-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA1 A1         | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107426 | PA      | $107526.08    | 0.03%             | 2034-06-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2020-B19 B          | CUSIP: 08162WBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $388333.80    | 0.09%             | 2053-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ACHM TRUST 2023-HE2                                                                                      | ACHM 2023-HE2 A           | CUSIP: 00111NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199805 | PA      | $1238730.36   | 0.30%             | 2038-10-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ML-Cfc Commercial Mortgage Trust 2007-8                                                                  | MLCFC 2007-5 AJ           | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3081884 | PA      | $519390.60    | 0.13%             | 2048-08-12      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 1998-1 A            | CUSIP: 36228FAA4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     14822 | PA      | $13030.57     | 0.00%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2021-                                                                      | CBSLT 2021-BGS B          | CUSIP: 20268AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    934240 | PA      | $756906.95    | 0.18%             | 2051-09-25      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                               | IMSA 2006-1 2A1           | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77521 | PA      | $75272.07     | 0.02%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital Llc                                                                             | CDMC 2004-4 A8            | CUSIP: 15132EJW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63098 | PA      | $63027.06     | 0.02%             | 2034-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR 10 10/18/28          | CUSIP: 06741TS24<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $42375.00     | 0.01%             | 2028-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2013-6 B1            | CUSIP: 81745BAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84502 | PA      | $82928.45     | 0.02%             | 2043-05-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2002-9 1A2           | CUSIP: 22540VG71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366989 | PA      | $330700.75    | 0.08%             | 2032-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 08/15/33       | CUSIP: 06741TZW0<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $51375.00     | 0.01%             | 2033-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern Pacific Secured Assets Corp.                                                                    | SPSAC 1997-2 M1F          | CUSIP: 843590BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114024 | PA      | $158220.24    | 0.04%             | 2027-05-25      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-3                                                                        | VERUS 2023-3 A3           | CUSIP: 92539GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173531 | PA      | $174294.18    | 0.04%             | 2068-03-25      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMM CAP TR 2019-3                                                                              | VCC 2019-3 M6             | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373028 | PA      | $317039.74    | 0.08%             | 2049-10-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                                                | CHASE 2020-CL1 M3         | CUSIP: 46591HAJ9<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    131135 | PA      | $140853.10    | 0.03%             | 2057-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2004-4XS 1M1         | CUSIP: 86359BHR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391934 | PA      | $400961.73    | 0.10%             | 2034-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2018-BOP A            | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124657 | PA      | $102985.68    | 0.02%             | 2033-08-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC                                                                    | USRE 2021-1 B1            | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $165017.58    | 0.04%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-AR3 2A1          | CUSIP: 36242D4S9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     13700 | PA      | $10759.01     | 0.00%             | 2035-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 8A1         | CUSIP: 55265K2N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159036 | PA      | $142863.18    | 0.03%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-25 1A8          | CUSIP: 22541QYL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42614 | PA      | $41982.51     | 0.01%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 09/30/36             | CUSIP: 61766YAP6<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $977265.00    | 0.24%             | 2036-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS X ISSUER LLC                                                                              | SNVA 2022-C A             | CUSIP: 86744WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    492564 | PA      | $460544.40    | 0.11%             | 2049-11-22      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-8AR 2A           | CUSIP: 61748HED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18350 | PA      | $16744.33     | 0.00%             | 2034-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 08/31/26         | CUSIP: 61745E7E5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118750.00    | 0.03%             | 2026-08-31      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/30/30         | CUSIP: 61760QHW7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    151000 | PA      | $120800.00    | 0.03%             | 2030-10-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Abs 07-1                                                                                          | LABSM 2007-1 2A2          | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589470 | PA      | $380405.90    | 0.09%             | 2037-06-25      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                                          | MSDWC 2003-HYB1 A3        | CUSIP: 61746WB90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41406 | PA      | $37329.32     | 0.01%             | 2033-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO XI-C LTD /LLC                                                                                 | CARVL 2024-3A A1          | CUSIP: 14688RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    180000 | PA      | $175880.52    | 0.04%             | 2037-10-20      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 02/27/35         | CUSIP: 61760QFS8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $27300.00     | 0.01%             | 2035-02-27      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                    | SOCGEN 21 10/29/32        | CUSIP: 83369EE55<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    744000 | PA      | $639840.00    | 0.15%             | 2032-10-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. AUTO FD TR 2022-1                                                                                   | USAUT 2022-1A A           | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       970 | PA      | $967.59       | 0.00%             | 2025-04-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-Ms1                                                                  | MSC 2015-MS1 D            | CUSIP: 61765DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $164855.70    | 0.04%             | 2048-05-15      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST SECURI                                                                      | RBSSP 2013-5 2A2          | CUSIP: 74932HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4669483 | PA      | $4034260.05   | 0.97%             | 2033-07-26      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/16/31         | CUSIP: 61745EL58<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    268200 | PA      | $211878.00    | 0.05%             | 2031-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CTY SOLAR LN 2019-1                                                                                 | MCSLT 2019-1A A           | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    437026 | PA      | $381495.34    | 0.09%             | 2043-03-20      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2018-1                                                                           | MSAIC 2018-1A B           | CUSIP: 61946FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98669 | PA      | $79169.51     | 0.02%             | 2043-06-22      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2018-1                                                            | VCC 2018-1 M6             | CUSIP: 92257AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807590 | PA      | $721849.22    | 0.17%             | 2048-04-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 10/30/30            | CUSIP: 61760QHY3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    171000 | PA      | $115338.47    | 0.03%             | 2030-10-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                                    | BSABS 2006-AC2 21A6       | CUSIP: 07387UGU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582640 | PA      | $223543.00    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2020-IG3 C          | CUSIP: 08162QAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $78592.44     | 0.02%             | 2048-09-15      | Floating      | 3.36%                 | Yes           |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C2 C           | CUSIP: 12634NAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2634000 | PA      | $2423269.73   | 0.59%             | 2057-06-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                        | NWG FLOAT 08/26/31        | CUSIP: 78009PBK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $74500.00     | 0.02%             | 2031-08-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-7 M4             | CUSIP: 45254NKN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17724 | PA      | $17936.00     | 0.00%             | 2034-11-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| USASF RECEIVABLES LLC 21-1A                                                                              | USAUT 2021-1A D           | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $69753.60     | 0.02%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Financial Asset Securities Corp.                                                                         | AAA 2005-2 A3             | CUSIP: 31738PBG2<br>LEI: 213800MPFYUR94LO7914 | Long             | ABS-O            | CORP              | US        |     41117 | PA      | $34546.16     | 0.01%             | 2035-11-26      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/31/34         | CUSIP: 61760QFE9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    295000 | PA      | $212400.00    | 0.05%             | 2034-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2020-B17 E          | CUSIP: 08162MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $510945.73    | 0.12%             | 2053-03-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2005-RP2 1AF        | CUSIP: 36242DT52<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     26586 | PA      | $24986.45     | 0.01%             | 2035-03-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2004-4XS A3A         | CUSIP: 86359BHJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12961 | PA      | $12815.55     | 0.00%             | 2034-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 8 08/31/37            | CUSIP: 47233JAV0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $797895.00    | 0.19%             | 2037-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-25 1A11         | CUSIP: 22541QF56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127842 | PA      | $126087.81    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                                     | BAYV 2006-A B1            | CUSIP: 07325NDC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    806416 | PA      | $806015.31    | 0.19%             | 2041-02-28      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J8 2A1         | CUSIP: 12667FSH9<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    126698 | PA      | $133032.33    | 0.03%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C 10 08/31/35             | CUSIP: 1730T3AV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     55000 | PA      | $40150.00     | 0.01%             | 2035-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 11/26/34         | CUSIP: 25152RXG3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    961000 | PA      | $661888.75    | 0.16%             | 2034-11-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 8 12/23/35             | CUSIP: 61760QJF2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    241000 | PA      | $216900.00    | 0.05%             | 2035-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                                           | CBASS 2004-RP1 B1         | CUSIP: 124860EL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360918 | PA      | $1342668.97   | 0.32%             | 2050-05-25      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2020-1                                                            | VCC 2020-1 M2             | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59372 | PA      | $43775.65     | 0.01%             | 2050-02-25      | Floating      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SARM 2004-2 4A1           | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39175 | PA      | $36293.07     | 0.01%             | 2034-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2020-B17 C          | CUSIP: 08162MBD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $346624.37    | 0.08%             | 2053-03-15      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 9A6         | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43154 | PA      | $43764.06     | 0.01%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST                                                                | NAVSL 2020-FA B           | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $134354.75    | 0.03%             | 2069-07-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2003-L 2A1          | CUSIP: 05948XQ95<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     27042 | PA      | $25776.41     | 0.01%             | 2034-01-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 11/22/32          | CUSIP: 17324CP34<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30100.00     | 0.01%             | 2032-11-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp.                                                                         | MRFC 2000-TBC3 B4         | CUSIP: 585525EU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77866 | PA      | $72827.03     | 0.02%             | 2030-12-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1A3          | CUSIP: 36242DJT1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    277052 | PA      | $256879.42    | 0.06%             | 2034-06-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 12/03/28         | CUSIP: 61760QDT8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $109687.50    | 0.03%             | 2028-12-03      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-4 B1           | CUSIP: 07384MVW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57585 | PA      | $52623.79     | 0.01%             | 2033-07-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2003-A4 3A           | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25159 | PA      | $23664.10     | 0.01%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF FLOAT 02/28/38        | CUSIP: 47233JBJ6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    762000 | PA      | $630417.76    | 0.15%             | 2038-02-28      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-216 IO           | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    683622 | PA      | $36537.46     | 0.01%             | 2065-07-16      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA3 A1         | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6728 | PA      | $6881.34      | 0.00%             | 2034-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2003-4 3M2            | CUSIP: 45254NEK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38543 | PA      | $38231.08     | 0.01%             | 2033-07-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Hudson's Bay Simon JV Trust                                                                              | HBCT 2015-HB7 A7          | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340099 | PA      | $339777.23    | 0.08%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS4                                                                    | GSMS 2016-GS4 C           | CUSIP: 36251XAY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $905190.10    | 0.22%             | 2049-11-10      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST                                                                | NAVSL 2019-FA B           | CUSIP: 63935CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $190925.45    | 0.05%             | 2068-08-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-4 2M1            | CUSIP: 45254NPN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170078 | PA      | $163511.36    | 0.04%             | 2035-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A7 2A1R        | CUSIP: 46629DAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121747 | PA      | $92344.73     | 0.02%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2005-1 2A9          | CUSIP: 57643MKL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56079 | PA      | $42860.68     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT FUND                                                                                                | COLT 2021-3R A2           | CUSIP: 19688DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24413 | PA      | $21563.90     | 0.01%             | 2064-12-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Residential                                                                                        | OCMBS 1999-R2 B2          | CUSIP: 675748CF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43422 | PA      | $1640.33      | 0.00%             | 2039-06-25      | Floating      | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 01/21/26         | CUSIP: 61745E2K6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68337.50     | 0.02%             | 2026-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FN BY8354                 | CUSIP: 3140NRH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2962385 | PA      | $3045055.94   | 0.74%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2005-RA1 3B4        | CUSIP: 9393364V2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4336 | PA      | $3644.30      | 0.00%             | 2035-01-25      | Floating      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2004-AR11 2A         | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17241 | PA      | $15314.33     | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/31/31         | CUSIP: 61745E6X4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17100.00     | 0.00%             | 2031-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB 7 1/2 01/31/33         | CUSIP: 25152RUV3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    120000 | PA      | $80250.00     | 0.02%             | 2033-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2004-S2 4A5         | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19557 | PA      | $18101.88     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-5 1A1          | CUSIP: 07384MWF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22615 | PA      | $21987.57     | 0.01%             | 2033-08-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV1                                                                                           | GCAT 2024-INV1 1A2        | CUSIP: 36831BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96152 | PA      | $96449.06     | 0.02%             | 2054-01-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2015-RP2 A          | CUSIP: 17323TAC4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     34912 | PA      | $33106.04     | 0.01%             | 2053-01-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 11/28/34         | CUSIP: 61760QFJ8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     60000 | PA      | $43200.00     | 0.01%             | 2034-11-28      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2007-1 M2            | CUSIP: 07325MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61853 | PA      | $53348.49     | 0.01%             | 2037-03-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                            | SBM7 2002-WMC1 M1         | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2985 | PA      | $2837.86      | 0.00%             | 2032-01-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2B             | CUSIP: 45254NRY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78825 | PA      | $77056.91     | 0.02%             | 2036-02-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J2 A1          | CUSIP: 12669E4A1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     84686 | PA      | $86693.29     | 0.02%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                              | DELHE 1999-3 A2F          | CUSIP: 24763LFV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102014 | PA      | $96854.79     | 0.02%             | 2029-09-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                                     | BAFC 2006-H 2A2           | CUSIP: 05950PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172001 | PA      | $143803.13    | 0.03%             | 2046-09-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2005-8 B             | CUSIP: 78442GQT6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     54850 | PA      | $52238.37     | 0.01%             | 2055-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2022-1 M5             | CUSIP: 92258XAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1755486 | PA      | $1300371.84   | 0.31%             | 2052-02-25      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                                      | COMM 2014-UBS3 AM         | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135858 | PA      | $130239.65    | 0.03%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO VII LTD /LLC                                                                                | TREST 2024-7A A1          | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |    120000 | PA      | $120287.28    | 0.03%             | 2037-10-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-J9 2A6          | CUSIP: 12669GFL0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     46715 | PA      | $45996.70     | 0.01%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                                                                   | CMHAT 2019-MH1 M          | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1345141.50   | 0.32%             | 2044-11-01      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                                      | NAA 2007-1 1A3            | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66670 | PA      | $63111.87     | 0.02%             | 2047-03-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-6 3A           | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84101 | PA      | $80796.46     | 0.02%             | 2034-09-25      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 08/29/34            | CUSIP: 61760QES9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $307125.00    | 0.07%             | 2034-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ryland Mortgage Securities Corp.                                                                         | RYMS 1994-1 B             | CUSIP: 783766QB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1414 | PA      | $0.00         | 0.00%             | 2030-04-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2007-4 1A5           | CUSIP: 17312XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167229 | PA      | $147266.35    | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI As Ln 2007-Ar2                                                                                       | HALO 2007-AR2 4A1         | CUSIP: 44329EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152234 | PA      | $114355.56    | 0.03%             | 2037-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2003-S3 1A4          | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69731 | PA      | $67446.64     | 0.02%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                                                                                 | JPMMT 2019-8 B4           | CUSIP: 46591KBW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171711 | PA      | $151076.74    | 0.04%             | 2050-03-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                                                       | WFALT 2007-PA1 A7         | CUSIP: 94984TAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139605 | PA      | $124178.62    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 10 10/31/37           | CUSIP: 47233JBB3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    240000 | PA      | $180300.00    | 0.04%             | 2037-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST                                                                                 | KSBA 2014-5 A             | CUSIP: 48249WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1008610 | PA      | $29554.58     | 0.01%             | 2040-10-25      | Floating      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/36             | CUSIP: 61766YAL5<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59850.00     | 0.01%             | 2036-08-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C2 B           | CUSIP: 12634NAY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187000 | PA      | $180178.15    | 0.04%             | 2057-06-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J11 3A1        | CUSIP: 12667FXN0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     17001 | PA      | $17610.50     | 0.00%             | 2032-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2007-4 1A1           | CUSIP: 86363LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435164 | PA      | $384728.32    | 0.09%             | 2037-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loan Tst                                                                      | SNMLT 2005-2A A4          | CUSIP: 81441PCT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1521586.80   | 0.37%             | 2035-02-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Nassau 2018-I Ltd / Llc                                                                                  | NCC 2018-IA E             | CUSIP: 63170NAA9<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $212890.50    | 0.05%             | 2031-07-15      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Strats (SM) Trust For Goldman Sachs Capital I Securities Series 2005-1                                   | STRATS FLOAT 02/15/34     | CUSIP: 86312BAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $106788.33    | 0.03%             | 2034-02-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST 2021-1                                                                  | NWSB 2021-1 A             | CUSIP: 65253MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31811 | PA      | $31757.20     | 0.01%             | 2048-12-25      | Floating      | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                                    | ARMT 2005-6A 2A2          | CUSIP: 007036PH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447362 | PA      | $123856.39    | 0.03%             | 2035-11-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2005-3 B1            | CUSIP: 81744FHP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268661 | PA      | $172054.48    | 0.04%             | 2035-05-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2003-1 A            | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134487 | PA      | $116087.75    | 0.03%             | 2033-05-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 8 09/29/37             | CUSIP: 61766YBY6<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    168000 | PA      | $143640.00    | 0.03%             | 2037-09-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2003-R4 2A           | CUSIP: 12669FFS7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     96154 | PA      | $83124.77     | 0.02%             | 2034-01-25      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                                                      | BFLD 2020-EYP A           | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $287271.92    | 0.07%             | 2035-10-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                               | JPMCC 2013-LC11 E         | CUSIP: 46639YAC1<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $19750.50     | 0.00%             | 2046-04-15      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                                    | MHL 2005-2 2A             | CUSIP: 61915RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58119 | PA      | $56195.91     | 0.01%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                                      | GMSL 2004-A A3            | CUSIP: 378961AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    416306 | PA      | $419105.16    | 0.10%             | 2032-11-25      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-3 B             | CUSIP: 78444GAD6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    375000 | PA      | $378304.05    | 0.09%             | 2083-04-26      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage Capital Llc Series 2005 3                                                                   | PHHMC 2005-4 A8           | CUSIP: 69336RBN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308036 | PA      | $303045.81    | 0.07%             | 2035-07-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAA 2003-8 1CB1          | CUSIP: 05948XTV3<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    140626 | PA      | $142137.55    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-UST1 A4        | CUSIP: 17307GLB2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     52378 | PA      | $47075.32     | 0.01%             | 2034-08-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-12R A4         | CUSIP: 12667GAS2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    738357 | PA      | $730849.46    | 0.18%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                      | BNS FLOAT 06/27/33        | CUSIP: 064159CK0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    190000 | PA      | $126350.00    | 0.03%             | 2033-06-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                                       | GSR 2006-10F 4A1          | CUSIP: 36266WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2335857 | PA      | $323315.06    | 0.08%             | 2037-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FN 257064                 | CUSIP: 31371NQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32193 | PA      | $32126.73     | 0.01%             | 2037-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-AR3 1A1          | CUSIP: 36242D4R1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     21761 | PA      | $19292.36     | 0.00%             | 2035-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                        | NWG FLOAT 08/18/31        | CUSIP: 78009PBE0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $97812.50     | 0.02%             | 2031-08-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Inc.                                                                        | CMSI 2005-4 1A5           | CUSIP: 172973W47<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     96121 | PA      | $94975.97     | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-220 E            | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    140000 | PA      | $88381.02     | 0.02%             | 2064-10-16      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                                        | CFAB 2002-4 2A1           | CUSIP: 161546DQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4633 | PA      | $4616.33      | 0.00%             | 2032-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                         | CWALT 2006-40T1 2A1       | CUSIP: 02148KAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104771 | PA      | $28264.32     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWTEK SML BUS LN TR 2022-1                                                                              | NWSB 2022-1 A             | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34810 | PA      | $35011.23     | 0.01%             | 2049-10-25      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                                     | FRESB 2018-SB48 B         | CUSIP: 30296RAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    866865 | PA      | $440976.25    | 0.11%             | 2038-02-25      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| SG Structured Products, Inc.                                                                             | SOCGEN FLOAT 03/31/26     | CUSIP: 78423AJ45<br>LEI: 549300D8JJ608SOIGA98 | Long             | DBT              | CORP              | US        |    202000 | PA      | $190890.00    | 0.05%             | 2026-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                                                   | SEQUOIA MORTGAGE TRUST    | CUSIP: 81745LAF0<br>LEI: 549300BU8OEB78D7JI24 | Long             | ABS-O            | CORP              | US        |    231092 | PA      | $215069.93    | 0.05%             | 2044-11-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                                                               | CSMC 2007-5R A5           | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309602 | PA      | $64859.57     | 0.02%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLCC 2004-HB1 A3          | CUSIP: 59020UEV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93568 | PA      | $80606.26     | 0.02%             | 2029-04-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                                    | GT 1996-5 B1              | CUSIP: 393505ND0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87573 | PA      | $79892.95     | 0.02%             | 2026-07-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                                                                         | ACCSS 2004-2 B            | CUSIP: 00432CBZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26186 | PA      | $23956.27     | 0.01%             | 2043-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018 C5                                                              | CGCMT 2015-GC35 C         | CUSIP: 17324KAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $661650.57    | 0.16%             | 2048-11-10      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2008-92 Z             | CUSIP: 38373M4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1394175 | PA      | $1337519.37   | 0.32%             | 2048-10-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2003-2F M2            | CUSIP: 45254NDT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22716 | PA      | $22670.39     | 0.01%             | 2033-01-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-55 IO            | CUSIP: 38381EX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7506205 | PA      | $305528.05    | 0.07%             | 2063-01-16      | Floating      | 0.57%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                                      | NAA 2005-AR3 1A1          | CUSIP: 65535VMJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399967 | PA      | $323581.45    | 0.08%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VELOCITY COM CAP LN 2022-4                                                                               | VCC 2022-4 M4             | CUSIP: 92259KAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683654 | PA      | $642137.27    | 0.16%             | 2052-08-25      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| CDX.NA.HY SERIES 44                                                                                      | MARKIT CDX.NA.HY.44 06/30 | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              | CORP              | N/A       | -17000000 | PA      | $1228352.10   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-82 Z             | CUSIP: 38381HCN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1800090 | PA      | $830968.94    | 0.20%             | 2064-02-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMM CAP TR 2019-2                                                                              | VCC 2019-2 M6             | CUSIP: 92257NAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1252236 | PA      | $935970.91    | 0.23%             | 2049-07-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                               | NOMURA FLOAT 12/31/33     | CUSIP: 655365AA2<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |    274000 | PA      | $183237.50    | 0.04%             | 2033-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2001-26 5A1          | CUSIP: 22540VFQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108792 | PA      | $108540.90    | 0.03%             | 2031-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2020-IG3 A4         | CUSIP: 08162QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $219276.68    | 0.05%             | 2048-09-15      | Fixed         | 2.44%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/37             | CUSIP: 61766YBW0<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    869000 | PA      | $623507.50    | 0.15%             | 2037-08-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/28         | CUSIP: 61760QCY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81601.70     | 0.02%             | 2028-07-31      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust 2004-2                                                           | AHM 2004-1 2M1            | CUSIP: 02660TAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75091 | PA      | $69140.55     | 0.02%             | 2044-04-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-R2 2A4          | CUSIP: 12669GP47<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |      5774 | PA      | $5796.14      | 0.00%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-16CB 1A1       | CUSIP: 12667FLT0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |      7183 | PA      | $7319.90      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                                              | CSFB 2004-6 1A3           | CUSIP: 2254W0GW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132172 | PA      | $127988.84    | 0.03%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                                         | WFRBS 2011-C4 D           | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198415 | PA      | $192624.16    | 0.05%             | 2044-06-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                                           | GSMS 2013-PEMB A          | CUSIP: 36197VAA6<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4412140.00   | 1.07%             | 2033-03-05      | Floating      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2021-A Llc                                                                  | CASL 2021-A D             | CUSIP: 19424KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48105 | PA      | $44399.83     | 0.01%             | 2051-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018 C5                                                              | CGCMT 2015-GC35 D         | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $349264.88    | 0.08%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 01/30/35         | CUSIP: 61760QFP4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    567000 | PA      | $413910.00    | 0.10%             | 2035-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                  | KNFP FLOAT 07/31/34       | CUSIP: 63873HLU6<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $959752.50    | 0.23%             | 2034-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust                                                                          | LNSTR 2016-4 C            | CUSIP: 50219QAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381000 | PA      | $342242.76    | 0.08%             | 2049-03-10      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS FLOAT 01/31/33     | CUSIP: 5394E8BK4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $136000.00    | 0.03%             | 2033-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series 2007 RP3 Trust                                                                               | RAAC 2007-RP3 A           | CUSIP: 74978BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436131 | PA      | $426427.00    | 0.10%             | 2046-10-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2 LLC                                                                         | SUNRN 2021-2A A           | CUSIP: 86772HAA5<br>LEI: 54930007SJ77CI66U531 | Long             | ABS-O            | CORP              | US        |    120696 | PA      | $107944.34    | 0.03%             | 2057-01-30      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2006-RP1 1A2        | CUSIP: 3623413E7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    100215 | PA      | $89844.19     | 0.02%             | 2036-01-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Rbsgc Structured T                                                                                       | RBSGC 2008-A A1           | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261884 | PA      | $219296.34    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-2 4A1           | CUSIP: 576433DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16102 | PA      | $15066.41     | 0.00%             | 2033-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-7                                                                                        | CSMC 2013-7 A2            | CUSIP: 12647PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98876 | PA      | $85396.12     | 0.02%             | 2043-08-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                              | FFML 2002-FF1 M2          | CUSIP: 32027NAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362293 | PA      | $363988.82    | 0.09%             | 2032-04-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2004-RA3 CB1        | CUSIP: 939336T37<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93343 | PA      | $88330.60     | 0.02%             | 2038-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 04/01/41          | CUSIP: 17329F6J8<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |    553000 | PA      | $475580.00    | 0.11%             | 2041-04-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2019-1                                                            | VCC 2019-1 M5             | CUSIP: 92257CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362642 | PA      | $318474.00    | 0.08%             | 2049-03-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-11 1A31         | CUSIP: 22541QBS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56289 | PA      | $56749.19     | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING VII  LLC                                                                          | VSLR 2020-1A A            | CUSIP: 92855HAA3<br>LEI: 54930007SJ77CI66U531 | Long             | ABS-O            | CORP              | US        |    104223 | PA      | $93717.72     | 0.02%             | 2051-07-31      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust 2018-Alxa                                                   | NCMS 2017-75B A           | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $868630.00    | 0.21%             | 2037-04-10      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                                  | BAYV 2004-B A1            | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2821142 | PA      | $2365371.22   | 0.57%             | 2039-05-28      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                            | CWL 2005-13 AF4           | CUSIP: 126670GR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89105 | PA      | $83601.41     | 0.02%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                                                               | AMRES 1999-1 A            | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    393604 | PA      | $389843.55    | 0.09%             | 2029-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2015-420 A            | CUSIP: 61765BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4523358 | PA      | $4627683.98   | 1.12%             | 2050-10-12      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                                    | ARMT 2005-7 2A21          | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115902 | PA      | $102595.44    | 0.02%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3Inv                                                                        | FSMT 2018-3INV B4         | CUSIP: 33851JAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323465 | PA      | $286670.84    | 0.07%             | 2048-05-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2006-A1 1A1          | CUSIP: 59020U5U5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136542 | PA      | $75281.25     | 0.02%             | 2036-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2007-HF1 4PO         | CUSIP: 55291YAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    866079 | PA      | $8.66         | 0.00%             | 2047-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2008-R2 2A          | CUSIP: 46632TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188980 | PA      | $159753.35    | 0.04%             | 2035-12-27      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| VELOCIT COM CAP LN TR 2022-2                                                                             | VCC 2022-2 M5             | CUSIP: 92259UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2615318 | PA      | $2223146.54   | 0.54%             | 2052-04-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST                                                               | JPMDB 2020-COR7 AS        | CUSIP: 46652JBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1632666.80   | 0.39%             | 2053-05-13      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2021-3 M6             | CUSIP: 92258RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371697 | PA      | $1065118.66   | 0.26%             | 2051-10-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| CNL Commercial Mortgage Loan Trust 2001-1                                                                | CNL 2003-1A A1            | CUSIP: 12614MAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204436 | PA      | $202109.20    | 0.05%             | 2031-05-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                | GMACM 2004-J2 A8          | CUSIP: 36185N2E9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62555 | PA      | $62849.52     | 0.02%             | 2034-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2021-                                                                      | CPS 2021-1A A             | CUSIP: 12657TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763120 | PA      | $761102.98    | 0.18%             | 2026-06-16      | Fixed         | 7.86%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 1998-4 IIA3         | CUSIP: 12669ATG9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     21206 | PA      | $20967.60     | 0.01%             | 2028-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2003-MS7 A12        | CUSIP: 939336TS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145714 | PA      | $146661.62    | 0.04%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Resecuritization Pass-Through Certificates Series 2008-2R                                      | CWALT 2008-2R 2A1         | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367240 | PA      | $143812.37    | 0.03%             | 2037-08-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1A2          | CUSIP: 36242DJS3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1414220 | PA      | $1408717.81   | 0.34%             | 2034-06-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | HEAT 2002-2 A2            | CUSIP: 22541NCP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236013 | PA      | $233778.74    | 0.06%             | 2032-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-R1 2A           | CUSIP: 12669F7L1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     11327 | PA      | $11051.60     | 0.00%             | 2034-11-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNGT 2004-T5 AB1          | CUSIP: 31394AXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    555228 | PA      | $526602.72    | 0.13%             | 2035-05-28      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm                                                                                         | BSARM 2007-3 2A1          | CUSIP: 073881AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1133372 | PA      | $979638.20    | 0.24%             | 2047-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 01/30/35            | CUSIP: 61760QFQ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $307125.00    | 0.07%             | 2035-01-30      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2003-AR9 1A7         | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188042 | PA      | $179270.55    | 0.04%             | 2033-09-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| GC FTPYME Pastor 4 FTA                                                                                   | PAST 4 E                  | CUSIP: E5650RAB3<br>LEI: 54930081SHHWJEY6G124 | Long             | ABS-O            | CORP              | ES        |    200000 | PA      | $48089.13     | 0.01%             | 2045-07-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| UNIT AUTO CR SEC TR 2022-2                                                                               | UACST 2022-2 D            | CUSIP: 90944KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3362263 | PA      | $3371968.29   | 0.81%             | 2028-01-10      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                                   | BOAA 2007-1 1A1           | CUSIP: 059496AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54697 | PA      | $48440.91     | 0.01%             | 2057-02-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-NCM2 1CB2      | CUSIP: 17307GGY8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     35339 | PA      | $36304.61     | 0.01%             | 2034-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                                | COMM 2014-CR16 B          | CUSIP: 12591VAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133011 | PA      | $124405.48    | 0.03%             | 2047-04-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                                     | TBMLT 2018-3 B4           | CUSIP: 88632ACE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233635 | PA      | $181239.69    | 0.04%             | 2048-11-25      | Floating      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN T                                                                           | CWALT 2007-9T1 3A1        | CUSIP: 02150JBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18394 | PA      | $9704.08      | 0.00%             | 2022-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-AR24 3A1        | CUSIP: 22541QUP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74330 | PA      | $71547.09     | 0.02%             | 2033-10-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                                  | BAYV 2005-A M1            | CUSIP: 073250BQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098210 | PA      | $1050596.97   | 0.25%             | 2040-02-28      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV3                                                                        | HAWT 2021-INV3 B3         | CUSIP: 44555QCF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132849 | PA      | $104551.73    | 0.03%             | 2051-12-25      | Floating      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| VCC 2025-MC1 TRUST                                                                                       | VCC 2025-MC1 A1           | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1326632 | PA      | $1356953.65   | 0.33%             | 2055-05-25      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 03/29/34          | CUSIP: 17326YVR4<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57000.00     | 0.01%             | 2034-03-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 13 05/26/37            | CUSIP: 61766YBM2<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $856575.00    | 0.21%             | 2037-05-26      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2004-4 1A5           | CUSIP: 22541STP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355004 | PA      | $343329.87    | 0.08%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                                    | MHL 2004-2 B2             | CUSIP: 61913PAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95226 | PA      | $95185.84     | 0.02%             | 2034-12-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Trust 2019-5                                                                      | RCMT 2019-5 E             | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2021387.63   | 0.49%             | 2052-02-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR2022-HB1                                                                           | RBIT 2022-HB1 M4          | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1179472.86   | 0.28%             | 2032-04-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2016-H24 AI           | CUSIP: 38376RE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    623915 | PA      | $30643.39     | 0.01%             | 2066-11-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2002-AR2 A           | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13554 | PA      | $12165.97     | 0.00%             | 2034-02-27      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2008-1                                                                    | BAYC 2008-1 M1            | CUSIP: 07324AAG6<br>LEI: 549300DNB16HFXTEDZ43 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $455625.10    | 0.11%             | 2038-01-25      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/30/31         | CUSIP: 61745EX63<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118125.00    | 0.03%             | 2031-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                                          | BANK 2019-BN20 B          | CUSIP: 06540AAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $808312.52    | 0.20%             | 2062-09-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRU                                                                      | HCCLT 2019-1 M5           | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1224749.11   | 0.30%             | 2031-11-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Mastr Reperforming Loan Trust 2005-2                                                                     | MARP 2006-2 2A1           | CUSIP: 57645LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117290 | PA      | $108300.78    | 0.03%             | 2036-05-25      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-HYB2 2A         | CUSIP: 12669FTH6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     16788 | PA      | $15973.10     | 0.00%             | 2034-07-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2007-3 1A1           | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130695 | PA      | $112956.55    | 0.03%             | 2036-07-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-37A B1I         | CUSIP: 86359BCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       690 | PA      | $659.67       | 0.00%             | 2033-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                              | DELHE 1999-2 A1A          | CUSIP: 24763LFS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70977 | PA      | $70433.37     | 0.02%             | 2030-08-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 06/30/37             | CUSIP: 61766YBQ3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    333000 | PA      | $252247.50    | 0.06%             | 2037-06-30      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNR 2002-26 A1            | CUSIP: 31392CR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     73239 | PA      | $74101.88     | 0.02%             | 2048-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc America Funding 2007-2 Trust                                                                        | BAFC 2007-2 1A8           | CUSIP: 05951GAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74419 | PA      | $13519.39     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                                | GS Float 03/19/29         | CUSIP: 38147QST4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    365000 | PA      | $306143.75    | 0.07%             | 2029-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                                        | CFAB 2004-1 1A7           | CUSIP: 161546HU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28637 | PA      | $27563.16     | 0.01%             | 2033-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2022-SJ1                                                                       | TPMT 2022-SJ1 B1          | CUSIP: 89180GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $490333.60    | 0.12%             | 2062-03-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-3 A4            | CUSIP: 12669FPC1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     22024 | PA      | $22006.89     | 0.01%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 12/18/25                | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9880962.50   | 2.39%             | 2025-12-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 11/30/30            | CUSIP: 61760QJC9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39000.00     | 0.01%             | 2030-11-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                                             | RBSSP 2010-4 6A2          | CUSIP: 74927DAM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77523 | PA      | $76398.66     | 0.02%             | 2036-02-26      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2006-1F 2A16          | CUSIP: 362334AN4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    104982 | PA      | $43124.22     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-6F 1A7           | CUSIP: 362341DR7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      2440 | PA      | $2268.93      | 0.00%             | 2035-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2003-4 1A1           | CUSIP: 81743PBH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229090 | PA      | $202085.63    | 0.05%             | 2033-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2019-Icon                                           | JPMCC 2019-UES B          | CUSIP: 46651CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90256.78     | 0.02%             | 2032-05-05      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 2A4       | CUSIP: 12667FYL3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    366133 | PA      | $340236.32    | 0.08%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank                                                            | ACAFP 10 04/22/36         | CUSIP: 22533ADJ3<br>LEI: 1VUV7VQFKUOQSJ21A208 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $325000.00    | 0.08%             | 2036-04-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | RAST 2003-A9 A3           | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1164416 | PA      | $1081075.09   | 0.26%             | 2033-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-40A 3A2         | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24074 | PA      | $23512.96     | 0.01%             | 2034-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                            | BAFC 2005-E 8A1           | CUSIP: 05946XXW8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     40460 | PA      | $31492.99     | 0.01%             | 2035-06-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/35         | CUSIP: 61760QGS7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    458000 | PA      | $412200.00    | 0.10%             | 2035-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 6A1           | CUSIP: 576434SJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    579935 | PA      | $594722.80    | 0.14%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/15/28         | CUSIP: 61760QDM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    772000 | PA      | $648480.00    | 0.16%             | 2028-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS Float 11/22/37         | CUSIP: 61766YCA7<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    422000 | PA      | $301730.00    | 0.07%             | 2037-11-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-6CB 1A6        | CUSIP: 12667F5H4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    108920 | PA      | $93099.53     | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                                      | SVHE 2007-1 M2            | CUSIP: 83612PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352745 | PA      | $460474.26    | 0.11%             | 2037-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2005-A7 1A4         | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22080 | PA      | $21408.45     | 0.01%             | 2035-10-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| AAMC Inc.                                                                                                | AMAC 2003-11 A4           | CUSIP: 000780MP8<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |     67472 | PA      | $67749.99     | 0.02%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2005-A4 1A           | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149775 | PA      | $55925.09     | 0.01%             | 2035-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation Trust 2006-2                                                                   | HALO 2007-AR1 4A1         | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160236 | PA      | $122433.02    | 0.03%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-15 1A2         | CUSIP: 12667FPW9<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |      1943 | PA      | $1932.46      | 0.00%             | 2034-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                                      | SAST 2003-3 M2            | CUSIP: 805564PF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30005 | PA      | $27365.24     | 0.01%             | 2033-12-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 08/19/30         | CUSIP: 61760QGY4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    390000 | PA      | $319800.00    | 0.08%             | 2030-08-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/30/35         | CUSIP: 61760QHH0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    287000 | PA      | $258300.00    | 0.06%             | 2035-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2002-AL1 A3          | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    768076 | PA      | $162992.11    | 0.04%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2019-B9 B           | CUSIP: 08160JAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $115898.19    | 0.03%             | 2052-03-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                                    | RAMC 2002-3 M2            | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83936 | PA      | $71684.82     | 0.02%             | 2032-12-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-4                                                                           | MSAIC 2023-4A C           | CUSIP: 618934AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $326971.83    | 0.08%             | 2053-05-20      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2007 Ar2                                                                         | GSR 2007-AR2 2A1          | CUSIP: 3622N6AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70956 | PA      | $36912.28     | 0.01%             | 2037-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 06/30/34         | CUSIP: 25152RXB4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    245000 | PA      | $169050.00    | 0.04%             | 2034-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J8 1A5         | CUSIP: 12667GJ46<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    131267 | PA      | $90353.45     | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                                             | WFMBS 2018-1 B4           | CUSIP: 94989UBL4<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-O            | CORP              | US        |    234000 | PA      | $146146.85    | 0.04%             | 2047-07-25      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS FLOAT 11/29/36         | CUSIP: 61766YAV3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   3883000 | PA      | $3319965.00   | 0.80%             | 2036-11-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                          | CWHL 2006-R2 AF1          | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57457 | PA      | $52061.81     | 0.01%             | 2036-07-25      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-8AR 4A1          | CUSIP: 61748HEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14898 | PA      | $13223.29     | 0.00%             | 2034-10-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Napier Park Global Capital                                                                               | NPRL 2017-1A B1           | CUSIP: 62946AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1389040.50   | 0.34%             | 2047-10-21      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| USQ RAIL III LLC/ LLP                                                                                    | STEAM 2024-1A A           | CUSIP: 912928AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234768 | PA      | $235417.09    | 0.06%             | 2054-09-28      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU                                                                           | BSABS 2001-A B            | CUSIP: 07384JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150076 | PA      | $142849.86    | 0.03%             | 2031-02-15      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding 2013-2 Ltd.                                                                | HLA 2013-2A D             | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | KY        |    172349 | PA      | $97377.01     | 0.02%             | 2026-08-01      | Floating      | 8.36%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2005-5 B             | CUSIP: 78442GPS9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     11822 | PA      | $10060.26     | 0.00%             | 2040-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CDX.NA.HY SERIES 43                                                                                      | CDX.NA.HY SERIES 43 12/29 | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              | CORP              | N/A       |  55000000 | PA      | $-3847596.50  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| ELFI Graduate Ln Program 2020-A LLC                                                                      | ELFI 2020-A A             | CUSIP: 26857LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144130 | PA      | $128920.51    | 0.03%             | 2045-08-25      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 07/31/34       | CUSIP: 06741UFM1<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     70000 | PA      | $55037.50     | 0.01%             | 2034-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                                                     | SOHO 2021-SOHO B          | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $79909.85     | 0.02%             | 2038-08-10      | Floating      | 2.79%                 | Yes           |                  2 | On Loan: No      |
| SLM Private Education Loan Trust 2012-E                                                                  | SLMA 2004-B A4            | CUSIP: 78443CBP8<br>LEI: 5493003X0C7VZW0ZBI42 | Long             | ABS-O            | USGA              | US        |    272907 | PA      | $258156.50    | 0.06%             | 2033-09-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/30/30         | CUSIP: 61760QGJ7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    508000 | PA      | $421640.00    | 0.10%             | 2030-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 12/23/35         | CUSIP: 25152R2W2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     75000 | PA      | $51937.50     | 0.01%             | 2035-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET TRUST                                                                                              | AASET 2020-1A A           | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60254 | PA      | $59307.84     | 0.01%             | 2040-01-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                                      | CDCMC 2004-HE3 M3         | CUSIP: 12506YDH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194986 | PA      | $1115952.34   | 0.27%             | 2034-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-14 4A1          | CUSIP: 12669FT52<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     35197 | PA      | $33074.52     | 0.01%             | 2034-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans 2019-A LLC                                                                  | CASL 2019-A A1            | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62724 | PA      | $60644.62     | 0.01%             | 2048-12-28      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | STACR 2019-DNA3 B2        | CUSIP: 35564TBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1135871.90   | 0.27%             | 2049-07-25      | Floating      | 12.61%                | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                         | BALTA 2005-4 23A2         | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22440 | PA      | $19304.09     | 0.00%             | 2035-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 8 07/31/37             | CUSIP: 61766YBS9<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    290000 | PA      | $247950.00    | 0.06%             | 2037-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C3 D           | CUSIP: 12635FBA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $251615.89    | 0.06%             | 2048-08-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLCC 2005-B B1            | CUSIP: 59020UWZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182140 | PA      | $159989.11    | 0.04%             | 2030-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                                                   | CSMC 2015-6R 9A3          | CUSIP: 12650ECU9<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | ABS-O            | CORP              | CH        |    878990 | PA      | $868110.18    | 0.21%             | 2036-11-27      | Floating      | 11.71%                | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST                                                                                | RBIT 2020-HB1 M4          | CUSIP: 76971EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2529000 | PA      | $2387831.47   | 0.58%             | 2050-10-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                                      | SAST 2001-2 AF5           | CUSIP: 805564JL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16671 | PA      | $18050.42     | 0.00%             | 2029-03-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                                  | CCMFC 2005-4A A2          | CUSIP: 16678REU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152548 | PA      | $113310.72    | 0.03%             | 2036-10-25      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 12/23/25                | CUSIP: 912797RY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4937544.45   | 1.19%             | 2025-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | G2 BU6365                 | CUSIP: 3617N8CA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2086 | PA      | $2083.26      | 0.00%             | 2070-04-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 02/29/36         | CUSIP: 61760QJN5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    909000 | PA      | $703338.75    | 0.17%             | 2036-02-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2004-9 4A1          | CUSIP: 57643MFQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2156282 | PA      | $1511200.41   | 0.37%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 6A1       | CUSIP: 12667FYV1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     29846 | PA      | $27995.82     | 0.01%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-6 2A1           | CUSIP: 12669FVH3<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     44868 | PA      | $43918.06     | 0.01%             | 2034-05-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2023-1 M1             | CUSIP: 92259VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399113 | PA      | $399487.05    | 0.10%             | 2053-01-25      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2003-3F 1A6           | CUSIP: 36228FPE0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     63392 | PA      | $64112.90     | 0.02%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MTG SEC CORP 2021-ROSS TR                                                                             | GSMS 2021-ROSS A          | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1470000 | PA      | $1388750.31   | 0.34%             | 2026-05-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans, Inc.                                                                             | CWHL 2007-HY1 2A1         | CUSIP: 12544EAC1<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |     63800 | PA      | $56839.50     | 0.01%             | 2037-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A2 5A4         | CUSIP: 466247L27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19269 | PA      | $17943.46     | 0.00%             | 2033-11-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2005-RP3 1AF        | CUSIP: 362341LL1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    142163 | PA      | $117205.49    | 0.03%             | 2035-09-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2020-EXP1                                                                  | CMLTI 2020-EXP1 B1        | CUSIP: 17328JAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $256106.73    | 0.06%             | 2060-05-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMMS 2003-MS9 2A         | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35704 | PA      | $36939.11     | 0.01%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECV SEC TR 2023-1                                                                              | SFAST 2023-1A C           | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103095.27    | 0.02%             | 2031-02-20      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-27 4A4          | CUSIP: 22541QL75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73085 | PA      | $72504.42     | 0.02%             | 2033-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2000-1 A            | CUSIP: 36228FCQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    799649 | PA      | $777466.25    | 0.19%             | 2029-06-19      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                           | RALI 2005-QA12 CB1        | CUSIP: 761118MY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103538 | PA      | $39840.35     | 0.01%             | 2035-12-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-40A 3A1         | CUSIP: 86359BEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136418 | PA      | $121174.21    | 0.03%             | 2034-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2012-27 IO            | CUSIP: 38378BQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     52932 | PA      | $112.60       | 0.00%             | 2053-04-16      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-61 2A1         | CUSIP: 12668AVP7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     83547 | PA      | $78123.34     | 0.02%             | 2035-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 Mortgage Trust                                                                             | CFCRE 2011-C2 D           | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131402 | PA      | $126954.92    | 0.03%             | 2047-12-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-3CB 1A9        | CUSIP: 12667FX75<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     26356 | PA      | $21863.76     | 0.01%             | 2035-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Trust 2018-Rpl5                                                                          | LMAT 2019-SL2 A           | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346926 | PA      | $335340.93    | 0.08%             | 2059-02-25      | Floating      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 12/27/26         | CUSIP: 61745E3T6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    138000 | PA      | $129720.00    | 0.03%             | 2026-12-27      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 10 05/31/34           | CUSIP: 47233JAP3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     97000 | PA      | $73235.00     | 0.02%             | 2034-05-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 09/30/30        | CUSIP: 22546VLJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    627000 | PA      | $531382.50    | 0.13%             | 2030-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHASI 2005-AR5 1A1        | CUSIP: 32051GXN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       501 | PA      | $2.50         | 0.00%             | 2035-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/28/28         | CUSIP: 61760QCQ5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     56000 | PA      | $48160.00     | 0.01%             | 2028-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/30/34         | CUSIP: 61760QEH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    485000 | PA      | $317958.24    | 0.08%             | 2034-06-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST                                                               | JPMDB 2017-C5 AS          | CUSIP: 46590TAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $192774.94    | 0.05%             | 2050-03-15      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2002-AR18 A          | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31657 | PA      | $31341.17     | 0.01%             | 2033-01-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 10YR NOTE (CBT)Dec25   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |       220 | NC      | $71237.10     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST                                                                                 | KSBA 2015-1 A             | CUSIP: 49374FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1420221 | PA      | $39096.99     | 0.01%             | 2035-10-25      | Floating      | 1.55%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J10 2CB1       | CUSIP: 12667FVB8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     20358 | PA      | $20706.58     | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                                            | VCC 2017-2 M6             | CUSIP: 92258VAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1539808 | PA      | $1347956.99   | 0.33%             | 2047-11-25      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/30         | CUSIP: 61760QGR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    221000 | PA      | $180115.00    | 0.04%             | 2030-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                                     | CSMC 2010-18R 4A4         | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31433 | PA      | $31155.56     | 0.01%             | 2038-04-26      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                                              | PRIME 2003-3 A9           | CUSIP: 74160MCS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303713 | PA      | $302419.64    | 0.07%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2004-7 4A           | CUSIP: 41161PGM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937453 | PA      | $858604.69    | 0.21%             | 2034-11-19      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2005-AR13 1A1        | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184632 | PA      | $77680.67     | 0.02%             | 2035-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2019-1                                                            | VCC 2019-1 M6             | CUSIP: 92257CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878055 | PA      | $777262.69    | 0.19%             | 2049-03-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2004-1 1A12         | CUSIP: 55265K5N5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6292 | PA      | $6221.66      | 0.00%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/30/35         | CUSIP: 61760QGK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    366000 | PA      | $329400.00    | 0.08%             | 2035-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNW 2004-W14 3A           | CUSIP: 31394BT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     96888 | PA      | $100291.16    | 0.02%             | 2044-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2005-7 2A2A         | CUSIP: 17307GB72<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1230745 | PA      | $928884.60    | 0.22%             | 2035-09-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 06/30/36             | CUSIP: 61766YAE1<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    541000 | PA      | $420627.50    | 0.10%             | 2036-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Finance Corp                                                                                          | GS 6 03/24/31             | CUSIP: 40057FSG0<br>LEI: 549300FR80KBVO6DRL61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $379375.00    | 0.09%             | 2031-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNW 2005-W3 3A            | CUSIP: 31394FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    150814 | PA      | $148714.37    | 0.04%             | 2045-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2M1            | CUSIP: 45254NRV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402388 | PA      | $378497.37    | 0.09%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                                         | RBSGC 2007-B 3B1          | CUSIP: 74927XAR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9212 | PA      | $9221.20      | 0.00%             | 2035-07-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A7 2A4R        | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148266 | PA      | $114848.98    | 0.03%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | RAAC 2004-SP1 AII         | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23299 | PA      | $22112.07     | 0.01%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2007-1 30PO          | CUSIP: 55275SAW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22545 | PA      | $12365.06     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MELLO MTG CAP ACCPT 2018-MTG2                                                                            | MELLO 2018-MTG2 B5        | CUSIP: 585499BU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $661499.61    | 0.16%             | 2048-10-25      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| TRUPS FINCLS NT SEC LTD 2019-2                                                                           | TFINS 2019-2A A1          | CUSIP: 87268RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2718151 | PA      | $2720323.07   | 0.66%             | 2039-02-28      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-14 A2           | CUSIP: 12669GK67<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    407029 | PA      | $150791.88    | 0.04%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2024-2                                                                           | MSAIC 2024-2A A           | CUSIP: 61947BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69427 | PA      | $66197.78     | 0.02%             | 2052-04-22      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Tr 2016-C36                                                                             | WFCM 2016-C36 C           | CUSIP: 95000MBV2<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-O            | CORP              | US        |    505000 | PA      | $444040.39    | 0.11%             | 2059-11-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 10/31/34         | CUSIP: 61760QFF6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    169000 | PA      | $115342.50    | 0.03%             | 2034-10-31      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-J5 A4           | CUSIP: 12669FF24<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     92332 | PA      | $92911.04     | 0.02%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Preferred Term Securities X, Ltd.                                                                        | PRETSL FLOAT 07/03/33     | CUSIP: 74040YAB8<br>LEI: 549300FIXBQYXV3XRC38 | Long             | ABS-CBDO         | CORP              | KY        |     25433 | PA      | $25084.75     | 0.01%             | 2033-07-03      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TR                                                                      | AOMT 2020-SBC1 B1         | CUSIP: 03465BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3204350 | PA      | $2455651.38   | 0.59%             | 2050-05-25      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Trust 2018-4                                                                      | RCMT 2018-4 E             | CUSIP: 75575KAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2868732.00   | 0.69%             | 2051-02-27      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS ISSUER 2022-B                                                                             | SNVA 2022-B A             | CUSIP: 86744VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428139 | PA      | $374536.16    | 0.09%             | 2049-08-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 11/30/30         | CUSIP: 61760QJB1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     66000 | PA      | $54780.00     | 0.01%             | 2030-11-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-13INV                                                                       | FSMT 2021-13IN B5         | CUSIP: 33853HBF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92231 | PA      | $62724.76     | 0.02%             | 2051-12-30      | Floating      | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                          | CWHL 2007-15 2A2          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288688 | PA      | $103490.03    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC USA, Inc.                                                                                           | HSBC FLOAT 05/21/29       | CUSIP: 40432XZ79<br>LEI: 549300LBOHZ4QSIWU288 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84000.00     | 0.02%             | 2029-05-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-19 1A19         | CUSIP: 22541QMR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292722 | PA      | $295343.70    | 0.07%             | 2033-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mid Ocean Cbo 2001-1 Ltd. / Mid Ocean Cbo 2001-1 Del Corp.                                               | MID 2001-1X A1L           | CUSIP: G6106WAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3417418 | PA      | $228051.11    | 0.06%             | 2036-11-05      | Floating      | 2.39%                 | Yes           |                  2 | On Loan: No      |
| COLT 2022-9 MORTGAGE LOAN TRUST                                                                          | COLT 2022-9 A1            | CUSIP: 19688PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3923894 | PA      | $3928420.79   | 0.95%             | 2067-12-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| GE WMC Mortgage Securities LLC                                                                           | GEWMC 2005-2 M1           | CUSIP: 367910AW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87199 | PA      | $68313.43     | 0.02%             | 2035-12-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Tst                                                                                      | WPT 2017-WWP A            | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1218130.20   | 0.29%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/36             | CUSIP: 61766YAM3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   3863000 | PA      | $3302865.00   | 0.80%             | 2036-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2007-WF1 A1          | CUSIP: 86358BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260100 | PA      | $247501.00    | 0.06%             | 2037-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CD 2017 Cd3 Mortgage Trust                                                                               | CD 2017-CD3 D             | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72000 | PA      | $15866.57     | 0.00%             | 2050-02-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 05/29/30            | CUSIP: 61760QGC2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1351240.00   | 0.33%             | 2030-05-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG SEC 2019-4                                                                               | WFMBS 2019-4 A2           | CUSIP: 95002FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52360 | PA      | $44306.53     | 0.01%             | 2049-09-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2002-NP14 M1         | CUSIP: 22541NDH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216908 | PA      | $99366.73     | 0.02%             | 2031-11-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2004-18 1A3          | CUSIP: 863579FS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55748 | PA      | $49700.26     | 0.01%             | 2034-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2000-5 B3            | CUSIP: 8635722B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14124 | PA      | $11442.26     | 0.00%             | 2030-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2023-1                                                                              | CHNGE 2023-1 M1           | CUSIP: 12547QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252544.45    | 0.06%             | 2058-03-25      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                              | DELHE 2000-1 M2           | CUSIP: 24763LGL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237999 | PA      | $228151.00    | 0.06%             | 2030-05-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 2A10        | CUSIP: 55265KX61<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3381 | PA      | $3410.17      | 0.00%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                                                     | NATCM 2008-1 2A1          | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516920 | PA      | $525521.91    | 0.13%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                               | JPMMT 2018-8 A3           | CUSIP: 46650MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17443 | PA      | $15849.62     | 0.00%             | 2049-01-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                           | WELLS FARGO COMMERCIAL MR | CUSIP: 95000DBK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $220724.61    | 0.05%             | 2049-06-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Coml Mtg Secs Tr 2018-Minn                                                              | JPMCC 2018-MINN A         | CUSIP: 46650GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387000 | PA      | $355989.45    | 0.09%             | 2035-11-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                       | SASC 2005-RF3 2A          | CUSIP: 86359DME4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72036 | PA      | $62787.99     | 0.02%             | 2035-06-25      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | G2 786928                 | CUSIP: 3622ACSR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68560 | PA      | $69798.00     | 0.02%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                                        | DSLA 2004-AR4 2A1A        | CUSIP: 23332UBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264322 | PA      | $199864.51    | 0.05%             | 2045-01-19      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust 2017-5                                                                   | LNSTR 2017-5 D            | CUSIP: 54910TAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1278152.85   | 0.31%             | 2050-03-10      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FHMS K092 X3              | CUSIP: 3137FLYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    847054 | PA      | $62353.42     | 0.02%             | 2047-05-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRES WD TR 2021-INV1                                                                            | HAWT 2021-INV1 B2         | CUSIP: 44590HCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159200 | PA      | $132647.30    | 0.03%             | 2051-07-25      | Floating      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                 | JPALT 2008-R4 1A1         | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914156 | PA      | $442749.22    | 0.11%             | 2036-12-27      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-10 3M3           | CUSIP: 45254NLT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26441 | PA      | $24910.69     | 0.01%             | 2035-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2004-10 B1           | CUSIP: 576433TB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26214 | PA      | $21436.81     | 0.01%             | 2034-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-8 3B             | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41160 | PA      | $39545.43     | 0.01%             | 2034-08-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/21/27         | CUSIP: 61760QAJ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    115000 | PA      | $112987.50    | 0.03%             | 2027-03-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming Loan Trust 2005-2                                                                     | MARP 2005-2 1A4           | CUSIP: 57643QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14461 | PA      | $10198.36     | 0.00%             | 2035-05-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2004-AR15 3A1        | CUSIP: 45660LBG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202273 | PA      | $182252.62    | 0.04%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                                      | CGCMT 2014-GC25 B         | CUSIP: 17322YAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2154913 | PA      | $2059922.48   | 0.50%             | 2047-10-10      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHAMS 2004-AA7 2A2        | CUSIP: 32051GFC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46591 | PA      | $40920.95     | 0.01%             | 2035-02-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMS 2000-1A A            | CUSIP: 36228FCU8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    102096 | PA      | $71506.74     | 0.02%             | 2024-09-20      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2007-2 1B1           | CUSIP: 81744LAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243773 | PA      | $198787.53    | 0.05%             | 2036-06-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                                  | CCMFC 2004-3A A1          | CUSIP: 16678RBU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303556 | PA      | $293845.16    | 0.07%             | 2035-08-25      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust Series 2006-1F                                                           | STALT 2005-1F 1A1         | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47279 | PA      | $36929.85     | 0.01%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022-STAR                                                                                      | BPR 2022-STAR A           | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $146878.30    | 0.04%             | 2039-08-15      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST                                                               | JPMDB 2017-C5 B           | CUSIP: 46590TAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1165000 | PA      | $904752.78    | 0.22%             | 2050-03-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Steele Creek Clo 2018-2                                                                                  | STCR 2018-2A D            | CUSIP: 85816LAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500845.00    | 0.12%             | 2031-08-18      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FIN CRC MT TR 20-A                                                                           | CFCC 2022-A A             | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002830.20   | 0.24%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Mastr Asset Sec Tr                                                                                       | MASTR 2006-3 2A1          | CUSIP: 55274SAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2174712 | PA      | $324890.65    | 0.08%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2002-39 A37          | CUSIP: 12669DVM7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     71306 | PA      | $68157.92     | 0.02%             | 2033-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 03/27/35         | CUSIP: 25152RYF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    738000 | PA      | $555345.00    | 0.13%             | 2035-03-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 01/29/31         | CUSIP: 61760QJG0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24900.00     | 0.01%             | 2031-01-29      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-61 1A1             | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    112024 | PA      | $108506.91    | 0.03%             | 2044-07-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1AF          | CUSIP: 36242DJQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    855344 | PA      | $768965.32    | 0.19%             | 2034-06-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Comm 2016 Cor1 Mgt                                                                                       | COMM 2016-COR1 C          | CUSIP: 12594MBF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175500 | PA      | $138715.04    | 0.03%             | 2049-10-10      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 11/13/25                | CUSIP: 912797QQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9918700.00   | 2.40%             | 2025-11-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                                            | SCRT 2017-3 B             | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     45784 | PA      | $6390.83      | 0.00%             | 2056-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-10 12A5        | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36238 | PA      | $35100.68     | 0.01%             | 2035-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                                    | MHL 2005-3 M2             | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155595 | PA      | $150939.13    | 0.04%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2004-17 A1           | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244998 | PA      | $217210.70    | 0.05%             | 2034-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-HYB5 6A2        | CUSIP: 12669F3H4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     39809 | PA      | $36556.55     | 0.01%             | 2035-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| SLM Private Education Loan Trust 2014-A                                                                  | SLMA 2010-C A5            | CUSIP: 78445QAE1<br>LEI: 549300XEL6YCZ2OF2E98 | Long             | ABS-O            | USGA              | US        |    350442 | PA      | $368030.32    | 0.09%             | 2041-10-15      | Floating      | 9.23%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF FLOAT 01/31/38        | CUSIP: 47233JBG2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    110000 | PA      | $88687.50     | 0.02%             | 2038-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C2 D           | CUSIP: 12634NBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146000 | PA      | $110628.60    | 0.03%             | 2057-06-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                                               | MSSTR 2003-1 2A1          | CUSIP: 55265WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    322397 | PA      | $323525.33    | 0.08%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007 S3                                                              | CHASE 2007-S3 AP          | CUSIP: 16163HBE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473618 | PA      | $5086.19      | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                                           | BNP FLOAT 04/30/33        | CUSIP: 05574LHR2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    177000 | PA      | $126112.50    | 0.03%             | 2033-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                                    | BSABS 2004-FR2 M4         | CUSIP: 073879FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14211 | PA      | $15066.73     | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| OCWEN RESIDENTIAL MBS CORPORAT                                                                           | OCMBS 1998-R3 AWAC        | CUSIP: 675748BD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3401647 | PA      | $93545.28     | 0.02%             | 2038-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-1 2A1           | CUSIP: 576434LT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92619 | PA      | $91873.45     | 0.02%             | 2034-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                                         | EQABS 2004-3 M1           | CUSIP: 294751EZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109307 | PA      | $94897.85     | 0.02%             | 2034-07-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-E 2A1          | CUSIP: 05949A6C9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     31538 | PA      | $28864.11     | 0.01%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-H 2A1          | CUSIP: 05949CFW1<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     19299 | PA      | $16507.07     | 0.00%             | 2035-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2006-1 2A2           | CUSIP: 863579P28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510743 | PA      | $459991.52    | 0.11%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ONITY LN INVT TR 2024-HB2                                                                                | OLIT 2024-HB2 M2          | CUSIP: 68278DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $261082.12    | 0.06%             | 2037-08-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2011-RR10 1A2        | CUSIP: 05537LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    636160 | PA      | $488654.13    | 0.12%             | 2037-03-26      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 08/29/34         | CUSIP: 61760QEP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    133000 | PA      | $90772.50     | 0.02%             | 2034-08-29      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK27                                                                                          | BANK 2020-BN27 B          | CUSIP: 06539XAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474000 | PA      | $376320.36    | 0.09%             | 2063-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2023-3 M3             | CUSIP: 92258WAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    955126 | PA      | $983974.49    | 0.24%             | 2053-08-25      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2005-3 7A5           | CUSIP: 225458LM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14772 | PA      | $15035.32     | 0.00%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C FLOAT 04/25/32          | CUSIP: 17324CHH2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     41000 | PA      | $40469.91     | 0.01%             | 2032-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF MTG TR 2020-                                                                                       | FREMF 2020-KF76 B         | CUSIP: 30316EAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    135782 | PA      | $130337.42    | 0.03%             | 2030-01-25      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2014-10 4A1         | CUSIP: 17323FAH3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     18479 | PA      | $18419.00     | 0.00%             | 2037-02-25      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2003-60 2A1          | CUSIP: 12669FJD6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     98128 | PA      | $85728.03     | 0.02%             | 2034-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSI LN TR 2023-1                                                                           | NWSB 2023-1 A             | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    312150 | PA      | $314778.05    | 0.08%             | 2050-07-25      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                                  | CSAIL 2015-C3 C           | CUSIP: 12635FAZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $163339.07    | 0.04%             | 2048-08-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Ellington Clo I Limted                                                                                   | ECLO 2018-3A D            | CUSIP: 28852LAL7<br>LEI: 254900V20GCNJI0I7591 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $514212.00    | 0.12%             | 2030-07-20      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                               | IMSA 2003-2 A2            | CUSIP: 45254TMT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170930 | PA      | $134670.60    | 0.03%             | 2033-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORTIFI 2023-1                                                                                           | FORTI 2023-1A A           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474951 | PA      | $474528.24    | 0.11%             | 2059-09-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                    | SOCGEN 12 1/2 01/31/35    | CUSIP: 83369FHQ3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    203000 | PA      | $182700.00    | 0.04%             | 2035-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 02/28/34         | CUSIP: 61760QDY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    130000 | PA      | $89050.00     | 0.02%             | 2034-02-28      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007 S3                                                              | CHASE 2007-S3 1A17        | CUSIP: 16163HAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265283 | PA      | $59482.37     | 0.01%             | 2037-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-10 3M2           | CUSIP: 45254NLS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26073 | PA      | $23484.02     | 0.01%             | 2035-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-8 13A1         | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817140 | PA      | $726570.21    | 0.18%             | 2034-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/30/34         | CUSIP: 61760QEW0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $109200.00    | 0.03%             | 2034-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                                        | DSLA 2005-AR5 2A1A        | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135280 | PA      | $68987.16     | 0.02%             | 2045-09-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Bmd 2 Re-Remic Tr 2019-Frr1                                                                              | BMD2 2019-FRR1 5A1        | CUSIP: 055631BQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $522630.74    | 0.13%             | 2052-05-25      | Floating      | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2005-4 3A1          | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93835 | PA      | $66076.64     | 0.02%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                      | BNS FLOAT 01/30/34        | CUSIP: 064159DF0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $80400.00     | 0.02%             | 2034-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Times Square Hotel Tr                                                                                    | TIMSQU 8.528 08/01/26     | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725867 | PA      | $728384.66    | 0.18%             | 2026-08-01      | Fixed         | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                                   | BOAA 2004-6 3A1           | CUSIP: 05948KSJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89224 | PA      | $89702.30     | 0.02%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-11 7A5         | CUSIP: 55265K2K4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32618 | PA      | $32351.53     | 0.01%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CBASS 2004-CB3 B1         | CUSIP: 17307GES3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     90437 | PA      | $111122.60    | 0.03%             | 2034-03-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                                | ABFC 2004-OPT2 A2         | CUSIP: 04542BFV9<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |     54002 | PA      | $52787.85     | 0.01%             | 2033-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2005-15 1A1          | CUSIP: 863579UL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306321 | PA      | $156078.17    | 0.04%             | 2035-07-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS 10 04/29/31           | CUSIP: 22548Q2R5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    791000 | PA      | $660485.00    | 0.16%             | 2031-04-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32                                                      | JPMBB 2015-C32 D          | CUSIP: 46590JBE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345000 | PA      | $30063.73     | 0.01%             | 2048-11-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 3YR NOTE (CBT) Dec25   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |       100 | NC      | $30364.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHASI 2007-AR3 1A1        | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216287 | PA      | $80193.44     | 0.02%             | 2037-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-60 2A1             | CUSIP: 31394XVP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |     90181 | PA      | $83741.61     | 0.02%             | 2044-03-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Sutherland Coml Mtg Tr 2019-Sbc8                                                                         | SCML 2019-SBC8 A          | CUSIP: 86935CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33513 | PA      | $30144.55     | 0.01%             | 2041-04-25      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust Series 2007-AB1                                            | DBALT 2007-AB1 PO         | CUSIP: 25151WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419445 | PA      | $205063.10    | 0.05%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-1 1A1          | CUSIP: 07384MTH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591859 | PA      | $499125.39    | 0.12%             | 2033-04-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRU                                                                      | HCCLT 2020-1 M5           | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1853760.00   | 0.45%             | 2052-04-25      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-1 124M         | CUSIP: 07384MG89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90663 | PA      | $79934.93     | 0.02%             | 2034-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bank 2017 Bnk8                                                                                           | BANK 2017-BNK8 C          | CUSIP: 06650AAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    825000 | PA      | $653276.07    | 0.16%             | 2050-11-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Chec Loan Trust                                                                                          | CHEC 2004-1 M2            | CUSIP: 162765AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151690 | PA      | $151964.52    | 0.04%             | 2034-07-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS X ISSUER LLC                                                                              | SNVA 2022-C C             | CUSIP: 86744WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146905 | PA      | $57824.24     | 0.01%             | 2049-11-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LND MTG TR 2019-1                                                                             | CHASE 2019-1 B4           | CUSIP: 16159WBZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87056 | PA      | $76756.00     | 0.02%             | 2050-03-25      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COM CAP LN TR 2021-2                                                                            | VCC 2021-2 M1             | CUSIP: 92259MAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1770369 | PA      | $1356657.83   | 0.33%             | 2051-08-25      | Floating      | 1.82%                 | Yes           |                  2 | On Loan: No      |
| Fna VII LLC                                                                                              | FNH 2023-1A A1            | CUSIP: 30327HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119314 | PA      | $119813.53    | 0.03%             | 2038-04-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 12/30/25                | CUSIP: 912797RZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10010000 | PA      | $9877314.65   | 2.39%             | 2025-12-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J3 1A3         | CUSIP: 12669FEZ2<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     76446 | PA      | $76367.91     | 0.02%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2002-19 1A1          | CUSIP: 12669DBA5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    336301 | PA      | $286054.42    | 0.07%             | 2032-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                                                  | WBCMT 2004-C12 IO         | CUSIP: 929766SJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239165 | PA      | $435.09       | 0.00%             | 2041-07-15      | Floating      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-62 1A1             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    130995 | PA      | $120249.09    | 0.03%             | 2044-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS                                                                      | GOOD 2023-2GS A           | CUSIP: 38237AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711973 | PA      | $673288.03    | 0.16%             | 2055-05-20      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| J P Morgan Tax Exempt Pass Thru Tr Ser 2012-3                                                            | JPTEP 2012-3 A            | CUSIP: 46637UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101411 | PA      | $93537.58     | 0.02%             | 2042-10-27      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 9 08/31/37            | CUSIP: 47233JAX6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    150000 | PA      | $112875.00    | 0.03%             | 2037-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                                      | OWSCRE 2025-MARG2 A       | CUSIP: 67121XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001692.00   | 0.24%             | 2027-08-15      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-F                                                         | NAVSL 2021-FA B           | CUSIP: 63942GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $174262.77    | 0.04%             | 2070-02-18      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST                                                               | JPMDB 2020-COR7 B         | CUSIP: 46652JBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $108767.69    | 0.03%             | 2053-05-13      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                                           | GSMS 2012-BWTR A          | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-O            | CORP              | US        |    395936 | PA      | $322596.22    | 0.08%             | 2034-11-05      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-L 2A4          | CUSIP: 05949CPK6<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    109930 | PA      | $91429.99     | 0.02%             | 2036-01-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2012-H27 AI           | CUSIP: 38375BZC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    105328 | PA      | $1896.35      | 0.00%             | 2062-10-20      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                                                     | FREMF 2018-KF52 B         | CUSIP: 30297KAG9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    368477 | PA      | $354185.08    | 0.09%             | 2028-09-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                                              | WAMU 2002-AR14 B1         | CUSIP: 939336DA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38126 | PA      | $34759.35     | 0.01%             | 2032-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                     | DMSI 2004-1 1A1           | CUSIP: 251563CG5<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     26640 | PA      | $27160.47     | 0.01%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2003-S5 1A13         | CUSIP: 9292272R6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28389 | PA      | $28597.10     | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-8 2A1          | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37266 | PA      | $34742.28     | 0.01%             | 2034-01-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 08/31/30            | CUSIP: 61760QHC1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    216000 | PA      | $176040.00    | 0.04%             | 2030-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2014-150E D           | CUSIP: 61764BAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347000 | PA      | $254384.49    | 0.06%             | 2032-09-09      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                                        | STWD 2022-FL3 C           | CUSIP: 78485KAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    408500 | PA      | $382283.55    | 0.09%             | 2038-11-15      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-4 2M2            | CUSIP: 45254NPP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432597 | PA      | $428907.02    | 0.10%             | 2035-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-8F 3A4           | CUSIP: 362341WA3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     27458 | PA      | $9333.67      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE                                                                      | MSRM 2023-NQM1 B1         | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1008371.80   | 0.24%             | 2068-09-25      | Floating      | 7.39%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-5 2A9           | CUSIP: 12669FWD1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     48883 | PA      | $48073.77     | 0.01%             | 2034-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2006-2 5A1           | CUSIP: 576438AH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90962 | PA      | $25817.79     | 0.01%             | 2036-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| HARVEST SBA LOAN TRUST 2023-1                                                                            | HSLT 2023-1 C             | CUSIP: 41757BAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1950762 | PA      | $2088381.79   | 0.50%             | 2050-10-25      | Floating      | 12.97%                | Yes           |                  2 | On Loan: No      |
| NAAC Reperforming Loan Remic Trust Certificates Series 2004-R2                                           | NAA 2004-R1 A2            | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122413 | PA      | $115345.05    | 0.03%             | 2034-03-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 09/30/30        | CUSIP: 22546VMD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    300000 | PA      | $240000.00    | 0.06%             | 2030-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-2R A           | CUSIP: 36228FF35<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     66615 | PA      | $11907.43     | 0.00%             | 2034-02-25      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust                                                                          | LNSTR 2016-4 D            | CUSIP: 50219QAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $956846.00    | 0.23%             | 2049-03-10      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                | RAAC 2005-SP1 4A1         | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12766 | PA      | $12822.52     | 0.00%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SBALR COMML MTG 2020-RR1 TRUST                                                                           | SBALR 2020-RR1 C          | CUSIP: 78397EAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4349000 | PA      | $2431167.54   | 0.59%             | 2053-02-13      | Floating      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J10 5CB1       | CUSIP: 12667FVG7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    489741 | PA      | $497905.58    | 0.12%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 8 09/30/37            | CUSIP: 47233JAY4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    248000 | PA      | $182280.00    | 0.04%             | 2037-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                                      | SAST 2003-3 AF5           | CUSIP: 805564PA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171540 | PA      | $164609.50    | 0.04%             | 2033-12-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-7 6A           | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3756 | PA      | $3338.17      | 0.00%             | 2033-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS 10 10/25/33        | CUSIP: 5394E8CC1<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    136000 | PA      | $95200.00     | 0.02%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alt                                                                                        | FHAMS 2007-FA4 1A8        | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69611 | PA      | $23647.87     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 03/31/34            | CUSIP: 61760QEE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    209000 | PA      | $140552.50    | 0.03%             | 2034-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-5 2A           | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82326 | PA      | $70154.32     | 0.02%             | 2034-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF Float 10/31/37        | CUSIP: 47233JBC1<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $856250.00    | 0.21%             | 2037-10-31      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                                      | MABS 2004-FRE1 M7         | CUSIP: 57643LEA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884259 | PA      | $830150.18    | 0.20%             | 2034-07-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation Trust 2006-2                                                                   | HALO 2007-1 2A12          | CUSIP: 40431TAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202111 | PA      | $76633.33     | 0.02%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2005-10 5A1           | CUSIP: 61748HSL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73877 | PA      | $26557.48     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                                        | AFC 1999-3 1A             | CUSIP: 00105HEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136731 | PA      | $111600.92    | 0.03%             | 2029-09-28      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                            | SBM7 1997-HUD2 B2         | CUSIP: 79548KXR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84232 | PA      | $47.53        | 0.00%             | 2027-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Galleria Cdo V Ltd.                                                                                      | GALLA 5A B                | CUSIP: 073605AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2657673 | PA      | $2626105.53   | 0.63%             | 2037-09-19      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                         | SAIL 2003-BC9 M3          | CUSIP: 86358EDM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527273 | PA      | $490484.16    | 0.12%             | 2033-08-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 10 12/30/36            | CUSIP: 61766YAY7<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34200.00     | 0.01%             | 2036-12-30      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Np Spe X Lp 2019-2                                                                                       | NPRL 2021-1A A1           | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795777 | PA      | $746189.91    | 0.18%             | 2051-03-19      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Home Partners Of America 2020-2 Trust                                                                    | HPA 2020-2 F              | CUSIP: 437301AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139528 | PA      | $117705.33    | 0.03%             | 2041-01-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-72 A3          | CUSIP: 12668A3Q6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     98239 | PA      | $100068.32    | 0.02%             | 2036-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Belvedere SPV S.r.l.                                                                                     | BLVDR 1 A                 | CUSIP: T30242AA8<br>LEI: 815600EE6F87DF1A1266 | Long             | ABS-O            | CORP              | IT        |   7187676 | PA      | $1040754.30   | 0.25%             | 2038-12-31      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| ACHM TRUST 2023-HE1                                                                                      | ACHM 2023-HE1 B           | CUSIP: 00092AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1066150.00   | 0.26%             | 2037-11-25      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-6 7A1           | CUSIP: 576433GN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16063 | PA      | $15950.90     | 0.00%             | 2033-12-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2004-12 1B1           | CUSIP: 36242DLG6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    557965 | PA      | $111646.84    | 0.03%             | 2034-12-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1                                                                | EFMT 2022-1 B2            | CUSIP: 31573CAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $275958.12    | 0.07%             | 2067-01-25      | Floating      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                                | NCHET 2003-5 AII          | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21112 | PA      | $12328.31     | 0.00%             | 2033-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                                            | NHEL 2003-4 A1            | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172625 | PA      | $172676.23    | 0.04%             | 2034-02-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | INDX 2005-AR8 2A1A        | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187094 | PA      | $162500.46    | 0.04%             | 2035-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2005-2A M1           | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22835 | PA      | $21176.13     | 0.01%             | 2035-08-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-8R A5           | CUSIP: 12669GQJ3<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    110318 | PA      | $110568.55    | 0.03%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loan Tst                                                                      | SNMLT 2005-2A A3          | CUSIP: 81441PCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207302 | PA      | $209151.19    | 0.05%             | 2036-02-25      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates Series 2007-3                | LBSBC 2007-3A M2          | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544000 | PA      | $491526.85    | 0.12%             | 2037-10-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE                                                                        | MELLO 2021-MTG1 B1        | CUSIP: 585495EC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    533319 | PA      | $438231.78    | 0.11%             | 2051-04-25      | Floating      | 2.64%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2004-A3 3A3         | CUSIP: 466247CZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1962 | PA      | $1869.17      | 0.00%             | 2034-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-Af1                                      | NAA 2006-AF1 4A1          | CUSIP: 65536PAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389313 | PA      | $356648.86    | 0.09%             | 2036-06-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series 2007-A2                                                | MANA 2007-A2 A3B          | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313341 | PA      | $69703.04     | 0.02%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                                           | GSMSC 2008-2R 2A1         | CUSIP: 3622X1AC3<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-O            | CORP              | US        |    782774 | PA      | $79218.50     | 0.02%             | 2036-10-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                                                   | JPMCC 2018-PHH A          | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1453629 | PA      | $1240523.37   | 0.30%             | 2035-06-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-27CB A1        | CUSIP: 12667FWU5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    250671 | PA      | $225671.74    | 0.05%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J G Wentworth Xlii Llc                                                                                   | HENDR 2018-2A B           | CUSIP: 46590UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47513 | PA      | $43330.04     | 0.01%             | 2077-10-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2007-9 2A1           | CUSIP: 86364JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289337 | PA      | $171429.78    | 0.04%             | 2047-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                               | NOMURA FLOAT 07/29/34     | CUSIP: 65539ABE9<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |    890000 | PA      | $607425.00    | 0.15%             | 2034-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                | GMACM 2006-AR1 1A1        | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100265 | PA      | $79697.85     | 0.02%             | 2036-04-19      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                                    | WFMBS 2007-7 A6           | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55797 | PA      | $50682.59     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2023-2 M4             | CUSIP: 92260AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1126923 | PA      | $1151818.68   | 0.28%             | 2053-05-25      | Floating      | 10.44%                | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2004-10 A1A          | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23496 | PA      | $22162.69     | 0.01%             | 2034-11-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2005-2 A1            | CUSIP: 81744FGY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43443 | PA      | $38834.04     | 0.01%             | 2035-03-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-12 6A1         | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11547 | PA      | $10147.28     | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-INV3                                                                     | VERUS 2023-INV3 B1        | CUSIP: 92540CAE7<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1017813.30   | 0.25%             | 2068-11-25      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSFB 2003-21 1A4          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16156 | PA      | $15784.55     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2005-2 2A11         | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     31991 | PA      | $32068.23     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                                           | BFAT 2007-SR1A A          | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421314 | PA      | $423673.32    | 0.10%             | 2037-03-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C Float 01/22/35          | CUSIP: 17327TC95<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1269000.00   | 0.31%             | 2035-01-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SUTHERLAND COMMERCIAL MORTGAGE TRUST                                                                     | SCML 2021-SB10 C          | CUSIP: 86935JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351445 | PA      | $324117.98    | 0.08%             | 2041-12-25      | Floating      | 2.64%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/30/34         | CUSIP: 61760QEV2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    231000 | PA      | $146477.10    | 0.04%             | 2034-09-30      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2006-AR8 1A1         | CUSIP: 93362FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98131 | PA      | $102224.71    | 0.02%             | 2046-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 7A1           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143450 | PA      | $141356.28    | 0.03%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mastr Specialized Loan Trust 2006-03                                                                     | MASD 2005-3 M1            | CUSIP: 576436CP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51097 | PA      | $48880.83     | 0.01%             | 2035-11-25      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 03/31/37             | CUSIP: 61766YBC4<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81000.00     | 0.02%             | 2037-03-31      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2006-6 A4            | CUSIP: 173100AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34927 | PA      | $35718.53     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2004-CB3 2A          | CUSIP: 92922FXM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100534 | PA      | $104410.97    | 0.03%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                                                                                 | SUNRN 2021-1A A           | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379528 | PA      | $334388.77    | 0.08%             | 2052-01-30      | Fixed         | 2.46%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 01/30/34         | CUSIP: 61760QDW1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    247000 | PA      | $174135.00    | 0.04%             | 2034-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-2AR 2A           | CUSIP: 61748HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9737 | PA      | $9366.87      | 0.00%             | 2034-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                                                    | BSSP 2007-R6 1A1          | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121492 | PA      | $90969.87     | 0.02%             | 2036-01-26      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C FLOAT 11/26/33          | CUSIP: 1730T0C56<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $762195.00    | 0.18%             | 2033-11-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Blackrock Cap Fin                                                                                        | BCF 1997-R2 1B1           | CUSIP: 05535DBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53422 | PA      | $45675.39     | 0.01%             | 2035-12-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2005-4A M1           | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18110 | PA      | $16516.55     | 0.00%             | 2036-01-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Fort Knox Military Housing Privatization Project                                                         | FTKNOX FLOAT 02/15/52     | CUSIP: 347508AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    179179 | PA      | $143147.99    | 0.03%             | 2052-02-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Select Notes Trust                                                                                       | SELECT 5.91 02/22/33      | CUSIP: 81619PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    634876 | PA      | $584943.45    | 0.14%             | 2033-02-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-4 Z              | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    213066 | PA      | $83005.30     | 0.02%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 08/28/34         | CUSIP: 25152RXC2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1257000 | PA      | $840618.75    | 0.20%             | 2034-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                  | BAYC 2005-2A B1           | CUSIP: 07324SBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35335 | PA      | $36707.13     | 0.01%             | 2035-08-25      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J1 3A1         | CUSIP: 12667FU29<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     71139 | PA      | $70504.62     | 0.02%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-1 2A1           | CUSIP: 576433DA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39773 | PA      | $37255.07     | 0.01%             | 2032-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-3 6A1           | CUSIP: 576434NZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157849 | PA      | $157716.45    | 0.04%             | 2034-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Cmbs 2015-Fl7                                                                            | JPMCC 2015-FL7 D          | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453936 | PA      | $375890.19    | 0.09%             | 2028-05-15      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| CD 2017 Cd3 Mortgage Trust                                                                               | CD 2017-CD3 AS            | CUSIP: 12515GAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $926723.90    | 0.22%             | 2050-02-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2010-9 5A3          | CUSIP: 17317JBJ8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |         1 | PA      | $0.99         | 0.00%             | 2037-03-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF Float 03/20/40        | CUSIP: 47233JDA3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275041.92    | 0.07%             | 2040-03-20      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2005-1 4A1            | CUSIP: 61748HJH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572394 | PA      | $542836.15    | 0.13%             | 2035-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                               | ACE 2004-IN1 A1           | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578723 | PA      | $503287.88    | 0.12%             | 2034-05-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2M3            | CUSIP: 45254NRX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87293 | PA      | $86747.30     | 0.02%             | 2036-02-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank                                                            | ACAFP Float 05/24/36      | CUSIP: 22533ADT1<br>LEI: 1VUV7VQFKUOQSJ21A208 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $941250.00    | 0.23%             | 2036-05-24      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 11/28/34         | CUSIP: 61760QFL3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    185000 | PA      | $126262.50    | 0.03%             | 2034-11-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-5 8A1           | CUSIP: 576434FK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475578 | PA      | $471209.42    | 0.11%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MM Community Funding III Ltd/Corp                                                                        | MMCFND FLOAT 05/01/32     | CUSIP: 55309YAD9<br>LEI: 54930037G3KLRZURXG36 | Long             | ABS-CBDO         | CORP              | KY        |   2548787 | PA      | $2529671.14   | 0.61%             | 2032-05-01      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2014-150E A           | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $354817.16    | 0.09%             | 2032-09-09      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Bellavista Mortgage Trust 2005-1                                                                         | BVMBS 2004-1 1A           | CUSIP: 07820QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17073 | PA      | $16898.38     | 0.00%             | 2034-11-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-1 4A1           | CUSIP: 576434LV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112286 | PA      | $111327.04    | 0.03%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-3 B2            | CUSIP: 576434ED2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91843 | PA      | $85324.19     | 0.02%             | 2033-05-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Hero Funding Trust 2015-2                                                                                | HERO 2015-2A A            | CUSIP: 42770UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48726 | PA      | $46888.53     | 0.01%             | 2040-09-20      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST VII                                                                       | WESTF 2023-A A            | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1175364 | PA      | $1221642.48   | 0.30%             | 2048-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                                                        | VERUS 2023-2 A2           | CUSIP: 92539DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2531452 | PA      | $2537954.85   | 0.61%             | 2068-03-25      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2011-RR5 12A1        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    908952 | PA      | $904309.93    | 0.22%             | 2037-03-26      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/31/31         | CUSIP: 61745E7D7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    167000 | PA      | $157397.50    | 0.04%             | 2031-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-2 B             | CUSIP: 784442AD7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    375000 | PA      | $380935.28    | 0.09%             | 2083-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2014-2R                                                                                      | CSMC 2014-2R 28A1         | CUSIP: 12648ELW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20681 | PA      | $19300.67     | 0.00%             | 2037-06-27      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2004-4 1A1           | CUSIP: 576433LW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        58 | PA      | $54.32        | 0.00%             | 2034-04-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                           | WFRBS 2012-C10 C          | CUSIP: 92890NAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $135050.72    | 0.03%             | 2045-12-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| READYCAP LENDING                                                                                         | RCLT 2019-2 A             | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126237 | PA      | $126146.79    | 0.03%             | 2044-12-27      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                  | KNFP FLOAT 04/30/34       | CUSIP: 63873HKC7<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |    282000 | PA      | $190350.00    | 0.05%             | 2034-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                            | CWL 2004-6 2A3            | CUSIP: 126673BA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11961 | PA      | $11023.50     | 0.00%             | 2034-11-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                               | RAST 2002-A12 A4          | CUSIP: 45660NHW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2032-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-Cx10 Commercial Mortgage Trust                                                                | CSAIL 2018-C14 D          | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $216337.76    | 0.05%             | 2051-11-15      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                      | BNS FLOAT 08/28/34        | CUSIP: 064159FM3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $68500.00     | 0.02%             | 2034-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRES WD TR 2021-INV1                                                                            | HAWT 2021-INV1 B1         | CUSIP: 44590HCA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252432 | PA      | $221328.41    | 0.05%             | 2051-07-25      | Floating      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2004-15 4A1          | CUSIP: 576433VN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157773 | PA      | $156524.44    | 0.04%             | 2034-12-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2018-2                                                            | VCC 2018-2 M5             | CUSIP: 92259BAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    881340 | PA      | $772690.56    | 0.19%             | 2048-10-26      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-14 A1           | CUSIP: 12669GK59<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   2971184 | PA      | $1260126.67   | 0.30%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-27 2A1         | CUSIP: 12667GN33<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    144693 | PA      | $125078.25    | 0.03%             | 2035-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Cf 2019-Cf3 Mortgage Trust                                                                               | CF 2019-CF3 E             | CUSIP: 12529TAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $283377.87    | 0.07%             | 2053-01-15      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                            | CBASS 2002-CB3 B2         | CUSIP: 79549ARB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541323 | PA      | $538396.85    | 0.13%             | 2032-06-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2005-S3 1A22        | CUSIP: 466247B36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821851 | PA      | $345046.61    | 0.08%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                                            | VCC 2017-2 M5             | CUSIP: 92258VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1588789 | PA      | $1408985.73   | 0.34%             | 2047-11-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                                     | JPMCC 2018-PTC A          | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $912000.00    | 0.22%             | 2031-04-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-14 2A1         | CUSIP: 12667GCB7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     51109 | PA      | $46278.59     | 0.01%             | 2035-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 5YR NOTE (CBT) Dec25   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        70 | NC      | $17864.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2012-1 A3            | CUSIP: 78446WAC1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    295448 | PA      | $279819.20    | 0.07%             | 2028-09-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Soloso CDO 2007-1 Ltd.                                                                                   | SLOSO 2007-1A A1LA        | CUSIP: 83438JAA4<br>LEI: 549300TYY1BQ1R0Y8R40 | Long             | ABS-CBDO         | CORP              | KY        |   4687034 | PA      | $4310459.39   | 1.04%             | 2037-10-07      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Mrcd 2019-Park Mortgage Trust                                                                            | MRCD 2019-PARK A          | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $187057.50    | 0.05%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 10A1          | CUSIP: 576434SN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34396 | PA      | $33709.28     | 0.01%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-4 1A1           | CUSIP: 576434PX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19710 | PA      | $19405.89     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN HOME IMPROVEMENT TRUST 2022                                                                      | GHIT 2022-GRN1 D          | CUSIP: 38150YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374565 | PA      | $381789.71    | 0.09%             | 2052-06-25      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2022-HB9 LLC 2022-2                                                                                 | CFMT 2022-HB9 M3          | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $217918.68    | 0.05%             | 2037-09-25      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                       | MSM 2004-10AR 2A2         | CUSIP: 61748HFE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9290 | PA      | $8806.58      | 0.00%             | 2034-11-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mbs                                                                                            | JPMBS 2006-R1 6A1         | CUSIP: 46628AAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308891 | PA      | $247613.76    | 0.06%             | 2044-09-28      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2003-1 3A4          | CUSIP: 17307GBT4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      8029 | PA      | $7619.54      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                                             | CAS 2022-R01 1B1          | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    120000 | PA      | $123011.47    | 0.03%             | 2041-12-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 04/28/37             | CUSIP: 61766YBH3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    767000 | PA      | $655785.00    | 0.16%             | 2037-04-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2002-AR17 1A         | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74131 | PA      | $66386.63     | 0.02%             | 2042-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BRAZOS EDUCATION LOAN AUTHORITY INC 2021-2                                                               | BELA 2021-2 A1A           | CUSIP: 10620WAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319430 | PA      | $264930.74    | 0.06%             | 2072-01-25      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2013-CR                                                                        | COMM 2013-CR12 B          | CUSIP: 12591KAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3285000 | PA      | $1773965.70   | 0.43%             | 2046-10-10      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                            | SBM7 2002-HYB1 B2         | CUSIP: 79549ARL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3484 | PA      | $3207.60      | 0.00%             | 2032-09-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-7 10A1          | CUSIP: 576434TN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49231 | PA      | $49050.34     | 0.01%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                                         | FHASI 2005-AR5 3A1        | CUSIP: 32051GXT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29935 | PA      | $0.00         | 0.00%             | 2035-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                               | BSABS 2003-AC7 A1         | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502039 | PA      | $417635.99    | 0.10%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                                            | UBSCM 2019-C16 C          | CUSIP: 90276YAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251000 | PA      | $218120.19    | 0.05%             | 2052-04-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FHR 4203 PS               | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     49609 | PA      | $3796.13      | 0.00%             | 2042-09-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| JP MRGN CHASE COM TR 2020                                                                                | JPMCC 2020-MKST A         | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $350000.00    | 0.08%             | 2036-12-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-3 B              | CUSIP: 38381ETU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    100000 | PA      | $45022.70     | 0.01%             | 2061-02-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C Float 10/31/34          | CUSIP: 1730T02P3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $107437.50    | 0.03%             | 2034-10-31      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2017-90 AC            | CUSIP: 38379RZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    132777 | PA      | $108968.58    | 0.03%             | 2058-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                                                  | ARGBON 0 3/4 07/09/30     | CUSIP: P8S090UG9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    160000 | PA      | $93913.07     | 0.02%             | 2030-07-09      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage 2015-Sbc5                                                                  | WCMT 2015-SBC5 A          | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26486 | PA      | $26141.18     | 0.01%             | 2032-12-14      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2006-J1 3A1          | CUSIP: 126694XX1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    118483 | PA      | $38440.86     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS FLOAT 09/29/37         | CUSIP: 61766YBX8<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   2014000 | PA      | $1575955.00   | 0.38%             | 2037-09-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2003-6 2A1           | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29307 | PA      | $27183.78     | 0.01%             | 2033-12-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2009-4 7A5          | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    128616 | PA      | $122431.76    | 0.03%             | 2035-05-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                           | WFCM 2013-LC12 B          | CUSIP: 94988QAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35555 | PA      | $31019.12     | 0.01%             | 2046-07-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/29/31         | CUSIP: 61745E3S8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    114000 | PA      | $106305.00    | 0.03%             | 2031-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                                           | LBMLT 2003-2 M2           | CUSIP: 542514DV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53147 | PA      | $60699.02     | 0.01%             | 2033-06-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-AR4 2A1          | CUSIP: 362341FH7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    527985 | PA      | $271319.43    | 0.07%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                                                                             | PEMEX 10 02/07/33         | CUSIP: 71654QDN9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    250000 | PA      | $280231.75    | 0.07%             | 2033-02-07      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                                               | MSSTR 2005-1 3A1          | CUSIP: 55265WCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9547 | PA      | $8000.03      | 0.00%             | 2032-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-4 B              | CUSIP: 38381EPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    200000 | PA      | $109072.72    | 0.03%             | 2061-02-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| READYCAP LENDING                                                                                         | RCLT 2023-3 A             | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    431692 | PA      | $439156.88    | 0.11%             | 2048-04-25      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2014-RR2 7A2         | CUSIP: 05543DBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376526 | PA      | $373963.49    | 0.09%             | 2038-01-26      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                   | JPMCC 2007-LD11 AJ        | CUSIP: 46631BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5662197 | PA      | $1047741.45   | 0.25%             | 2049-06-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I                                                                                 | MSC 2019-H6 A2            | CUSIP: 61769JAX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15218 | PA      | $14387.67     | 0.00%             | 2052-06-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                                             | MARM 2005-7 3A1           | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222135 | PA      | $133763.55    | 0.03%             | 2035-09-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                                     | WAMU 2006-AR2 1A1         | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39759 | PA      | $36039.20     | 0.01%             | 2036-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                                         | WFRBS 2014-C20 B          | CUSIP: 92890FAY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148577 | PA      | $133969.83    | 0.03%             | 2047-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                   | MLMI 2003-A6 1A           | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27780 | PA      | $26696.84     | 0.01%             | 2033-09-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-8 2A1          | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29642 | PA      | $26281.16     | 0.01%             | 2034-11-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                                     | BAFC 2006-I 4A1           | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    633280 | PA      | $531829.08    | 0.13%             | 2046-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                                               | CSMC 2014-USA D           | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1341126.89   | 0.32%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| CANAL CENTER ALEXANDRIA VA SENIOR NOTES LEASE BACKED PASS THROUGH TRUST                                  | CANAL 2021-1 A            | CUSIP: 13704PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4290000 | PA      | $2725490.63   | 0.66%             | 2056-09-15      | Fixed         | 3.02%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                       | SASC 2005-WF2 M7          | CUSIP: 86359DDH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145141 | PA      | $142382.50    | 0.03%             | 2035-05-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                             | CHASE 2004-S2 2A4         | CUSIP: 16162WGP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109319 | PA      | $109887.33    | 0.03%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMM CAP TR 2019-3                                                                              | VCC 2019-3 M3             | CUSIP: 92257HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    416848 | PA      | $351230.92    | 0.08%             | 2049-10-25      | Floating      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Capital Llc                                                                             | CDMC 2005-1 A4            | CUSIP: 15132ELB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80286 | PA      | $79827.12     | 0.02%             | 2035-02-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                                                             | CHASE 2006-A1 2A3         | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237690 | PA      | $200853.71    | 0.05%             | 2036-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                                    | RAMC 2002-3 M1            | CUSIP: 75970NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424761 | PA      | $397177.14    | 0.10%             | 2032-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria Panamanian Mortgage Trust 2021-1                                                          | LHIPO 2021-1 GA           | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2404278 | PA      | $2195670.71   | 0.53%             | 2051-06-13      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| CFK TRUST                                                                                                | CFK 2020-MF2 A            | CUSIP: 12529AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90089.26     | 0.02%             | 2039-03-15      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                                                                        | BMARK 2021-B31 C          | CUSIP: 08163MAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328000 | PA      | $243601.00    | 0.06%             | 2054-12-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TR                                                                      | AOMT 2020-SBC1 B2         | CUSIP: 03465BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2124264 | PA      | $1558345.41   | 0.38%             | 2050-05-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Cd 2016-Cd2 Mortga                                                                                       | CD 2016-CD2 B             | CUSIP: 12515ABH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1169000.00   | 0.28%             | 2049-11-10      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| CARBON CAPITAL VI COMMERCIAL MORTGAGE TRUST                                                              | CARB 2019-FL2 B           | CUSIP: 140817AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2768639 | PA      | $1070078.97   | 0.26%             | 2035-10-15      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J11 2A1        | CUSIP: 12668AJP1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     36796 | PA      | $17177.70     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-113 Z            | CUSIP: 38381HGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1267791 | PA      | $613492.92    | 0.15%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                                                 | COLT 2020-2 M1            | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422000 | PA      | $425404.70    | 0.10%             | 2065-03-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                            | BAFC 2004-B 3A2           | CUSIP: 05946XJC8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1001498 | PA      | $822854.20    | 0.20%             | 2034-12-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Business Loan 07-A                                                                                       | BLX 2007-AA C             | CUSIP: 12328RAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     39869 | PA      | $34332.88     | 0.01%             | 2040-10-20      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| FREMF MTG TR 2019-KF63                                                                                   | FREMF 2019-KF63 B         | CUSIP: 30311FAC1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2598439 | PA      | $2358114.48   | 0.57%             | 2029-05-25      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 05/30/34         | CUSIP: 61760QEG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    287000 | PA      | $193007.50    | 0.05%             | 2034-05-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                                          | BANK 2019-BN19 B          | CUSIP: 06540WBF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625000 | PA      | $1411947.88   | 0.34%             | 2061-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 10 07/29/36            | CUSIP: 61766YAF8<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    242000 | PA      | $196020.00    | 0.05%             | 2036-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                                     | JPMCC 2011-C3 E           | CUSIP: 46635TBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193000 | PA      | $133897.47    | 0.03%             | 2046-02-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C Float 09/03/41          | CUSIP: 17329QD98<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1428000.00   | 0.34%             | 2041-09-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TPG TR 2024-WLSC                                                                                         | TPG 2024-WLSC A           | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2011453.60   | 0.49%             | 2029-11-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A4 3A1         | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12801 | PA      | $8452.03      | 0.00%             | 2036-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                                             | RBSSP 2009-12 19A2        | CUSIP: 74928UCB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7709604 | PA      | $5381966.09   | 1.30%             | 2035-12-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2005-2 6A1           | CUSIP: 576434K29<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300340 | PA      | $222451.55    | 0.05%             | 2043-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR2022-HB1                                                                           | RBIT 2022-HB1 M3          | CUSIP: 76970HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5210000 | PA      | $4886817.45   | 1.18%             | 2032-04-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 09/13/28       | CUSIP: 06741TF85<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $448218.75    | 0.11%             | 2028-09-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-UST1 A6        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     16354 | PA      | $14701.76     | 0.00%             | 2034-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-3 IO             | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     93233 | PA      | $4075.92      | 0.00%             | 2061-02-16      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                                         | WFRBS 2013-C15 C          | CUSIP: 92938CAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $398409.80    | 0.10%             | 2046-08-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNGT 2003-T4 1A           | CUSIP: 31393AU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    202018 | PA      | $199926.70    | 0.05%             | 2033-09-26      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| SG Structured Products, Inc.                                                                             | SOCGEN 0 07/29/31         | CUSIP: 78423A2D3<br>LEI: 549300D8JJ608SOIGA98 | Long             | DBT              | CORP              | US        |    185000 | PA      | $149850.00    | 0.04%             | 2031-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2021-B24 A2         | CUSIP: 08163CAZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $463125.22    | 0.11%             | 2054-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 02/28/34            | CUSIP: 61760QDZ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    345000 | PA      | $232012.50    | 0.06%             | 2034-02-28      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2004-10 A3B          | CUSIP: 81744FEX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33228 | PA      | $27913.75     | 0.01%             | 2034-11-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 10 06/30/37           | CUSIP: 47233JAQ1<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22575.00     | 0.01%             | 2037-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                                              | GSMS 2014-GC22 AS         | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2662000 | PA      | $2512910.43   | 0.61%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-5 2A2           | CUSIP: 12669FVW0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     54794 | PA      | $54398.59     | 0.01%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 04/25/34       | CUSIP: 06741UBA1<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     58000 | PA      | $38787.50     | 0.01%             | 2034-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2023-91 BW            | CUSIP: 38381JJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    900000 | PA      | $406828.89    | 0.10%             | 2064-08-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2019-PJ1                                                             | GSMBS 2019-PJ1 B3         | CUSIP: 36257TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401423 | PA      | $331256.24    | 0.08%             | 2049-08-25      | Floating      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                                    | WFMBS 2006-AR14 2A1       | CUSIP: 94984MAM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43930 | PA      | $40608.14     | 0.01%             | 2036-10-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-2 2B             | CUSIP: 45254NNN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17461 | PA      | $17600.71     | 0.00%             | 2035-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                                                                             | PEMEX 6 3/4 09/21/47      | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    870000 | PA      | $682288.80    | 0.16%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                                     | TBMLT 2018-2 B3           | CUSIP: 886312CD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190885 | PA      | $167048.78    | 0.04%             | 2048-07-25      | Floating      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| UBS AG, London Branch                                                                                    | UBS Float 10/30/30        | CUSIP: 22546VNQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |     95000 | PA      | $76950.00     | 0.02%             | 2030-10-30      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TR                                                                      | VCC 2024-1 M2             | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219118 | PA      | $221604.05    | 0.05%             | 2054-01-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-4F 6A1           | CUSIP: 36242DY31<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     36751 | PA      | $36065.36     | 0.01%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2008-4 B             | CUSIP: 78445AAE6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    262000 | PA      | $268449.23    | 0.06%             | 2073-04-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/08/34         | CUSIP: 61760QFB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    279000 | PA      | $190417.50    | 0.05%             | 2034-10-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESI MTG TR 2020-RPL1                                                                                | NRZT 2020-RPL1 B3         | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720000 | PA      | $549270.62    | 0.13%             | 2059-11-25      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-22CB 1A1       | CUSIP: 12669FEE9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     41443 | PA      | $42249.24     | 0.01%             | 2033-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 7 09/30/36             | CUSIP: 61766YAR2<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60937.50     | 0.01%             | 2036-09-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                                      | CGCMT 2015-GC31 B         | CUSIP: 17323YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $34930.78     | 0.01%             | 2048-06-10      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                                             | B 12/16/25                | CUSIP: 912797RX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9882895.80   | 2.39%             | 2025-12-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-196 BE           | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    365000 | PA      | $246011.64    | 0.06%             | 2064-10-16      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/31/34         | CUSIP: 61760QFC3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    279000 | PA      | $218317.50    | 0.05%             | 2034-10-31      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                                      | MABS 2005-NC1 M2          | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201797 | PA      | $203458.99    | 0.05%             | 2034-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust 2020-Sh1                                                                 | SHMLT 2020-SH1 B2         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93371.96     | 0.02%             | 2050-01-28      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                                                                           | MCAS 2019-01 M10          | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |    799186 | PA      | $812662.28    | 0.20%             | 2049-10-15      | Floating      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2002-L 1A1          | CUSIP: 05948JAA0<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     16352 | PA      | $13901.09     | 0.00%             | 2032-12-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2007-2 APO           | CUSIP: 173107AP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66273 | PA      | $35416.75     | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fremf 2017 Kf38 Mortgage Trust                                                                           | FREMF 2017-KF38 B         | CUSIP: 30305MAG5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1676692 | PA      | $1556733.27   | 0.38%             | 2024-09-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 05/31/31         | CUSIP: 61745ER60<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     89000 | PA      | $82992.50     | 0.02%             | 2031-05-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE TRUST                                                                          | CAFL 2019-3 XA            | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2070449 | PA      | $5355.84      | 0.00%             | 2052-10-15      | Floating      | 2.15%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Financial Co LLC                                                                          | JPM Float 10/21/36        | CUSIP: 48130UYR0<br>LEI: 549300NJFDJOFYVV6789 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $690000.00    | 0.17%             | 2036-10-21      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2006-2 2A2          | CUSIP: 55274QBN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4115543 | PA      | $802026.37    | 0.19%             | 2036-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2005-F 3A1          | CUSIP: 05949CCD6<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     40438 | PA      | $33636.49     | 0.01%             | 2035-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                           | SARM 2006-8 3AF           | CUSIP: 86361JAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6315 | PA      | $5651.65      | 0.00%             | 2036-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 8 02/15/33             | CUSIP: 61760QCH5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    231000 | PA      | $165742.50    | 0.04%             | 2033-02-15      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2022-2                                                                              | CHNGE 2022-2 B2           | CUSIP: 12546YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $150863.39    | 0.04%             | 2067-03-25      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-26

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

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Asst Treasurer