# EDGAR Filing Document

**Accession Number:** 0001829774
**File Stem:** 0001752724-25-180926
**Filing Date:** 2025-7
**Character Count:** 371715
**Document Hash:** b7ba062e2b9e97b9e9da2ad62558dfca
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-180926.hdr.sgml**: 20250728

**ACCESSION NUMBER**: 0001752724-25-180926

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250728

**DATE AS OF CHANGE**: 20250728

**PERIOD START**: 20251130

**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:** 251156695

**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:** 2025-11-30

- **b. Date as of which information is reported:** 2025-05-31

**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:** $380772548.52

**Total Liabilities:** $549455.01

**Net Assets:** $380223093.51

**Cash Not Reported:** $16648051.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1293.65172800 | **1-Year:** 5383.48726300 | **5-Year:** 24214.62879000 | **10-Year:** 62410.05708100 | **30-Year:** 16311.67679100

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

- **3-Month:** 373.98434800 | **1-Year:** -59.75636400 | **5-Year:** -2970.54052100 | **10-Year:** 25201.71123000 | **30-Year:** 15328.76954500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000224285 | 0.65%                | 0.51%                | 0.60%                |
| Class ID C000224287 | 0.66%                | 0.62%                | 0.62%                |
| Class ID C000224286 | 0.51%                | 0.46%                | 0.56%                |
| Class ID C000224288 | 0.58%                | 0.64%                | 0.54%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $400396.98               | $-620251.54                                |
| Month 2  | $-186468.98              | $-209908.92                                |
| Month 3  | $1340542.61              | $764559.82                                 |

**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 2021-RPL2 TRUST                                                                                     | CSMC 2021-RPL2 M3         | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279423 | PA      | $182557.58    | 0.05%             | 2060-01-25      | Floating      | 3.61%                 | 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      | $979050.00    | 0.26%             | 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        |    147642 | PA      | $125450.80    | 0.03%             | 2033-06-25      | Floating      | 5.10%                 | 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      | $11483.45     | 0.00%             | 2061-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Np Spe X Lp 2019-2                                                                                       | NPRL 2021-1A B1           | CUSIP: 62947AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570000 | PA      | $1099780.13   | 0.29%             | 2051-03-19      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Wfrbs Coml Mtg Tr                                                                                        | WFRBS 2014-C22 AS         | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2057-09-15      | Floating      | 4.07%                 | 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        |    385863 | PA      | $366618.33    | 0.10%             | 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        |     67396 | PA      | $49641.16     | 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        |     24033 | PA      | $19350.19     | 0.01%             | 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        |     68592 | PA      | $47824.97     | 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        |   1468727 | PA      | $1326518.50   | 0.35%             | 2035-09-19      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2021-4                                                            | VCC 2021-4 M5             | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2167541 | PA      | $1806483.06   | 0.48%             | 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        |    262025 | PA      | $214916.54    | 0.06%             | 2049-12-25      | Floating      | 4.00%                 | Yes           |                  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        |   1002049 | PA      | $847070.10    | 0.22%             | 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      | $852600.00    | 0.22%             | 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        |   1305631 | PA      | $1214236.84   | 0.32%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                                                      | MS CDS USD SR 5Y D14      | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              | CORP              | N/A       |  20000000 | PA      | $-8714.47     | -0.00%            |  |  |  | No            |                  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      | $879385.00    | 0.23%             | 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      | $339690.00    | 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        |    276380 | PA      | $187356.61    | 0.05%             | 2036-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2004-7 1A1            | CUSIP: 36228F4P8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    108327 | PA      | $97103.68     | 0.03%             | 2034-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 05/29/35         | CUSIP: 61760QGD0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     85000 | PA      | $73312.50     | 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        |     38202 | PA      | $38386.67     | 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        |     83183 | PA      | $81514.79     | 0.02%             | 2034-02-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 3A1       | CUSIP: 12667FYS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72377 | PA      | $63861.87     | 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      | $152950.00    | 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      | $1423211.25   | 0.37%             | 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        |    244756 | PA      | $25335.46     | 0.01%             | 2035-12-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J11 1A3        | CUSIP: 12668AJB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50775 | PA      | $27800.28     | 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      | $347750.00    | 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        |    180816 | PA      | $150215.03    | 0.04%             | 2035-03-25      | Floating      | 4.30%                 | 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        |     39983 | PA      | $30886.61     | 0.01%             | 2037-09-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/29/29         | CUSIP: 61761JRD3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97000.00     | 0.03%             | 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        |    858943 | PA      | $633865.14    | 0.17%             | 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      | $601620.00    | 0.16%             | 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      | $47146.65     | 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      | $3562812.50   | 0.94%             | 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: N/A                  | Long             | ABS-O            | CORP              | US        |    195210 | PA      | $181157.79    | 0.05%             | 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        |     82098 | PA      | $70367.63     | 0.02%             | 2040-10-20      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J3 2A1         | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33670 | PA      | $36841.55     | 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        |     25619 | PA      | $25753.92     | 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: N/A                  | Long             | ABS-O            | CORP              | US        |    142676 | PA      | $129490.14    | 0.03%             | 2034-09-25      | Floating      | 7.31%                 | 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      | $227003.31    | 0.06%             | 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        |      3423 | PA      | $3203.07      | 0.00%             | 2034-11-25      | Floating      | 3.14%                 | 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      | $127161.39    | 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        |     91360 | PA      | $74969.48     | 0.02%             | 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        |      9039 | PA      | $8391.68      | 0.00%             | 2034-04-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon 06-Ar3                                                                                       | FHASI 2006-AR3 1A1        | CUSIP: 32052EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92693 | PA      | $43619.09     | 0.01%             | 2036-11-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2003-7 6A1           | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40980 | PA      | $41108.01     | 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        |     45604 | PA      | $46919.49     | 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      | $32751.25     | 0.01%             | 2034-01-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 9 11/30/35             | CUSIP: 61760QJD7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    176000 | PA      | $151800.00    | 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        |    102955 | PA      | $68531.92     | 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        |  28651636 | PA      | $28651635.59  | 7.54%             |  |  |  | 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      | $586836.25    | 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        |   1489168 | PA      | $1378977.08   | 0.36%             | 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        |     18466 | PA      | $15388.32     | 0.00%             | 2056-07-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                                                    | RPIT 2022-1 M1            | CUSIP: 74969XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $885219.40    | 0.23%             | 2062-01-25      | 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        |   2138139 | PA      | $532556.13    | 0.14%             | 2036-05-27      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 04/30/35         | CUSIP: 61760QFY5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    921000 | PA      | $794362.50    | 0.21%             | 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        |    763517 | PA      | $608706.39    | 0.16%             | 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        |    389464 | PA      | $389089.01    | 0.10%             | 2038-11-15      | Floating      | 5.68%                 | 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        |     67882 | PA      | $61085.87     | 0.02%             | 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      | $181529.69    | 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      | $859137.07    | 0.23%             | 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      | $317766.60    | 0.08%             | 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        |    259658 | PA      | $234994.53    | 0.06%             | 2032-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST                                                                                          | GOODG 2021-1A C           | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1635769 | PA      | $1323333.58   | 0.35%             | 2056-10-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Homebanc Mortgage Trust 2006 1                                                                           | HMBT 2005-3 M3            | CUSIP: 43739EBN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8875 | PA      | $8877.50      | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-J2 3A12         | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    487357 | PA      | $297508.27    | 0.08%             | 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        |     16453 | PA      | $15546.90     | 0.00%             | 2034-10-25      | Floating      | 5.23%                 | 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        |     48510 | PA      | $44572.29     | 0.01%             | 2032-10-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-12R A3         | CUSIP: 12667GAR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33800 | PA      | $32684.73     | 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        |    120590 | PA      | $119809.37    | 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        |     33000 | PA      | $22110.00     | 0.01%             | 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      | $466078.35    | 0.12%             | 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      | $172750.00    | 0.05%             | 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      | $358417.88    | 0.09%             | 2032-09-09      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-54CB 1A11      | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28257 | PA      | $21574.57     | 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        |      9694 | PA      | $8554.87      | 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        |     79781 | PA      | $70011.85     | 0.02%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-13 10A3         | CUSIP: 576434A53<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1589853 | PA      | $1339011.61   | 0.35%             | 2035-01-25      | Fixed         | 5.75%                 | 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      | $386441.00    | 0.10%             | 2047-09-15      | Floating      | 4.51%                 | 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        |    111812 | PA      | $111531.56    | 0.03%             | 2034-06-25      | Floating      | 5.88%                 | 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      | $385019.50    | 0.10%             | 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        |   1414978 | PA      | $1446513.83   | 0.38%             | 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        |   3082298 | PA      | $534778.67    | 0.14%             | 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        |     15538 | PA      | $13538.64     | 0.00%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2021-B-GS                                                                  | CBSLT 2021-BGS B          | CUSIP: 20268AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983476 | PA      | $789171.20    | 0.21%             | 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        |     77923 | PA      | $74957.54     | 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        |     64412 | PA      | $63614.75     | 0.02%             | 2034-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR 10 10/18/28          | CUSIP: 06741TS24<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $41625.00     | 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        |     92739 | PA      | $90491.65     | 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        |    371295 | PA      | $333524.80    | 0.09%             | 2032-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2007-3                                                                    | BAYC 2007-3 M4            | CUSIP: 07325YAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    707357 | PA      | $651486.48    | 0.17%             | 2037-07-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 08/15/33       | CUSIP: 06741TZW0<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $49500.00     | 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        |    126052 | PA      | $166456.85    | 0.04%             | 2027-05-25      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2007-3                                                                    | BAYC 2007-3 M1            | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1188034 | PA      | $1092458.16   | 0.29%             | 2037-07-25      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-3                                                                        | VERUS 2023-3 A3           | CUSIP: 92539GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186993 | PA      | $187614.46    | 0.05%             | 2068-03-25      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                   | VCC 2019-3 M6             | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406583 | PA      | $342862.64    | 0.09%             | 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        |    135397 | PA      | $140461.24    | 0.04%             | 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      | $389305.17    | 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        |     74163 | PA      | $61270.67     | 0.02%             | 2033-08-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE 1 ISSUER, LLC                                                                 | USRE 2021-1 B1            | CUSIP: 643821AB7<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $227925.13    | 0.06%             | 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        |     13780 | PA      | $10743.04     | 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        |    162908 | PA      | $144628.39    | 0.04%             | 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        |     43398 | PA      | $42334.08     | 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: N/A                  | Long             | DBT              | CORP              | US        |   1143000 | PA      | $952976.25    | 0.25%             | 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        |    496858 | PA      | $462865.31    | 0.12%             | 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        |     18660 | PA      | $16994.20     | 0.00%             | 2034-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 08/31/26         | CUSIP: 61745E7E5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $116000.00    | 0.03%             | 2026-08-31      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Bbsg Mortgage Trust 2016-Mrp                                                                             | BBSG 2016-MRP A           | CUSIP: 055287AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $263620.77    | 0.07%             | 2036-06-05      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/30/30         | CUSIP: 61760QHW7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    151000 | PA      | $118912.50    | 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        |    597320 | PA      | $384770.56    | 0.10%             | 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        |     42046 | PA      | $37889.03     | 0.01%             | 2033-03-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO XI-C LTD                                                                                      | CARVL 2024-3A A1          | CUSIP: 14688RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    180000 | PA      | $175895.78    | 0.05%             | 2037-10-20      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                    | SOCGEN 21 10/29/32        | CUSIP: 83369EE55<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    744000 | PA      | $591480.00    | 0.16%             | 2032-10-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S.AUTO FUNDING TRUST 2022-1                                                                            | USAUT 2022-1A A           | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3979 | PA      | $3957.84      | 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      | $162002.38    | 0.04%             | 2048-05-15      | Floating      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2013-5                                                                      | RBSSP 2013-5 2A2          | CUSIP: 74932HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4920251 | PA      | $4157612.04   | 1.09%             | 2033-07-26      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/16/31         | CUSIP: 61745EL58<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    268200 | PA      | $210201.75    | 0.06%             | 2031-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY SOLAR LOAN LTD                                                                                 | MCSLT 2019-1A A           | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    455058 | PA      | $391413.69    | 0.10%             | 2043-03-20      | Fixed         | 4.34%                 | 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      | $711796.26    | 0.19%             | 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      | $110123.15    | 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      | $226709.41    | 0.06%             | 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      | $75123.73     | 0.02%             | 2048-09-15      | Floating      | 3.26%                 | 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        |   2564000 | PA      | $2370074.68   | 0.62%             | 2057-06-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                        | NWG FLOAT 08/26/31        | CUSIP: 78009PBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    100000 | PA      | $73125.00     | 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        |     18760 | PA      | $18900.91     | 0.00%             | 2034-11-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| US AUTO FUNDING TRUST 2021-1                                                                             | USAUT 2021-1A D           | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $75108.60     | 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      | $34063.16     | 0.01%             | 2035-11-26      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/31/34         | CUSIP: 61760QFE9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    295000 | PA      | $205025.00    | 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      | $494098.78    | 0.13%             | 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        |     27089 | PA      | $25422.67     | 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        |     13490 | PA      | $13224.36     | 0.00%             | 2034-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Np Spe X Lp 2019-2                                                                                       | NPRL 2019-2A B1           | CUSIP: 62947AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1132051.05   | 0.30%             | 2049-11-19      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 8 08/31/37            | CUSIP: 47233JAV0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $780491.25    | 0.21%             | 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        |    130194 | PA      | $127145.82    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J8 2A1         | CUSIP: 12667FSH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129118 | PA      | $131931.15    | 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      | $37331.25     | 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      | $625851.25    | 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      | $207862.50    | 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      | $1341330.24   | 0.35%             | 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        |     63065 | PA      | $45301.94     | 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        |     39820 | PA      | $36505.80     | 0.01%             | 2034-03-25      | Floating      | 5.39%                 | 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      | $347338.54    | 0.09%             | 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        |     43787 | PA      | $43800.96     | 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      | $130697.44    | 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: N/A                  | Long             | ABS-O            | CORP              | US        |     27685 | PA      | $26330.87     | 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      | $27606.25     | 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        |     82333 | PA      | $76807.61     | 0.02%             | 2030-12-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1A3          | CUSIP: 36242DJT1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    285051 | PA      | $281416.95    | 0.07%             | 2034-06-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-4 B1           | CUSIP: 07384MVW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57670 | PA      | $52369.32     | 0.01%             | 2033-07-25      | Floating      | 6.72%                 | 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        |     25689 | PA      | $24102.99     | 0.01%             | 2033-05-25      | Floating      | 7.16%                 | 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      | $649605.00    | 0.17%             | 2038-02-28      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-216 IO           | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    685572 | PA      | $38100.07     | 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        |      7316 | PA      | $7428.51      | 0.00%             | 2034-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2003-4 3M2            | CUSIP: 45254NEK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43851 | PA      | $43233.19     | 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        |    609531 | PA      | $605913.88    | 0.16%             | 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      | $884916.90    | 0.23%             | 2049-11-10      | Floating      | 3.95%                 | 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      | $186887.54    | 0.05%             | 2068-08-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                                                                  | SMB 2023-C B              | CUSIP: 83207DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $315253.42    | 0.08%             | 2052-11-15      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                                           | GSMS 2013-G1 B            | CUSIP: 36197QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42314 | PA      | $40916.67     | 0.01%             | 2031-04-10      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-4 2M1            | CUSIP: 45254NPN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171911 | PA      | $163822.37    | 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        |    125154 | PA      | $91893.52     | 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        |     56722 | PA      | $43970.70     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                                                 | COLT 2021-3R A2           | CUSIP: 19688DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28160 | PA      | $24541.26     | 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        |     70011 | PA      | $28361.95     | 0.01%             | 2039-06-25      | Floating      | 0.51%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 01/21/26         | CUSIP: 61745E2K6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67725.00     | 0.02%             | 2026-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                         | FN BY8354                 | CUSIP: 3140NRH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3213115 | PA      | $3259729.87   | 0.86%             | 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        |      4470 | PA      | $3789.53      | 0.00%             | 2035-01-25      | Floating      | 4.27%                 | 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        |     17454 | PA      | $15414.68     | 0.00%             | 2034-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/31/31         | CUSIP: 61745E6X4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16375.00     | 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      | $77400.00     | 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        |     19880 | PA      | $18213.59     | 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        |     23146 | PA      | $22424.65     | 0.01%             | 2033-08-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV1 TRUST                                                                                     | GCAT 2024-INV1 1A2        | CUSIP: 36831BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99617 | PA      | $98084.66     | 0.03%             | 2054-01-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2015-RP2 A          | CUSIP: 17323TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35907 | PA      | $33502.58     | 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      | $41925.00     | 0.01%             | 2034-11-28      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2007-3                                                                    | BAYC 2007-3 M2            | CUSIP: 07325YAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286151 | PA      | $264469.89    | 0.07%             | 2037-07-25      | Floating      | 4.95%                 | Yes           |                  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        |     64626 | PA      | $55020.00     | 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        |      6336 | PA      | $6057.81      | 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        |     80174 | PA      | $77958.22     | 0.02%             | 2036-02-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J2 A1          | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86662 | PA      | $87965.09     | 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        |    104135 | PA      | $100061.62    | 0.03%             | 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        |    174244 | PA      | $144768.48    | 0.04%             | 2046-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2005-8 B             | CUSIP: 78442GQT6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     56505 | PA      | $53817.66     | 0.01%             | 2055-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-1                                                            | VCC 2022-1 M5             | CUSIP: 92258XAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1831917 | PA      | $1311923.26   | 0.35%             | 2052-02-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                                      | COMM 2014-UBS3 AM         | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221865 | PA      | $212968.69    | 0.06%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO VII LTD                                                                                     | TREST 2024-7A A1          | CUSIP: 89532XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120000 | PA      | $120296.04    | 0.03%             | 2037-10-25      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-J9 2A6          | CUSIP: 12669GFL0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     50384 | PA      | $48877.72     | 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      | $1336107.00   | 0.35%             | 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        |     68090 | PA      | $63513.60     | 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        |     85780 | PA      | $82172.44     | 0.02%             | 2034-09-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 08/29/34            | CUSIP: 61760QES9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $301500.00    | 0.08%             | 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        |    169047 | PA      | $146889.25    | 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        |    153538 | PA      | $115026.48    | 0.03%             | 2037-09-25      | Floating      | 5.27%                 | 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        |     71447 | PA      | $68448.99     | 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        |    173513 | PA      | $150208.78    | 0.04%             | 2050-03-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF 10 10/31/37           | CUSIP: 47233JBB3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    240000 | PA      | $174900.00    | 0.05%             | 2037-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSAMP 2002-WF A2B         | CUSIP: 36228FJP2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |       792 | PA      | $792.60       | 0.00%             | 2032-10-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST                                                                                 | KSBA 2014-5 A             | CUSIP: 48249WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1030175 | PA      | $35918.59     | 0.01%             | 2040-10-25      | Floating      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/36             | CUSIP: 61766YAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $58362.50     | 0.02%             | 2036-08-31      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J11 3A1        | CUSIP: 12667FXN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17774 | PA      | $18318.92     | 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        |    438395 | PA      | $384190.44    | 0.10%             | 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      | $1502283.30   | 0.40%             | 2035-02-25      | Floating      | 7.01%                 | 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      | $194016.25    | 0.05%             | 2031-07-15      | Floating      | 10.37%                | 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      | $106353.02    | 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        |     36573 | PA      | $36563.07     | 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      | $124666.97    | 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        |    274888 | PA      | $175088.90    | 0.05%             | 2035-05-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2003-1 A            | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151820 | PA      | $132492.62    | 0.03%             | 2033-05-19      | Floating      | 5.31%                 | 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      | $140070.00    | 0.04%             | 2037-09-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2003-R4 2A           | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99168 | PA      | $84868.40     | 0.02%             | 2034-01-25      | Floating      | 4.75%                 | 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      | $268997.82    | 0.07%             | 2035-10-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                               | JPMCC 2013-LC11 E         | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $21777.00     | 0.01%             | 2046-04-15      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                                      | GMSL 2004-A A3            | CUSIP: 378961AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    488835 | PA      | $488250.30    | 0.13%             | 2032-11-25      | Floating      | 8.40%                 | Yes           |                  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        |    318511 | PA      | $310557.53    | 0.08%             | 2035-07-18      | Floating      | 5.86%                 | 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        |    148022 | PA      | $148296.31    | 0.04%             | 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        |     53302 | PA      | $47820.27     | 0.01%             | 2034-08-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-12R A4         | CUSIP: 12667GAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    832661 | PA      | $805188.82    | 0.21%             | 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      | $122787.50    | 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        |   2339945 | PA      | $332882.62    | 0.09%             | 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        |     32664 | PA      | $32311.97     | 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        |     24869 | PA      | $21900.82     | 0.01%             | 2035-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                        | NWG FLOAT 08/18/31        | CUSIP: 78009PBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    125000 | PA      | $96718.75     | 0.03%             | 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        |     97791 | PA      | $95520.94     | 0.03%             | 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      | $86885.43     | 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        |      5038 | PA      | $4994.60      | 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        |    104768 | PA      | $28184.09     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST 2022-1                                                                  | NWSB 2022-1 A             | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38940 | PA      | $39289.47     | 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        |    866512 | PA      | $436049.53    | 0.11%             | 2038-02-25      | Floating      | 4.82%                 | 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      | $187860.00    | 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        |    233655 | PA      | $214477.58    | 0.06%             | 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      | $65534.78     | 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        |    100987 | PA      | $87700.30     | 0.02%             | 2029-04-25      | Floating      | 4.05%                 | 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      | $80018.99     | 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        |     27130 | PA      | $24824.87     | 0.01%             | 2043-01-25      | Floating      | 5.32%                 | 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      | $639930.96    | 0.17%             | 2048-11-10      | Floating      | 4.46%                 | 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      | $1321437.70   | 0.35%             | 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        |     34084 | PA      | $33937.08     | 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        |   7543918 | PA      | $308771.07    | 0.08%             | 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        |    404840 | PA      | $326121.24    | 0.09%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-4                                                            | VCC 2022-4 M4             | CUSIP: 92259KAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713551 | PA      | $638002.94    | 0.17%             | 2052-08-25      | Floating      | 7.54%                 | 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       | -22000000 | PA      | $1342947.50   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-82 Z             | CUSIP: 38381HCN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1587380 | PA      | $715717.78    | 0.19%             | 2064-02-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                   | VCC 2019-2 M6             | CUSIP: 92257NAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1325505 | PA      | $972331.59    | 0.26%             | 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      | $180840.00    | 0.05%             | 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        |    109665 | PA      | $109714.32    | 0.03%             | 2031-11-25      | Floating      | 3.92%                 | 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      | $214517.78    | 0.06%             | 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      | $603086.00    | 0.16%             | 2037-08-31      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/28         | CUSIP: 61760QCY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $80891.40     | 0.02%             | 2028-07-31      | Floating      | 1.62%                 | 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        |     92599 | PA      | $87136.01     | 0.02%             | 2044-04-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-R2 2A4          | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6439 | PA      | $6448.23      | 0.00%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-16CB 1A1       | CUSIP: 12667FLT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7683 | PA      | $7753.94      | 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        |    134687 | PA      | $129096.26    | 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        |    224540 | PA      | $215797.27    | 0.06%             | 2044-06-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust 2017-2                                                                        | NAVSL 2017-2A A           | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66709 | PA      | $64928.05     | 0.02%             | 2066-12-27      | Floating      | 5.49%                 | 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      | $4287500.00   | 1.13%             | 2033-03-05      | Floating      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| HTS FUND I LLC                                                                                           | HTS 2021-1 A              | CUSIP: 40456HAA5<br>LEI: 30DICB58VS1001USGS60 | Long             | ABS-O            | CORP              | US        |    372111 | PA      | $332806.26    | 0.09%             | 2036-08-25      | Fixed         | 1.41%                 | 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        |     50527 | PA      | $45299.97     | 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      | $408668.15    | 0.11%             | 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      | $394773.75    | 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      | $945612.50    | 0.25%             | 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      | $338791.86    | 0.09%             | 2049-03-10      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS FLOAT 01/31/33     | CUSIP: 5394E8BK4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $130500.00    | 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        |    447947 | PA      | $436404.00    | 0.11%             | 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        |    122630 | PA      | $106686.61    | 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        |    102179 | PA      | $91055.43     | 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        |    267246 | PA      | $223133.41    | 0.06%             | 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        |     16143 | PA      | $14969.40     | 0.00%             | 2033-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2013-7                                                                                        | CSMC 2013-7 A2            | CUSIP: 12647PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103400 | PA      | $87451.02     | 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      | $366769.23    | 0.10%             | 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        |     98241 | PA      | $92430.94     | 0.02%             | 2038-08-25      | Floating      | 5.57%                 | 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      | $456225.00    | 0.12%             | 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        |    201742 | PA      | $165578.48    | 0.04%             | 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        |     58069 | PA      | $58025.01     | 0.02%             | 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        |    107124 | PA      | $92862.01     | 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      | $872181.10    | 0.23%             | 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        |   2863793 | PA      | $2365303.43   | 0.62%             | 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        |    103896 | PA      | $95915.58     | 0.03%             | 2036-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                                                               | AMRES 1999-1 A            | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308895 | PA      | $303926.10    | 0.08%             | 2029-06-25      | Floating      | 5.38%                 | No            |                  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        |    117488 | PA      | $103639.37    | 0.03%             | 2035-10-25      | Floating      | 4.94%                 | 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        |    330481 | PA      | $288690.19    | 0.08%             | 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        |    147324 | PA      | $86596.15     | 0.02%             | 2036-03-25      | Floating      | 5.00%                 | 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        |    197387 | PA      | $166342.84    | 0.04%             | 2035-12-27      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-2                                                            | VCC 2022-2 M5             | CUSIP: 92259UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2840054 | PA      | $2335261.19   | 0.61%             | 2052-04-25      | Floating      | 5.74%                 | 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      | $1585507.80   | 0.42%             | 2053-05-13      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2021-3                                                            | VCC 2021-3 M6             | CUSIP: 92258RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1414628 | PA      | $1090048.00   | 0.29%             | 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        |    224664 | PA      | $221166.07    | 0.06%             | 2031-05-15      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                | GMACM 2004-J2 A8          | CUSIP: 36185N2E9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66199 | PA      | $66061.86     | 0.02%             | 2034-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2021-1                                                                     | CPS 2021-1A A             | CUSIP: 12657TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    956700 | PA      | $950432.74    | 0.25%             | 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        |     22619 | PA      | $22228.14     | 0.01%             | 2028-08-25      | Floating      | 5.32%                 | 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        |    149967 | PA      | $149574.71    | 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        |    367207 | PA      | $144635.79    | 0.04%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1A2          | CUSIP: 36242DJS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1482706 | PA      | $1468534.00   | 0.39%             | 2034-06-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CD 2017 Cd3 Mortgage Trust                                                                               | CD 2017-CD4 AM            | CUSIP: 12515DAT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $766493.52    | 0.20%             | 2050-05-10      | Fixed         | 3.75%                 | No            |                  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      | $231883.34    | 0.06%             | 2032-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-R1 2A           | CUSIP: 12669F7L1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12313 | PA      | $11921.06     | 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        |    562362 | PA      | $524288.26    | 0.14%             | 2035-05-28      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm                                                                                         | BSARM 2007-3 2A1          | CUSIP: 073881AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1143183 | PA      | $970568.76    | 0.26%             | 2047-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group Inc                                                                            | JEF FLOAT 08/31/39        | CUSIP: 47233JCE6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    673000 | PA      | $587486.60    | 0.15%             | 2039-08-31      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| National Colleg. Stud.                                                                                   | NCT 2007-A B              | CUSIP: 63543YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1687961 | PA      | $1547138.22   | 0.41%             | 2034-11-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 01/30/35            | CUSIP: 61760QFQ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    210000 | PA      | $140700.00    | 0.04%             | 2035-01-30      | Floating      | 1.67%                 | 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        |    202743 | PA      | $193398.57    | 0.05%             | 2033-09-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 5YR NOTE (CBT) Sep25   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        70 | NC      | $50676.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GC FTPYME Pastor 4 FTA                                                                                   | PAST 4 E                  | CUSIP: E5650RAB3<br>LEI: 54930081SHHWJEY6G124 | Long             | ABS-O            | CORP              | ES        |    200000 | PA      | $47256.81     | 0.01%             | 2045-07-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2                                                           | UACST 2022-2 D            | CUSIP: 90944KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4495344 | PA      | $4475392.61   | 1.18%             | 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        |     55275 | PA      | $48215.03     | 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: N/A                  | Long             | ABS-O            | CORP              | US        |     36127 | PA      | $36826.91     | 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        |    142437 | PA      | $132285.79    | 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      | $178680.10    | 0.05%             | 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      | $9398.57      | 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        |     76526 | PA      | $73418.69     | 0.02%             | 2033-10-25      | Floating      | 6.43%                 | 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        |   1136034 | PA      | $1092783.22   | 0.29%             | 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        |    133940 | PA      | $103511.47    | 0.03%             | 2051-12-25      | Floating      | 3.32%                 | 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      | $53925.00     | 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      | $829845.00    | 0.22%             | 2037-05-26      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                   | C Float 11/19/40          | CUSIP: 17328WXH6<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1137937.50   | 0.30%             | 2040-11-19      | Floating      | 0.00%                 | 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        |    359259 | PA      | $342699.11    | 0.09%             | 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        |     97731 | PA      | $97362.92     | 0.03%             | 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      | $1985710.05   | 0.52%             | 2052-02-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2023-3                                                         | GOOD 2023-3C A            | CUSIP: 38237CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    718692 | PA      | $671064.80    | 0.18%             | 2055-07-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2022-HB1                                                                       | RBIT 2022-HB1 M4          | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1102742.91   | 0.29%             | 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        |    759581 | PA      | $28801.70     | 0.01%             | 2066-11-20      | Floating      | 2.30%                 | 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        |     15010 | PA      | $13423.59     | 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      | $452554.65    | 0.12%             | 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      | $111718.75    | 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      | $797213.68    | 0.21%             | 2062-09-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1                                                             | HCCLT 2019-1 M5           | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1211158.65   | 0.32%             | 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        |    120266 | PA      | $110768.20    | 0.03%             | 2036-05-25      | Floating      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-HYB2 2A         | CUSIP: 12669FTH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18795 | PA      | $17929.36     | 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        |    137644 | PA      | $119271.38    | 0.03%             | 2036-07-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-37A B1I         | CUSIP: 86359BCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       740 | PA      | $702.92       | 0.00%             | 2033-12-25      | Floating      | 5.22%                 | 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        |     72121 | PA      | $71871.33     | 0.02%             | 2030-08-15      | Floating      | 5.08%                 | 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      | $243423.00    | 0.06%             | 2037-06-30      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNR 2002-26 A1            | CUSIP: 31392CR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     75204 | PA      | $75933.50     | 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        |     75071 | PA      | $13596.39     | 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      | $300212.50    | 0.08%             | 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        |     30605 | PA      | $29345.05     | 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      | $479613.50    | 0.13%             | 2062-03-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-3 A4            | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22505 | PA      | $22238.96     | 0.01%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 11/30/30            | CUSIP: 61760QJC9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $38312.50     | 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        |     93317 | PA      | $91701.61     | 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        |    106734 | PA      | $45169.47     | 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        |      2875 | PA      | $2647.86      | 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        |    242500 | PA      | $214079.52    | 0.06%             | 2033-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                                                     | JPMCC 2019-UES B          | CUSIP: 46651CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $89502.30     | 0.02%             | 2032-05-05      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 2A4       | CUSIP: 12667FYL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384637 | PA      | $353788.18    | 0.09%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-Gs1                                                                    | GSMS 2015-GS1 C           | CUSIP: 36252AAK2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-O            | CORP              | US        |    769082 | PA      | $582066.11    | 0.15%             | 2048-11-10      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 10YR NOTE (CBT)Sep25   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |       220 | NC      | $267174.60    | 0.07%             |  |  |  | No            |                  1 | 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      | $315500.00    | 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        |   1227347 | PA      | $1138631.87   | 0.30%             | 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        |     24991 | PA      | $24388.90     | 0.01%             | 2034-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Mortgage Equity Conversion Asset Trust 2007 Ff2                                                          | MECA 2007-FF2 A           | CUSIP: 61911CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1221439 | PA      | $1205903.78   | 0.32%             | 2042-02-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                            | BAFC 2005-E 8A1           | CUSIP: 05946XXW8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     40733 | PA      | $31332.12     | 0.01%             | 2035-06-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/31/35         | CUSIP: 61760QGS7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    438000 | PA      | $377775.00    | 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        |    607609 | PA      | $614718.23    | 0.16%             | 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      | $642690.00    | 0.17%             | 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      | $291602.00    | 0.08%             | 2037-11-22      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-6CB 1A6        | CUSIP: 12667F5H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112245 | PA      | $95302.56     | 0.03%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                     | DMSI 2006-PR1 5AF4        | CUSIP: 25157GBD3<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |   2415489 | PA      | $2151784.43   | 0.57%             | 2036-04-15      | Floating      | 4.78%                 | Yes           |                  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        |    352683 | PA      | $449591.31    | 0.12%             | 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        |     23166 | PA      | $22533.07     | 0.01%             | 2035-10-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| AAMC Inc.                                                                                                | AMAC 2003-11 A4           | CUSIP: 000780MP8<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |     69619 | PA      | $69204.70     | 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      | $56462.11     | 0.01%             | 2035-07-25      | Floating      | 5.46%                 | 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        |    161199 | PA      | $123132.89    | 0.03%             | 2037-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-15 1A2         | CUSIP: 12667FPW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3960 | PA      | $3890.77      | 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      | $27395.10     | 0.01%             | 2033-12-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 08/19/30         | CUSIP: 61760QGY4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    390000 | PA      | $310537.50    | 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        |    187000 | PA      | $161287.50    | 0.04%             | 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        |    787768 | PA      | $169250.46    | 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      | $114145.08    | 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      | $70974.62     | 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      | $353084.96    | 0.09%             | 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      | $37272.38     | 0.01%             | 2037-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                         | DB FLOAT 06/30/34         | CUSIP: 25152RXB4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    245000 | PA      | $158943.75    | 0.04%             | 2034-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J8 1A5         | CUSIP: 12667GJ46<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132121 | PA      | $91219.08     | 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      | $144602.48    | 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      | $3237451.25   | 0.85%             | 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        |     60877 | PA      | $55136.90     | 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        |     15177 | PA      | $13452.11     | 0.00%             | 2034-10-25      | Floating      | 5.79%                 | 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      | $1368014.85   | 0.36%             | 2047-10-21      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| USQ RAIL III LLC                                                                                         | STEAM 2024-1A A           | CUSIP: 912928AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237676 | PA      | $234145.52    | 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        |    164181 | PA      | $157478.24    | 0.04%             | 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        |    197192 | PA      | $111413.73    | 0.03%             | 2025-08-01      | Floating      | 8.34%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                   | SLMA 2005-5 B             | CUSIP: 78442GPS9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     12264 | PA      | $10484.49     | 0.00%             | 2040-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                                     | CSMC 2017-PFHP A          | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327236 | PA      | $312400.91    | 0.08%             | 2030-12-15      | Floating      | 5.33%                 | Yes           |                  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      | $-3351749.50  | -0.88%            |  |  |  | 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        |    150681 | PA      | $130879.30    | 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      | $46025.00     | 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      | $76145.87     | 0.02%             | 2038-08-10      | Floating      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| SLM Private Education Loan Trust 2012-E                                                                  | SLMA 2004-B A4            | CUSIP: 78443CBP8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    296423 | PA      | $280096.26    | 0.07%             | 2033-09-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 06/30/30         | CUSIP: 61760QGJ7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    508000 | PA      | $412750.00    | 0.11%             | 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      | $48937.50     | 0.01%             | 2035-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AASET TRUST                                                                                              | AASET 2020-1A A           | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65893 | PA      | $63944.72     | 0.02%             | 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      | $1098528.14   | 0.29%             | 2034-11-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-14 4A1          | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35839 | PA      | $33516.04     | 0.01%             | 2034-08-25      | Floating      | 6.54%                 | 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        |     65935 | PA      | $63499.19     | 0.02%             | 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      | $1141913.50   | 0.30%             | 2049-07-25      | Floating      | 12.59%                | 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        |     23696 | PA      | $20345.50     | 0.01%             | 2035-05-25      | Floating      | 5.49%                 | 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      | $241787.50    | 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      | $266017.31    | 0.07%             | 2048-08-15      | Floating      | 3.30%                 | 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        |    183884 | PA      | $163228.55    | 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        |    829208 | PA      | $802758.89    | 0.21%             | 2036-11-27      | Floating      | 11.90%                | Yes           |                  2 | On Loan: No      |
| Multifamily Trust 2016-1                                                                                 | MFMT 2016-1 A             | CUSIP: 62547LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7587438 | PA      | $7094254.68   | 1.87%             | 2046-04-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                 | BMARK 2020-IG1 AS         | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $5692803.90   | 1.50%             | 2043-09-15      | Floating      | 2.91%                 | No            |                  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        |     18122 | PA      | $19380.53     | 0.01%             | 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        |    159512 | PA      | $117133.53    | 0.03%             | 2036-10-25      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | G2 BU6365                 | CUSIP: 3617N8CA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2631 | PA      | $2619.70      | 0.00%             | 2070-04-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 02/29/36         | CUSIP: 61760QJN5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    909000 | PA      | $681750.00    | 0.18%             | 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      | $1501353.10   | 0.39%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-28CB 6A1       | CUSIP: 12667FYV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30728 | PA      | $28559.71     | 0.01%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-6 2A1           | CUSIP: 12669FVH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45592 | PA      | $44433.05     | 0.01%             | 2034-05-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2023-1                                                            | VCC 2023-1 M1             | CUSIP: 92259VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422034 | PA      | $422081.59    | 0.11%             | 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        |     67678 | PA      | $67834.32     | 0.02%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORTAION TRUST 2021-ROSS                                                       | GSMS 2021-ROSS A          | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1470000 | PA      | $1381791.62   | 0.36%             | 2026-05-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans, Inc.                                                                             | CWHL 2007-HY1 2A1         | CUSIP: 12544EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76200 | PA      | $68401.70     | 0.02%             | 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        |     19893 | PA      | $18517.16     | 0.00%             | 2033-11-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2005-RP3 1AF        | CUSIP: 362341LL1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    146375 | PA      | $120844.45    | 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      | $250463.67    | 0.07%             | 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        |     37963 | PA      | $38940.22     | 0.01%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1                                                         | SFAST 2023-1A C           | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102316.74    | 0.03%             | 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        |     58320 | PA      | $57163.23     | 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        |    822003 | PA      | $794953.71    | 0.21%             | 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        |    103628 | PA      | $40290.57     | 0.01%             | 2035-12-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2003-40A 3A1         | CUSIP: 86359BEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141618 | PA      | $125688.37    | 0.03%             | 2034-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2012-27 IO            | CUSIP: 38378BQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     53357 | PA      | $117.84       | 0.00%             | 2053-04-16      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-61 2A1         | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86105 | PA      | $77829.31     | 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      | $126907.62    | 0.03%             | 2047-12-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-3CB 1A9        | CUSIP: 12667FX75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27413 | PA      | $22590.08     | 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        |    364850 | PA      | $350520.80    | 0.09%             | 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      | $125718.00    | 0.03%             | 2026-12-27      | Floating      | 0.32%                 | 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      | $71901.25     | 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      | $500816.25    | 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      | $47460.00     | 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        |    156000 | PA      | $98484.67     | 0.03%             | 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      | $193997.39    | 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        |     34305 | PA      | $33860.85     | 0.01%             | 2033-01-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST                                                                                 | KSBA 2015-1 A             | CUSIP: 49374FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1484328 | PA      | $41549.61     | 0.01%             | 2035-10-25      | Floating      | 1.39%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-J10 2CB1       | CUSIP: 12667FVB8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     24562 | PA      | $24804.62     | 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      | $1317589.66   | 0.35%             | 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      | $175142.50    | 0.05%             | 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        |     31729 | PA      | $31251.93     | 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        |    312469 | PA      | $308106.79    | 0.08%             | 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        |    956341 | PA      | $861831.42    | 0.23%             | 2034-11-19      | Floating      | 5.62%                 | 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        |    185933 | PA      | $80174.73     | 0.02%             | 2035-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| SALT 2021-1 TRUST                                                                                        | SALTT 2021-1A AA          | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205144 | PA      | $184545.80    | 0.05%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2004-1 1A12         | CUSIP: 55265K5N5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6587 | PA      | $6459.20      | 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        |    185000 | PA      | $159562.50    | 0.04%             | 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        |    103335 | PA      | $106235.02    | 0.03%             | 2044-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2005-7 2A2A         | CUSIP: 17307GB72<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1268919 | PA      | $953802.50    | 0.25%             | 2035-09-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 06/30/36             | CUSIP: 61766YAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    541000 | PA      | $405750.00    | 0.11%             | 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      | $375000.00    | 0.10%             | 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        |    157165 | PA      | $155130.37    | 0.04%             | 2045-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-8 2M1            | CUSIP: 45254NRV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409272 | PA      | $383353.24    | 0.10%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                                                    | RPIT 2022-1 A1            | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223669 | PA      | $197526.83    | 0.05%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  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        |      9385 | PA      | $9225.77      | 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        |    152416 | PA      | $114287.79    | 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        |     24061 | PA      | $22770.33     | 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        |     23130 | PA      | $12605.61     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE                                                                        | MELLO 2018-MTG2 B5        | CUSIP: 585499BU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $637570.21    | 0.17%             | 2048-10-25      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| TRUPS FINANCIALS NOTE SECURITIZATION LTD                                                                 | TFINS 2019-2A A1          | CUSIP: 87268RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2745563 | PA      | $2745562.85   | 0.72%             | 2039-02-28      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-14 A2           | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    407029 | PA      | $150553.37    | 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        |     72462 | PA      | $68394.52     | 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      | $408910.37    | 0.11%             | 2059-11-15      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS Float 10/31/34         | CUSIP: 61760QFF6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $83750.00     | 0.02%             | 2034-10-31      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-J5 A4           | CUSIP: 12669FF24<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     95334 | PA      | $95060.25     | 0.03%             | 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      | $25127.79     | 0.01%             | 2033-07-03      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TRUST                                                                   | AOMT 2020-SBC1 B1         | CUSIP: 03465BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3204350 | PA      | $2335714.48   | 0.61%             | 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      | $2808603.60   | 0.74%             | 2051-02-27      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS IX ISSUER LLC                                                                             | SNVA 2022-B A             | CUSIP: 86744VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433180 | PA      | $373825.67    | 0.10%             | 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      | $52800.00     | 0.01%             | 2030-11-30      | Floating      | 3.34%                 | 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        |     92786 | PA      | $61971.46     | 0.02%             | 2051-12-30      | Floating      | 3.36%                 | 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      | $103364.68    | 0.03%             | 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      | $82250.00     | 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      | $293975.31    | 0.08%             | 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      | $267635.05    | 0.07%             | 2036-11-05      | Floating      | 2.39%                 | 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        |     86706 | PA      | $68126.35     | 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      | $1290290.58   | 0.34%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 9 08/31/36             | CUSIP: 61766YAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3863000 | PA      | $3220776.25   | 0.85%             | 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        |    270885 | PA      | $257091.83    | 0.07%             | 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      | $15330.88     | 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      | $1322750.00   | 0.35%             | 2030-05-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                                             | WFMBS 2019-4 A2           | CUSIP: 95002FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53894 | PA      | $44953.01     | 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        |    219062 | PA      | $101294.48    | 0.03%             | 2031-11-25      | Floating      | 4.74%                 | 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        |     56615 | PA      | $50286.95     | 0.01%             | 2034-12-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                        | SASC 2000-5 B3            | CUSIP: 8635722B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15492 | PA      | $12765.14     | 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      | $254013.38    | 0.07%             | 2058-03-25      | Floating      | 8.17%                 | 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        |    257493 | PA      | $244772.79    | 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        |      3405 | PA      | $3378.51      | 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        |    525329 | PA      | $528135.79    | 0.14%             | 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        |     17725 | PA      | $15907.12     | 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      | $224183.67    | 0.06%             | 2049-06-15      | Floating      | 5.05%                 | 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      | $350675.69    | 0.09%             | 2035-11-15      | Floating      | 5.65%                 | 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        |     75308 | PA      | $64948.69     | 0.02%             | 2035-06-25      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | G2 786928                 | CUSIP: 3622ACSR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72476 | PA      | $73276.93     | 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        |    282362 | PA      | $214434.00    | 0.06%             | 2045-01-19      | Floating      | 5.16%                 | 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      | $1254070.50   | 0.33%             | 2050-03-10      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FHMS K092 X3              | CUSIP: 3137FLYY4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    847054 | PA      | $65698.36     | 0.02%             | 2047-05-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRES WOOD TRUST                                                                                 | HAWT 2021-INV1 B2         | CUSIP: 44590HCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160583 | PA      | $131620.80    | 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        |    921478 | PA      | $451900.63    | 0.12%             | 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        |     26799 | PA      | $25048.94     | 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        |     26711 | PA      | $21724.79     | 0.01%             | 2034-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2004-8 3B             | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42347 | PA      | $40447.37     | 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      | $109250.00    | 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        |     15404 | PA      | $11054.09     | 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        |    205138 | PA      | $184481.61    | 0.05%             | 2035-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                                      | CGCMT 2014-GC25 B         | CUSIP: 17322YAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568891 | PA      | $538917.06    | 0.14%             | 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        |     47380 | PA      | $41484.39     | 0.01%             | 2035-02-25      | Floating      | 5.91%                 | 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      | $95742.68     | 0.03%             | 2024-09-20      | Floating      | 5.43%                 | 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        |    251055 | PA      | $203894.84    | 0.05%             | 2036-06-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                                  | CCMFC 2004-3A A1          | CUSIP: 16678RBU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313624 | PA      | $302182.05    | 0.08%             | 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        |     48156 | PA      | $37565.97     | 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      | $146851.74    | 0.04%             | 2039-08-15      | Floating      | 7.56%                 | 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      | $886945.55    | 0.23%             | 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      | $500888.00    | 0.13%             | 2031-08-18      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                                                     | FREMF 2018-KF49 B         | CUSIP: 30307PAA9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     55105 | PA      | $52509.31     | 0.01%             | 2025-06-25      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                                                         | CFCC 2022-A A             | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004665.00   | 0.26%             | 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      | $337619.68    | 0.09%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2002-39 A37          | CUSIP: 12669DVM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73521 | PA      | $69775.73     | 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      | $488002.50    | 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      | $24000.00     | 0.01%             | 2031-01-29      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-61 1A1             | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    115936 | PA      | $111812.15    | 0.03%             | 2044-07-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSMPS 2004-4 1AF          | CUSIP: 36242DJQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    880746 | PA      | $790645.49    | 0.21%             | 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      | $134681.77    | 0.04%             | 2049-10-10      | Floating      | 4.32%                 | 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        |     45794 | PA      | $6303.30      | 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        |     37336 | PA      | $36171.96     | 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        |    162561 | PA      | $157001.10    | 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        |    249861 | PA      | $218011.20    | 0.06%             | 2034-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-HYB5 6A2        | CUSIP: 12669F3H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41493 | PA      | $38039.75     | 0.01%             | 2035-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| SLM Private Education Loan Trust 2014-A                                                                  | SLMA 2010-C A5            | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    362304 | PA      | $380153.44    | 0.10%             | 2041-10-15      | Floating      | 9.19%                 | 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      | $79337.50     | 0.02%             | 2038-01-31      | Fixed         | 0.00%                 | 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        |    327013 | PA      | $324662.01    | 0.09%             | 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        |    475569 | PA      | $4591.57      | 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      | $116156.25    | 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      | $14662.02     | 0.00%             | 2034-06-25      | Floating      | 4.69%                 | 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      | $110553.52    | 0.03%             | 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        |     93891 | PA      | $91889.23     | 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      | $93571.55     | 0.02%             | 2034-07-25      | Floating      | 3.80%                 | 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        |     34268 | PA      | $31460.90     | 0.01%             | 2035-06-25      | Floating      | 5.43%                 | 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        |     19717 | PA      | $16841.17     | 0.00%             | 2035-09-25      | Floating      | 5.70%                 | 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        |    575619 | PA      | $514431.24    | 0.14%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2011-RR10 1A2        | CUSIP: 05537LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685629 | PA      | $523802.61    | 0.14%             | 2037-03-26      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BANK 2020-BNK27                                                                                          | BANK 2020-BN27 B          | CUSIP: 06539XAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474000 | PA      | $368591.58    | 0.10%             | 2063-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2023-3                                                            | VCC 2023-3 M3             | CUSIP: 92258WAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1005859 | PA      | $1028045.71   | 0.27%             | 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      | $14795.09     | 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      | $36194.88     | 0.01%             | 2032-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                                                     | FREMF 2020-KF76 B         | CUSIP: 30316EAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    163598 | PA      | $156835.39    | 0.04%             | 2030-01-25      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2014-10 4A1         | CUSIP: 17323FAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24218 | PA      | $24109.26     | 0.01%             | 2037-02-25      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2003-60 2A1          | CUSIP: 12669FJD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100321 | PA      | $87206.22     | 0.02%             | 2034-02-25      | Floating      | 6.49%                 | 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      | $511603.50    | 0.13%             | 2030-07-20      | Floating      | 8.27%                 | 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        |    173015 | PA      | $136134.66    | 0.04%             | 2033-08-25      | Fixed         | 6.00%                 | No            |                  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      | $174580.00    | 0.05%             | 2035-01-31      | Fixed         | 0.00%                 | 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        |    266170 | PA      | $61084.08     | 0.02%             | 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        |     26426 | PA      | $24058.89     | 0.01%             | 2035-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Starm Mortgage Loan Trust 2007 3                                                                         | STARM 2007-4 3A1          | CUSIP: 78473WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485520 | PA      | $401589.11    | 0.11%             | 2037-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-8 13A1         | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    828760 | PA      | $734359.19    | 0.19%             | 2034-11-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 09/30/34         | CUSIP: 61760QEW0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $80700.00     | 0.02%             | 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        |    135608 | PA      | $68950.23     | 0.02%             | 2045-09-19      | Floating      | 5.10%                 | 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      | $515226.15    | 0.14%             | 2052-05-25      | Floating      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                | HVMLT 2005-4 3A1          | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94924 | PA      | $67033.44     | 0.02%             | 2035-07-19      | Floating      | 4.85%                 | 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      | $78600.00     | 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        |    897876 | PA      | $900618.25    | 0.24%             | 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        |     91271 | PA      | $90815.88     | 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        |     55322 | PA      | $54258.00     | 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: N/A                  | Long             | ABS-O            | CORP              | US        |     92241 | PA      | $111571.57    | 0.03%             | 2034-03-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                                | ABFC 2004-OPT2 A2         | CUSIP: 04542BFV9<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |     54838 | PA      | $53742.19     | 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        |    322395 | PA      | $172684.20    | 0.05%             | 2035-07-25      | Floating      | 4.44%                 | 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      | $639721.25    | 0.17%             | 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      | $31188.08     | 0.01%             | 2048-11-15      | Floating      | 4.15%                 | No            |                  2 | 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        |    216290 | PA      | $80445.47     | 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        |     93663 | PA      | $88340.23     | 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        |     35069 | PA      | $31310.96     | 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        |    423818 | PA      | $203486.62    | 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        |    594693 | PA      | $499282.56    | 0.13%             | 2033-04-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST                                                                    | HCCLT 2020-1 M5           | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1830601.60   | 0.48%             | 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        |     92135 | PA      | $80389.00     | 0.02%             | 2034-04-25      | Floating      | 5.35%                 | 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      | $638111.41    | 0.17%             | 2050-11-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Chec Loan Trust                                                                                          | CHEC 2004-1 M2            | CUSIP: 162765AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187451 | PA      | $187128.00    | 0.05%             | 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        |    148186 | PA      | $65645.14     | 0.02%             | 2049-11-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                                                        | CHASE 2019-1 B4           | CUSIP: 16159WBZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88145 | PA      | $76527.01     | 0.02%             | 2050-03-25      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                   | VCC 2021-2 M1             | CUSIP: 92259MAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1782877 | PA      | $1344180.68   | 0.35%             | 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        |    128236 | PA      | $128438.41    | 0.03%             | 2038-04-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-J3 1A3         | CUSIP: 12669FEZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77752 | PA      | $76654.30     | 0.02%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2002-19 1A1          | CUSIP: 12669DBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340207 | PA      | $286470.08    | 0.08%             | 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        |    301027 | PA      | $642.63       | 0.00%             | 2041-07-15      | Floating      | 0.89%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                         | FSPC T-62 1A1             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    136583 | PA      | $124876.35    | 0.03%             | 2044-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2023-2                                                         | GOOD 2023-2GS A           | CUSIP: 38237AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    726997 | PA      | $671599.68    | 0.18%             | 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        |    105480 | PA      | $95877.43     | 0.03%             | 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      | $108562.50    | 0.03%             | 2037-08-31      | Fixed         | 0.00%                 | No            |                  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      | $105491.04    | 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: N/A                  | Long             | ABS-O            | CORP              | US        |    399116 | PA      | $328001.04    | 0.09%             | 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        |    111421 | PA      | $92213.34     | 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        |    114227 | PA      | $2202.55      | 0.00%             | 2062-10-20      | Floating      | 1.75%                 | 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      | $353137.31    | 0.09%             | 2028-09-25      | Floating      | 6.42%                 | 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        |     38656 | PA      | $34891.26     | 0.01%             | 2032-11-25      | Floating      | 4.66%                 | 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        |     27411 | PA      | $27684.68     | 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        |     29101 | PA      | $29041.97     | 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        |     38145 | PA      | $35536.73     | 0.01%             | 2034-01-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS 10 08/31/30            | CUSIP: 61760QHC1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    216000 | PA      | $171450.00    | 0.05%             | 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      | $227848.05    | 0.06%             | 2032-09-09      | Floating      | 4.30%                 | 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      | $374849.18    | 0.10%             | 2038-11-15      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-4 2M2            | CUSIP: 45254NPP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    437261 | PA      | $429274.55    | 0.11%             | 2035-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-8F 3A4           | CUSIP: 362341WA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27458 | PA      | $9085.93      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                                 | MSRM 2023-NQM1 B1         | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $994442.40    | 0.26%             | 2068-09-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-5 2A9           | CUSIP: 12669FWD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49790 | PA      | $50196.46     | 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      | $26225.94     | 0.01%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  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        |    124860 | PA      | $116309.00    | 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      | $234000.00    | 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        |     93491 | PA      | $16127.18     | 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      | $934373.00    | 0.25%             | 2049-03-10      | Floating      | 4.54%                 | 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        |     12828 | PA      | $12749.59     | 0.00%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SBALR COMMERCIAL MORTGAGE 2020-RR1 TRUST                                                                 | SBALR 2020-RR1 C          | CUSIP: 78397EAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4349000 | PA      | $2862605.87   | 0.75%             | 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        |    498552 | PA      | $500349.88    | 0.13%             | 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      | $178870.00    | 0.05%             | 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        |    176093 | PA      | $168555.52    | 0.04%             | 2033-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2003-7 6A           | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4009 | PA      | $3549.01      | 0.00%             | 2033-10-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                          | LLOYDS 10 10/25/33        | CUSIP: 5394E8CC1<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    136000 | PA      | $90440.00     | 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        |     71595 | PA      | $25946.39     | 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      | $136895.00    | 0.04%             | 2034-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 13 LTD                                                                                          | ZAIS 2019-13A D1          | CUSIP: 98876NAL8<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500644.50    | 0.13%             | 2032-07-15      | Floating      | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                   | BSARM 2004-5 2A           | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83277 | PA      | $70603.78     | 0.02%             | 2034-07-25      | Floating      | 0.00%                 | 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      | $821875.00    | 0.22%             | 2037-10-31      | Floating      | 3.02%                 | 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        |    899951 | PA      | $841136.72    | 0.22%             | 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        |    202112 | PA      | $75065.08     | 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        |     73882 | PA      | $27034.60     | 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        |    138475 | PA      | $113053.19    | 0.03%             | 2029-09-28      | Floating      | 5.42%                 | 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      | 6.65%                 | No            |                  2 | On Loan: No      |
| Galleria Cdo V Ltd.                                                                                      | GALLA 5A B                | CUSIP: 073605AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2907566 | PA      | $2865589.95   | 0.75%             | 2037-09-19      | Floating      | 7.25%                 | 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      | $488511.84    | 0.13%             | 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      | $33350.00     | 0.01%             | 2036-12-30      | Floating      | 6.53%                 | 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      | $723121.98    | 0.19%             | 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        |    140445 | PA      | $116529.96    | 0.03%             | 2041-01-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-72 A3          | CUSIP: 12668A3Q6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100374 | PA      | $99949.38     | 0.03%             | 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      | $1435511.42   | 0.38%             | 2038-12-31      | Floating      | 5.83%                 | 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      | $1039775.00   | 0.27%             | 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        |     16422 | PA      | $16387.57     | 0.00%             | 2033-12-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2004-12 1B1           | CUSIP: 36242DLG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557965 | PA      | $119480.50    | 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      | $271984.84    | 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      | $12019.49     | 0.00%             | 2033-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                                                      | BABS 2021-RM1 M1          | CUSIP: 10638CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3311535 | PA      | $2745805.77   | 0.72%             | 2063-10-25      | Fixed         | 1.60%                 | Yes           |                  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        |    182859 | PA      | $182508.26    | 0.05%             | 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        |    197289 | PA      | $170210.44    | 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        |     23518 | PA      | $21406.42     | 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        |    116135 | PA      | $115261.63    | 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        |    216800 | PA      | $217805.95    | 0.06%             | 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      | $484146.94    | 0.13%             | 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        |    537345 | PA      | $433169.64    | 0.11%             | 2051-04-25      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-7 9A1           | CUSIP: 576434TM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716154 | PA      | $727940.73    | 0.19%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2004-A3 3A3         | CUSIP: 466247CZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4675 | PA      | $4447.46      | 0.00%             | 2034-07-25      | Floating      | 6.02%                 | 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        |    388514 | PA      | $350398.89    | 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        |    315542 | PA      | $70662.12     | 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: N/A                  | Long             | ABS-O            | CORP              | US        |    783063 | PA      | $81397.42     | 0.02%             | 2036-10-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2007-3                                                                    | BAYC 2007-3 M3            | CUSIP: 07325YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375119 | PA      | $345996.07    | 0.09%             | 2037-07-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2004-27CB A1        | CUSIP: 12667FWU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257760 | PA      | $231541.58    | 0.06%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  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        |    294684 | PA      | $175946.51    | 0.05%             | 2047-10-25      | Floating      | 4.44%                 | 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      | $578500.00    | 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        |    103249 | PA      | $82053.13     | 0.02%             | 2036-04-19      | Floating      | 3.94%                 | 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        |     57711 | PA      | $51534.31     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                                           | SEMT 2004-10 A1A          | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24581 | PA      | $23114.01     | 0.01%             | 2034-11-20      | Floating      | 5.06%                 | 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        |     44475 | PA      | $39552.38     | 0.01%             | 2035-03-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                        | MASTR 2003-12 6A1         | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15237 | PA      | $14735.22     | 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      | $1006975.20   | 0.26%             | 2068-11-25      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                                                  | SMB 2021-A APL            | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371564 | PA      | $358532.33    | 0.09%             | 2053-01-15      | Floating      | 5.17%                 | 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        |     19390 | PA      | $18739.71     | 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        |     34053 | PA      | $33771.79     | 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        |    427914 | PA      | $430999.07    | 0.11%             | 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      | $1166062.50   | 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      | $285844.28    | 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      | $142951.12    | 0.04%             | 2034-09-30      | Floating      | 1.96%                 | 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        |     99352 | PA      | $91734.89     | 0.02%             | 2046-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-6 7A1           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149284 | PA      | $145195.95    | 0.04%             | 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        |     52334 | PA      | $50024.74     | 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      | $78500.00     | 0.02%             | 2037-03-31      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                       | CMSI 2006-6 A4            | CUSIP: 173100AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35259 | PA      | $35557.53     | 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        |    104171 | PA      | $107249.26    | 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        |    389445 | PA      | $331456.86    | 0.09%             | 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      | $167960.00    | 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        |      9962 | PA      | $9553.39      | 0.00%             | 2034-02-25      | Floating      | 6.04%                 | 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        |    123971 | PA      | $92629.91     | 0.02%             | 2036-01-26      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C FLOAT 11/26/33          | CUSIP: 1730T0C56<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $705160.00    | 0.19%             | 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        |     54764 | PA      | $46549.71     | 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        |     18960 | PA      | $17264.35     | 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        |    179847 | PA      | $143521.52    | 0.04%             | 2052-02-15      | Floating      | 4.78%                 | 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      | $577829.74    | 0.15%             | 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      | $81495.13     | 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      | $813907.50    | 0.21%             | 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        |     36391 | PA      | $36869.83     | 0.01%             | 2035-08-25      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J1 3A1         | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76279 | PA      | $75577.01     | 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      | $36831.63     | 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        |    180240 | PA      | $178178.38    | 0.05%             | 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      | $376312.81    | 0.10%             | 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      | $910459.50    | 0.24%             | 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        |         5 | PA      | $5.19         | 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      | $273486.01    | 0.07%             | 2040-03-20      | Floating      | 8.57%                 | 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        |    580538 | PA      | $546243.19    | 0.14%             | 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        |    611484 | PA      | $532365.49    | 0.14%             | 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        |     88786 | PA      | $87783.21     | 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      | $900000.00    | 0.24%             | 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        |     75000 | PA      | $50437.50     | 0.01%             | 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        |    483186 | PA      | $476721.90    | 0.13%             | 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   | 0.67%             | 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      | $347250.89    | 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        |     17410 | PA      | $17071.39     | 0.00%             | 2034-11-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                             | MALT 2004-1 4A1           | CUSIP: 576434LV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113318 | PA      | $110996.57    | 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        |     92388 | PA      | $85045.08     | 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        |     49566 | PA      | $45113.56     | 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        |    926527 | PA      | $948197.26    | 0.25%             | 2048-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                           | BCAP 2011-RR5 12A1        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008519 | PA      | $1000097.32   | 0.26%             | 2037-03-26      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 03/31/31         | CUSIP: 61745E7D7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    167000 | PA      | $149256.25    | 0.04%             | 2031-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2014-2R                                                                                      | CSMC 2014-2R 28A1         | CUSIP: 12648ELW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22967 | PA      | $21318.81     | 0.01%             | 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        |       940 | PA      | $879.91       | 0.00%             | 2034-04-25      | Floating      | 6.83%                 | 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      | $129942.94    | 0.03%             | 2045-12-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| READYCAP LENDING SMALL BUSINESS LOAN TRUST                                                               | RCLT 2019-2 A             | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    158280 | PA      | $158170.69    | 0.04%             | 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      | $186120.00    | 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      | $11024.79     | 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      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-3                                                                    | RPIT 2022-3 A             | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223269 | PA      | $192979.94    | 0.05%             | 2062-08-25      | Floating      | 4.00%                 | Yes           |                  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      | $227641.52    | 0.06%             | 2051-11-15      | Floating      | 4.88%                 | 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      | $65125.00     | 0.02%             | 2034-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRES WOOD TRUST                                                                                 | HAWT 2021-INV1 B1         | CUSIP: 44590HCA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254626 | PA      | $219658.77    | 0.06%             | 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        |    160102 | PA      | $158307.28    | 0.04%             | 2034-12-25      | Floating      | 5.11%                 | 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      | $764629.57    | 0.20%             | 2048-10-26      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2005-14 A1           | CUSIP: 12669GK59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2971184 | PA      | $1234313.92   | 0.32%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-27 2A1         | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146119 | PA      | $125310.93    | 0.03%             | 2035-08-25      | Floating      | 5.85%                 | 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      | $275606.78    | 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        |    626988 | PA      | $623266.16    | 0.16%             | 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      | $344205.69    | 0.09%             | 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      | $1379765.20   | 0.36%             | 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      | $788590.44    | 0.21%             | 2031-04-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-14 2A1         | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58174 | PA      | $52425.31     | 0.01%             | 2035-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Soloso CDO 2007-1 Ltd.                                                                                   | SLOSO 2007-1A A1LA        | CUSIP: 83438JAA4<br>LEI: 549300TYY1BQ1R0Y8R40 | Long             | ABS-CBDO         | CORP              | KY        |   4718271 | PA      | $4338397.99   | 1.14%             | 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      | $187695.90    | 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        |     35297 | PA      | $34215.66     | 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        |     19991 | PA      | $19493.09     | 0.01%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                   | JPMCC 2014-C20 C          | CUSIP: 46642CBQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24606 | PA      | $22063.37     | 0.01%             | 2047-07-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN HOME IMPROVEMENT TRUST 2022-GRN1 ISSUER TRUST                                                    | GHIT 2022-GRN1 D          | CUSIP: 38150YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420569 | PA      | $427476.84    | 0.11%             | 2052-06-25      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE LOAN TRUST                                                                    | PFMT 2020-1 B3            | CUSIP: 743874AY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436042 | PA      | $362814.29    | 0.10%             | 2050-02-25      | Floating      | 3.24%                 | 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      | $212014.48    | 0.06%             | 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        |      9527 | PA      | $9011.88      | 0.00%             | 2034-11-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mbs                                                                                            | JPMBS 2006-R1 6A1         | CUSIP: 46628AAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318017 | PA      | $240577.59    | 0.06%             | 2044-09-28      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2003-1 3A4          | CUSIP: 17307GBT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10071 | PA      | $9466.13      | 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      | $123027.30    | 0.03%             | 2041-12-25      | Floating      | 7.47%                 | 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      | $639486.25    | 0.17%             | 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        |     76127 | PA      | $67847.38     | 0.02%             | 2042-11-25      | Floating      | 5.77%                 | 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        |   2385000 | PA      | $1278574.65   | 0.34%             | 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        |      3514 | PA      | $3318.40      | 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        |     49672 | PA      | $48922.99     | 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        |    512780 | PA      | $425140.67    | 0.11%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BWAY COMMERCIAL MORTGAGE TRUST 2022-26BW                                                                 | BWAY 2022-26BW A          | CUSIP: 12429EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2044-02-10      | Fixed         | 3.40%                 | Yes           |                  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      | $216234.36    | 0.06%             | 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        |     52840 | PA      | $3740.61      | 0.00%             | 2042-09-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                                                   | JPMCC 2020-MKST A         | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $351405.60    | 0.09%             | 2036-12-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                           | C Float 10/31/34          | CUSIP: 1730T02P3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $100500.00    | 0.03%             | 2034-10-31      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2017-90 AC            | CUSIP: 38379RZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    165654 | PA      | $133638.49    | 0.04%             | 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        |    176000 | PA      | $118275.66    | 0.03%             | 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        |     28793 | PA      | $28321.76     | 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        |    122329 | PA      | $43970.80     | 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      | $1533157.50   | 0.40%             | 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        |     30479 | PA      | $28188.85     | 0.01%             | 2033-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2009-4 7A5          | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    139960 | PA      | $132145.57    | 0.03%             | 2035-05-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                                   | US 3YR NOTE (CBT) Sep25   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |       100 | NC      | $81220.50     | 0.02%             |  |  |  | No            |                  1 | 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        |     45456 | PA      | $43686.41     | 0.01%             | 2046-07-15      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 07/29/31         | CUSIP: 61745E3S8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    114000 | PA      | $100747.50    | 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      | $60391.06     | 0.02%             | 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      | $272921.08    | 0.07%             | 2035-07-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                                      | PEMEX 10 02/07/33         | CUSIP: 71654QDN9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    250000 | PA      | $257936.25    | 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        |     14296 | PA      | $12011.65     | 0.00%             | 2032-10-25      | Floating      | 5.02%                 | 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      | $106640.08    | 0.03%             | 2061-02-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| READYCAP LENDING SMALL BUSINESS LOAN TRUST 2023-3                                                        | RCLT 2023-3 A             | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265044 | PA      | $270745.03    | 0.07%             | 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        |    426113 | PA      | $421554.85    | 0.11%             | 2038-01-26      | Floating      | 3.83%                 | 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        |   5663065 | PA      | $1293302.47   | 0.34%             | 2049-06-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                           | MSC 2019-H6 A2            | CUSIP: 61769JAX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15218 | PA      | $14388.18     | 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        |    222172 | PA      | $133195.58    | 0.04%             | 2035-09-25      | Floating      | 3.60%                 | 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        |     40185 | PA      | $35854.04     | 0.01%             | 2036-03-25      | Floating      | 4.60%                 | 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        |     28404 | PA      | $27229.22     | 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        |     30087 | PA      | $26595.90     | 0.01%             | 2034-11-25      | Floating      | 2.16%                 | 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        |    683916 | PA      | $576419.12    | 0.15%             | 2046-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                                                          | WFRBS 2014-C23 B          | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1160000 | PA      | $1087450.93   | 0.29%             | 2057-10-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2007-13                                                           | CWL 2007-13 2A1           | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036706 | PA      | $936587.62    | 0.25%             | 2047-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                                               | CSMC 2014-USA D           | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1362317.82   | 0.36%             | 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   | 0.72%             | 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      | $141543.99    | 0.04%             | 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        |    110566 | PA      | $109865.69    | 0.03%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                   | VCC 2019-3 M3             | CUSIP: 92257HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418971 | PA      | $348477.85    | 0.09%             | 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        |     80593 | PA      | $79136.40     | 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        |    246708 | PA      | $208051.86    | 0.05%             | 2036-09-25      | Floating      | 5.70%                 | 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      | $396811.12    | 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        |   2470278 | PA      | $2240188.65   | 0.59%             | 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      | $89400.61     | 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      | $238272.98    | 0.06%             | 2054-12-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TRUST                                                                   | AOMT 2020-SBC1 B2         | CUSIP: 03465BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2124264 | PA      | $1437421.26   | 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        |   1000000 | PA      | $895948.10    | 0.24%             | 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      | $1070051.28   | 0.28%             | 2035-10-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                      | CWALT 2005-J11 2A1        | CUSIP: 12668AJP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37246 | PA      | $17568.01     | 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      | $600552.83    | 0.16%             | 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      | $421135.45    | 0.11%             | 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        |   1013007 | PA      | $830261.56    | 0.22%             | 2034-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Business Loan 07-A                                                                                       | BLX 2007-AA C             | CUSIP: 12328RAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40987 | PA      | $35130.27     | 0.01%             | 2040-10-20      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                                                     | FREMF 2019-KF63 B         | CUSIP: 30311FAC1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2605178 | PA      | $2351051.10   | 0.62%             | 2029-05-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 05/30/34         | CUSIP: 61760QEG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    287000 | PA      | $187985.00    | 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      | $1382403.59   | 0.36%             | 2061-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 10 07/29/36            | CUSIP: 61766YAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    242000 | PA      | $188760.00    | 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      | $126705.68    | 0.03%             | 2046-02-15      | Floating      | 5.53%                 | 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      | $1355750.00   | 0.36%             | 2041-09-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TPG TRUST 2024-WLSC                                                                                      | TPG 2024-WLSC A           | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2009975.00   | 0.53%             | 2029-11-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                 | JPMMT 2006-A4 3A1         | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13136 | PA      | $8735.00      | 0.00%             | 2036-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                                             | RBSSP 2009-12 19A2        | CUSIP: 74928UCB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8136768 | PA      | $5665224.55   | 1.49%             | 2035-12-25      | Floating      | 4.67%                 | 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      | $221728.18    | 0.06%             | 2043-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2022-HB1                                                                       | RBIT 2022-HB1 M3          | CUSIP: 76970HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5210000 | PA      | $4638342.13   | 1.22%             | 2032-04-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2013-CR                                                                        | COMM 2013-CR12 AM         | CUSIP: 12591KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3880138 | PA      | $3665082.54   | 0.96%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                        | BACR FLOAT 09/13/28       | CUSIP: 06741TF85<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $441656.25    | 0.12%             | 2028-09-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                       | CMLTI 2004-UST1 A6        | CUSIP: 17307GLD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16794 | PA      | $15066.47     | 0.00%             | 2034-08-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                 | GNR 2022-3 IO             | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     93725 | PA      | $4178.48      | 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      | $361134.25    | 0.09%             | 2046-08-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | FNGT 2003-T4 1A           | CUSIP: 31393AU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    258422 | PA      | $254830.79    | 0.07%             | 2033-09-26      | Floating      | 3.05%                 | 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      | $142450.00    | 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      | $459827.21    | 0.12%             | 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      | $225112.50    | 0.06%             | 2034-02-28      | Floating      | 1.69%                 | 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        |     35395 | PA      | $29542.22     | 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      | $21712.50     | 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        |   1450000 | PA      | $1365146.00   | 0.36%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWHL 2004-5 2A2           | CUSIP: 12669FVW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55811 | PA      | $56811.66     | 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      | $37772.50     | 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      | $402822.63    | 0.11%             | 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      | $325653.27    | 0.09%             | 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        |     45205 | PA      | $41643.14     | 0.01%             | 2036-10-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                          | IMM 2005-2 2B             | CUSIP: 45254NNN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22595 | PA      | $22647.73     | 0.01%             | 2035-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                                      | PEMEX 6 3/4 09/21/47      | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    870000 | PA      | $588709.34    | 0.15%             | 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        |    194754 | PA      | $167998.98    | 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      | $73387.50     | 0.02%             | 2030-10-30      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2024-1                                                            | VCC 2024-1 M2             | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229588 | PA      | $229840.67    | 0.06%             | 2054-01-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                              | GSR 2005-4F 6A1           | CUSIP: 36242DY31<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37656 | PA      | $36620.43     | 0.01%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 10/08/34         | CUSIP: 61760QFB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    255000 | PA      | $171487.50    | 0.05%             | 2034-10-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                                      | NRZT 2020-RPL1 B3         | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720000 | PA      | $518779.18    | 0.14%             | 2059-11-25      | Floating      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                | CWALT 2003-22CB 1A1       | CUSIP: 12669FEE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13296 | PA      | $13545.55     | 0.00%             | 2033-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                              | MS 7 09/30/36             | CUSIP: 61766YAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $58593.75     | 0.02%             | 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      | $35098.69     | 0.01%             | 2048-06-10      | Floating      | 3.94%                 | 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      | $242371.79    | 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      | $214481.25    | 0.06%             | 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        |    206612 | PA      | $206361.99    | 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      | $87357.04     | 0.02%             | 2050-01-28      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                    | MCAS 2019-01 M10          | CUSIP: 62547NAB5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    847464 | PA      | $854186.55    | 0.22%             | 2049-10-15      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                                 | BOAMS 2002-L 1A1          | CUSIP: 05948JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16352 | PA      | $13648.16     | 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        |     67556 | PA      | $35356.90     | 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        |   1720182 | PA      | $1596201.67   | 0.42%             | 2024-09-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                           | MS FLOAT 05/31/31         | CUSIP: 61745ER60<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     89000 | PA      | $78653.75     | 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        |   2651853 | PA      | $13403.79     | 0.00%             | 2052-10-15      | Floating      | 2.00%                 | 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      | $662500.00    | 0.17%             | 2036-10-21      | Floating      | 3.67%                 | 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      | $810743.09    | 0.21%             | 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        |     40947 | PA      | $33943.95     | 0.01%             | 2035-07-25      | Floating      | 6.32%                 | 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        |      6373 | PA      | $5654.61      | 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      | $152460.00    | 0.04%             | 2033-02-15      | Floating      | 1.69%                 | 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      | $147035.21    | 0.04%             | 2067-03-25      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-27

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

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Asst Treasurer