# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0000940400-25-010643
**Filing Date:** 2025-11
**Character Count:** 768596
**Document Hash:** de10e4c5aeb6565640e538418947d47a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010643.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000940400-25-010643

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK ALLOCATION TARGET SHARES
- **CENTRAL INDEX KEY:** 0001221845

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 251520709

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK BOND ALLOCATION TARGET SHARES
- **DATE OF NAME CHANGE:** 20030306

## Series and Classes Contracts Data

### BATS: Securitized Total Return Series (Series ID: S000047014)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000146955 | BATS: Securitized Total Return Series |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Allocation Target Shares

- **b. Investment Company Act file number:** 811-21457

- **c. CIK number of Registrant:** 0001221845

- **d. LEI of Registrant:** 549300R5YFYF3PL2MC94

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BATS: Series A Portfolio

- **b. EDGAR series identifier (if any):** S000047014

- **c. LEI of Series:** 5493001N6IPQ853IL862

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4254354874.16

**Total Liabilities:** $81977880.45

**Net Assets:** $4172376993.71

**Delayed Delivery Securities:** $26048977.50

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 352741.58000000 | **1-Year:** 47184.77000000 | **5-Year:** 305349.80000000 | **10-Year:** 19834.75000000 | **30-Year:** 77973.45000000

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

- **3-Month:** 138785.25000000 | **1-Year:** 33405.73000000 | **5-Year:** 138903.70000000 | **10-Year:** 45497.86000000 | **30-Year:** 110456.02000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000146955 | 0.28%                | 0.92%                | 0.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-31970.44               | $-5711080.42                               |
| Month 2  | $338810.04               | $17026731.12                               |
| Month 3  | $164811.21               | $2840984.79                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Whitebox CLO Ltd                             | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |   9171000 | PA      | $9195073.88   | 0.22%             | 2037-10-24      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                  | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2977653 | PA      | $2814123.29   | 0.07%             | 2037-04-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                   | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385775 | PA      | $2458101.68   | 0.06%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2018-1 Ltd                                                            | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    238856 | PA      | $239110.02    | 0.01%             | 2031-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466900 | PA      | $465681.16    | 0.01%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2688011 | PA      | $2738460.87   | 0.07%             | 2054-04-25      | Variable      | 10.73%                | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $565469.38    | 0.01%             | 2036-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589750 | PA      | $456524.12    | 0.01%             | 2066-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo               | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4810000 | PA      | $4812271.76   | 0.12%             | 2041-01-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2024-NPL1 Trust                                                              | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5171690 | PA      | $5177983.48   | 0.12%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809377 | PA      | $784345.11    | 0.02%             | 2035-11-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1400865.62   | 0.03%             | 2029-12-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB15 LLC                                                               | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |    358000 | PA      | $349819.31    | 0.01%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAJ5<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $322980.80    | 0.01%             | 2037-10-22      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXIII Ltd                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3745667 | PA      | $3749984.80   | 0.09%             | 2032-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus               | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535002 | PA      | $136538.02    | 0.00%             | 2052-09-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                       | CSTL Commercial Mortgage Trust 2024-GATE                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $7632361.56   | 0.18%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                        | Wildwood Park CLO Ltd                                                            | CUSIP: 96820DAA5<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $254341.55    | 0.01%             | 2037-10-20      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                     | SoFi Personal Loan Trust 2023-1                                                  | CUSIP: 78474N102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43129 | PA      | $1484668.77   | 0.04%             | 2030-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                            | Trimaran Cavu 2021-2 Ltd                                                         | CUSIP: 89624UAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $301381.11    | 0.01%             | 2034-10-25      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10030000 | PA      | $10042537.50  | 0.24%             | 2039-06-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Student Loan Trust 2019-B                                                | CUSIP: 63941LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    644456 | PA      | $633453.19    | 0.02%             | 2059-12-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PFSFC_22-E                                   | PFSFC_22-E                                                                       | CUSIP: 69335PFR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9000000 | PA      | $9043200.00   | 0.22%             | 2026-10-30      | Fixed         | 5.54%                 | No            |                  3 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382776 | PA      | $351026.96    | 0.01%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                  | RCKT Mortgage Trust 2024-CES2                                                    | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737000 | PA      | $758038.33    | 0.02%             | 2044-04-25      | Variable      | 9.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2237002 | PA      | $2258294.26   | 0.05%             | 2065-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14379 | PA      | $14047.52     | 0.00%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                      | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1594734 | PA      | $914061.48    | 0.02%             | 2036-04-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405315 | PA      | $405872.39    | 0.01%             | 2029-08-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2678195 | PA      | $965391.64    | 0.02%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 8 Ltd                                                            | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1230000 | PA      | $1235085.68   | 0.03%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                         | Elmwood CLO XII Ltd                                                              | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1788000 | PA      | $1794075.62   | 0.04%             | 2037-10-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                         | WEST Trust 2025-ROSE                                                             | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1836000 | PA      | $1862768.70   | 0.04%             | 2035-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO IV Ltd                                               | CUSIP: 08180FCJ8<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250640.00    | 0.01%             | 2038-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2017-P7                                      | CUSIP: 17325HBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5920711.20   | 0.14%             | 2050-04-14      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2015-IV Ltd                                                         | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |   1720000 | PA      | $1721788.97   | 0.04%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu               | JPMBB Commercial Mortgage Securities Trust 2015-C33                              | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507000 | PA      | $462483.27    | 0.01%             | 2048-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5370432 | PA      | $4723195.05   | 0.11%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5                 | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5681945 | PA      | $5681945.04   | 0.14%             | 2040-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 5 Ltd                                                       | CUSIP: 25255RAC3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002130.20   | 0.02%             | 2036-10-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-38 Ltd                                                              | CUSIP: 67120KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $591780.68    | 0.01%             | 2038-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338000 | PA      | $1281131.12   | 0.03%             | 2036-01-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2796515 | PA      | $2079600.86   | 0.05%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035000 | PA      | $1018457.70   | 0.02%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Securities Trust 2006-M1                                                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2064602 | PA      | $556934.72    | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                               | Barings CLO Ltd 2015-I                                                           | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250182.50    | 0.01%             | 2031-01-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242000 | PA      | $1224999.38   | 0.03%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIII Ltd.                  | Marble Point CLO XXIII Ltd                                                       | CUSIP: 56607TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751592.25    | 0.02%             | 2035-01-22      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-5                                            | CUSIP: 07325WAE2<br>LEI: 549300I4K1GWFS0CTQ34 | Long             | ABS-MBS          | CORP              | US        |   1984277 | PA      | $1094695.02   | 0.03%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable               | OneMain Direct Auto Receivables Trust 2025-1                                     | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4519000 | PA      | $4603169.09   | 0.11%             | 2037-07-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    992985 | PA      | $878141.70    | 0.02%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078BG7<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $363269.63    | 0.01%             | 2037-07-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM | CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2694983 | PA      | $2693545.39   | 0.06%             | 2029-12-06      | Floating      | 5.30%                 | No            |                  3 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-NQM3                                        | CUSIP: 10569LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $864483.93    | 0.02%             | 2064-03-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-3 Ltd                                                    | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |    601065 | PA      | $601642.61    | 0.01%             | 2030-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo               | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511608 | PA      | $255537.70    | 0.01%             | 2037-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1091146 | PA      | $1091715.17   | 0.03%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                       | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482334 | PA      | $1482334.00   | 0.04%             | 2036-08-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QO10 Trust                                                      | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480458 | PA      | $1334813.79   | 0.03%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 14 Ltd                                                             | CUSIP: 05874XAL3<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |   2539000 | PA      | $2545609.02   | 0.06%             | 2037-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2022-SSP                                                               | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $772515.28    | 0.02%             | 2039-05-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | Sagard-Halseypoint Clo 8 Ltd                                                     | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |   3670000 | PA      | $3685445.56   | 0.09%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                 | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2932000 | PA      | $2936673.90   | 0.07%             | 2040-04-13      | Variable      | 10.66%                | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2013-2 Ltd                                                              | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |    178271 | PA      | $178399.21    | 0.00%             | 2031-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd                               | Octagon 66 Ltd                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6100000 | PA      | $6108937.72   | 0.15%             | 2036-11-16      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4873008.50   | 0.12%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2279086 | PA      | $2270972.33   | 0.05%             | 2041-04-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1360872.11   | 0.03%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688541 | PA      | $624455.89    | 0.01%             | 2059-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                   | KeyCorp Student Loan Trust 2004-A                                                | CUSIP: 493268CB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1788369 | PA      | $1724372.76   | 0.04%             | 2042-07-28      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                   | 1345T 2025-AOA                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11519000 | PA      | $11547797.50  | 0.28%             | 2042-06-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                           | AGL Core CLO 4 LTD                                                               | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |   4350000 | PA      | $4364790.00   | 0.10%             | 2037-10-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3198229.12   | 0.08%             | 2068-02-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                | BLP Commercial Mortgage Trust 2024-IND2                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820864 | PA      | $2826150.64   | 0.07%             | 2041-03-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2019-3                                           | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3102000 | PA      | $3104046.08   | 0.07%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5026702 | PA      | $1267807.03   | 0.03%             | 2036-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $6232937.50   | 0.15%             | 2041-10-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| DK Trust                                     | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2860000 | PA      | $2867150.00   | 0.07%             | 2034-03-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                        | Thayer Park CLO Ltd                                                              | CUSIP: 883310AL8<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $950532.10    | 0.02%             | 2034-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4996875.00   | 0.12%             | 2036-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Carbone CLO, LTD                             | Carbone Clo Ltd                                                                  | CUSIP: 141312AA6<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | KY        |    234839 | PA      | $235214.97    | 0.01%             | 2031-01-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Green Lakes Park CLO LLC                     | Green Lakes Park CLO LLC                                                         | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12480000 | PA      | $12491706.24  | 0.30%             | 2038-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12440000 | PA      | $12306051.06  | 0.29%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                 | Saxon Asset Securities Trust 2004-2                                              | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396747 | PA      | $305625.85    | 0.01%             | 2035-08-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR5 Trust                                             | CUSIP: 74333FAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808000 | PA      | $1772481.48   | 0.04%             | 2038-07-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1205000 | PA      | $1224391.10   | 0.03%             | 2032-06-21      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners Clo XXXVII Ltd                                           | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3470000 | PA      | $3480687.60   | 0.08%             | 2038-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | Csmc 2022-Nqm1 Trust                                                             | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4257405 | PA      | $3897342.45   | 0.09%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917632 | PA      | $1731152.85   | 0.04%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                             | OWL Rock Clo V LLC                                                               | CUSIP: 69120JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1350000 | PA      | $1356801.03   | 0.03%             | 2034-04-20      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1971963 | PA      | $830334.39    | 0.02%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216 | PA      | $211.25       | 0.00%             | 2063-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Acquisiti               | Spruce Hill Mortgage Loan Trust 2020-SH2                                         | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1483412 | PA      | $1460948.21   | 0.04%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLII Ltd                                                    | CUSIP: 04966HAG1<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   1610000 | PA      | $1613054.98   | 0.04%             | 2030-11-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1178447 | PA      | $1178560.38   | 0.03%             | 2039-06-17      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224000 | PA      | $1241437.23   | 0.03%             | 2038-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL2                   | CUSIP: 86363MAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1643829 | PA      | $1354395.63   | 0.03%             | 2037-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124700 | PA      | $2159006.89   | 0.05%             | 2065-01-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |   2363879 | PA      | $2099525.84   | 0.05%             | 2037-12-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                      | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2144000 | PA      | $2126638.53   | 0.05%             | 2037-10-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083000 | PA      | $1112382.22   | 0.03%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 50B-R Ltd                                             | CUSIP: 38178DAU1<br>LEI: 254900N3E7Y6I5DRGW52 | Long             | ABS-CBDO         | CORP              | JE        |   2660000 | PA      | $2664202.80   | 0.06%             | 2035-04-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                           | Shackleton 2013-IV-R CLO Ltd                                                     | CUSIP: 81882HAA3<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |     68146 | PA      | $68194.99     | 0.00%             | 2031-04-13      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2022-IV Ltd                                                         | CUSIP: 12567WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499999.90    | 0.01%             | 2035-07-16      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    621521 | PA      | $221011.59    | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212952 | PA      | $121403.46    | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2779300 | PA      | $2678653.76   | 0.06%             | 2064-06-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                               | Octagon 57 Ltd                                                                   | CUSIP: 67592XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    870000 | PA      | $871774.71    | 0.02%             | 2034-10-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd                        | Bridge Street CLO II Ltd                                                         | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250406.75    | 0.01%             | 2034-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-NQM2 Trust                                                             | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711000 | PA      | $601542.33    | 0.01%             | 2067-02-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LVII CLO Ltd                                                                | CUSIP: 04017NAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $641195.52    | 0.02%             | 2035-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-J1                                          | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039445 | PA      | $368177.84    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1064041.00   | 0.03%             | 2065-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2812000 | PA      | $2830852.49   | 0.07%             | 2039-06-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $380119.88    | 0.01%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK FA                             | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $0.03         | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2019-B LLC                                        | CUSIP: 83404WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175221 | PA      | $172130.71    | 0.00%             | 2048-08-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 65 CLO Ltd                                                                | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501080.05    | 0.01%             | 2030-07-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                          | DBGS 2018-5BP Mortgage Trust                                                     | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4762500.00   | 0.11%             | 2033-06-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QO1 Trust                                                       | CUSIP: 761118RM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684085 | PA      | $640933.17    | 0.02%             | 2046-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                   | Impac Secured Assets Trust 2006-3                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227151 | PA      | $1121480.51   | 0.03%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    881100 | PA      | $859814.56    | 0.02%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1105000 | PA      | $1105000.00   | 0.03%             | 2038-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2415000 | PA      | $2469504.14   | 0.06%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Octagon 56 Ltd                               | Octagon 56 Ltd                                                                   | CUSIP: 67577EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250130.00    | 0.01%             | 2034-10-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2381411 | PA      | $2381411.45   | 0.06%             | 2038-07-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MXF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250485 | PA      | $1239011.99   | 0.03%             | 2056-08-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782300 | PA      | $779303.00    | 0.02%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-J4                                                   | CUSIP: 12667GNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132784 | PA      | $131832.01    | 0.00%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $3150295.23   | 0.08%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 8 Ltd                                                           | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |   4090000 | PA      | $4094090.00   | 0.10%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-36 Ltd                                                              | CUSIP: 67570EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2973000 | PA      | $2987805.84   | 0.07%             | 2037-10-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H2 Mortgage Trust                                                     | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10655071 | PA      | $10715442.20  | 0.26%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12725000 | PA      | $13424591.23  | 0.32%             | 2058-07-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369998 | PA      | $155879.97    | 0.00%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9322000 | PA      | $9457909.17   | 0.23%             | 2033-06-10      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus               | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8179306 | PA      | $63239.94     | 0.00%             | 2050-03-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3142000 | PA      | $3140036.25   | 0.08%             | 2035-03-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XVIII Ltd                                                           | CUSIP: 89640LAL6<br>LEI: 2549005HDP7QU1IK5W96 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250511.70    | 0.01%             | 2035-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $660392.42    | 0.02%             | 2031-06-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2021-DM                                        | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970000 | PA      | $1968771.51   | 0.05%             | 2036-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15111000 | PA      | $15201191.51  | 0.36%             | 2055-05-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                           | Cook Park CLO Ltd                                                                | CUSIP: 21623PAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250212.50    | 0.01%             | 2030-04-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Invesco CLO Ltd                              | Invesco US CLO 2023-3 Ltd                                                        | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |    970000 | PA      | $972813.00    | 0.02%             | 2038-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Corp Trust 2020-PJ2                                | CUSIP: 36262DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031387 | PA      | $870392.04    | 0.02%             | 2050-07-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $432509.45    | 0.01%             | 2034-11-15      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271011 | PA      | $246967.02    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462000 | PA      | $347516.22    | 0.01%             | 2066-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1562603.89   | 0.04%             | 2036-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 27 Ltd                                                                   | CUSIP: 749972AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6320000 | PA      | $6344183.48   | 0.15%             | 2038-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449093 | PA      | $1210041.05   | 0.03%             | 2048-10-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAS6<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |   1480000 | PA      | $1485170.53   | 0.04%             | 2037-07-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-5MW                                          | CUSIP: 088921AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12660000 | PA      | $12645330.86  | 0.30%             | 2042-10-10      | Variable      | 9.83%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690ABC0<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |    450000 | PA      | $454903.61    | 0.01%             | 2037-07-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2016-R2 Trust                                            | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29241 | PA      | $29235.04     | 0.00%             | 2033-05-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2319000 | PA      | $2310490.43   | 0.06%             | 2041-06-15      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE                | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1835605 | PA      | $1764870.72   | 0.04%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| Quest Trust                                  | Quest Trust                                                                      | CUSIP: 03072SSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2093702 | PA      | $1903109.62   | 0.05%             | 2034-06-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2675656.79   | 0.06%             | 2062-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition               | JP Morgan Mortgage Acquisition Trust 2007-CH1                                    | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103167.53    | 0.00%             | 2036-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXVII Ltd                                                  | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    570000 | PA      | $572864.31    | 0.01%             | 2037-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16721307 | PA      | $127663.84    | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2025-NQM4 Trust                                                             | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2790100 | PA      | $2814245.16   | 0.07%             | 2070-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                              | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17947 | PA      | $17912.24     | 0.00%             | 2037-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2207955 | PA      | $2205286.07   | 0.05%             | 2052-06-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2014-10R                                                             | CUSIP: 12649BAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    861316 | PA      | $281094.31    | 0.01%             | 2036-05-27      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 2 Ltd                                                               | CUSIP: 370910AC5<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $2027465.92   | 0.05%             | 2037-10-22      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-FLWR                                          | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3056000 | PA      | $3058865.00   | 0.07%             | 2042-08-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2024-1                                      | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4312646 | PA      | $4356531.01   | 0.10%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131860 | PA      | $107572.24    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XII-B Ltd                                            | CUSIP: 081917AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1703892.49   | 0.04%             | 2037-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Trust 2024-BERY                                                               | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1702656.25   | 0.04%             | 2039-11-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 77 B Ltd                                              | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    471912 | PA      | $472853.84    | 0.01%             | 2038-01-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8826783 | PA      | $8955108.15   | 0.21%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1322125.07   | 0.03%             | 2031-08-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2019-2                                           | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656000 | PA      | $651338.46    | 0.02%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                             | Bbam US Clo V Ltd                                                                | CUSIP: 05556BAE2<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010500.20   | 0.05%             | 2038-07-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    837961 | PA      | $713205.45    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                          | MidOcean Credit CLO XII Ltd                                                      | CUSIP: 59803TBA8<br>LEI: 5493000CPZWPTWX7TF71 | Long             | ABS-CBDO         | CORP              | JE        |  12690000 | PA      | $12739450.39  | 0.31%             | 2038-07-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XLI Clo Ltd                                                                 | CUSIP: 04016DAU9<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   2840000 | PA      | $2844543.72   | 0.07%             | 2034-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930000 | PA      | $2924506.25   | 0.07%             | 2034-11-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093149 | PA      | $863926.29    | 0.02%             | 2036-03-27      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 7 Ltd                                          | CUSIP: 38138LAW8<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450516.69    | 0.01%             | 2034-04-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus               | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4020000 | PA      | $4122796.22   | 0.10%             | 2040-07-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-167G Mortgage Trust                                                    | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355000 | PA      | $1356613.53   | 0.03%             | 2040-08-10      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169000 | PA      | $130076.07    | 0.00%             | 2066-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAN1<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001823.70   | 0.02%             | 2029-10-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO X Ltd                                                | CUSIP: 08181LBE6<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |   4957000 | PA      | $4973977.73   | 0.12%             | 2038-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                           | 1301 Trust 2025-AOA                                                              | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1772521.45   | 0.04%             | 2042-08-11      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BAY4<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |    883960 | PA      | $885396.05    | 0.02%             | 2030-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2742000 | PA      | $2647439.11   | 0.06%             | 2067-07-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | Onemain Financial Issuance Trust 2024-1                                          | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10618000 | PA      | $11233886.47  | 0.27%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                  | Houston Galleria Mall Trust 2025-HGLR                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $338116.33    | 0.01%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd                    | Regatta XVIII Funding Ltd                                                        | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10972136 | PA      | $10978542.63  | 0.26%             | 2038-04-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                               | Barings CLO Ltd 2018-II                                                          | CUSIP: 06760JAU9<br>LEI: 549300I8OP7Y4MO3JF74 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2567372.80   | 0.06%             | 2036-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362768 | PA      | $348968.92    | 0.01%             | 2037-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-21 Ltd                                                              | CUSIP: 671000AL1<br>LEI: 2549000M7NBNQ7XU2038 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502174.40   | 0.04%             | 2038-01-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2018-D                                 | CUSIP: 63940UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413313 | PA      | $410542.39    | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12790000 | PA      | $12838955.00  | 0.31%             | 2037-10-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                           | Visio 2019-2 Trust                                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92949.53     | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAU6<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $320758.40    | 0.01%             | 2034-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                       | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAC8<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1347745.07   | 0.03%             | 2037-10-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10097283 | PA      | $10229217.47  | 0.25%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                           | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1215553.90   | 0.03%             | 2037-04-18      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542000 | PA      | $2540449.13   | 0.06%             | 2036-06-15      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2020-K105 Mortgage Trust                                                   | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2905000 | PA      | $2779608.29   | 0.07%             | 2053-03-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                   | RCKT Mortgage Trust 2020-1                                                       | CUSIP: 749389BK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867778 | PA      | $784597.77    | 0.02%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                          | 522 Funding CLO 2019-5 Ltd                                                       | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $430396.33    | 0.01%             | 2035-04-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra               | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6435370 | PA      | $6435743.06   | 0.15%             | 2051-12-26      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-SBX Mortgage Trust                                                     | CUSIP: 20047UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1647000 | PA      | $1654822.26   | 0.04%             | 2041-08-10      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |   2933233 | PA      | $2949103.48   | 0.07%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro               | Popular ABS Mortgage Pass-Through Trust 2006-B                                   | CUSIP: 73316PKJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2711624 | PA      | $2579378.68   | 0.06%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2023-5C23                                                   | CUSIP: 05493QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332000 | PA      | $331187.43    | 0.01%             | 2056-12-15      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Lt               | Octagon Investment Partners 18-R Ltd                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    603644 | PA      | $603754.80    | 0.01%             | 2031-04-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo               | Merrill Lynch Mortgage Investors Trust Series 2006-OPT1                          | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1761935 | PA      | $1692120.42   | 0.04%             | 2037-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1390000 | PA      | $1394170.00   | 0.03%             | 2038-01-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185719 | PA      | $1119249.19   | 0.03%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                 | WinWater Mortgage Loan Trust 2014-3                                              | CUSIP: 97652RBD8<br>LEI: 549300JBTXISBC85OS04 | Long             | ABS-MBS          | CORP              | US        |    923000 | PA      | $675041.13    | 0.02%             | 2044-11-20      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXVII Ltd                                                   | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4230000 | PA      | $4244213.65   | 0.10%             | 2037-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCY8<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   1076411 | PA      | $1045580.73   | 0.03%             | 2039-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33570000 | PA      | $52120.78     | 0.00%             | 2039-06-10      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9655 | PA      | $9084.08      | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79700 | PA      | $64754.85     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11123000 | PA      | $11202894.28  | 0.27%             | 2038-09-10      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3241553 | PA      | $3241552.98   | 0.08%             | 2038-07-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2015-3 Ltd                                                      | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |    809506 | PA      | $810332.23    | 0.02%             | 2031-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160698 | PA      | $157443.77    | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1372456 | PA      | $1026383.58   | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 15 Ltd                                                             | CUSIP: 05875TAJ6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4613778.38   | 0.11%             | 2038-01-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XVI Ltd                                                             | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   1013214 | PA      | $1013867.24   | 0.02%             | 2031-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                               | Milos CLO Ltd                                                                    | CUSIP: 60162PAG7<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249982.48    | 0.01%             | 2030-10-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-A LLC                                        | CUSIP: 83406EAD7<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |    285889 | PA      | $277915.39    | 0.01%             | 2042-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14459806 | PA      | $389432.94    | 0.01%             | 2052-03-15      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAJ2<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |   1031000 | PA      | $1034743.56   | 0.02%             | 2038-10-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408370 | PA      | $293141.10    | 0.01%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $688115.47    | 0.02%             | 2039-06-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                   | AB BSL CLO 3 Ltd                                                                 | CUSIP: 00037QAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2080000 | PA      | $2083964.69   | 0.05%             | 2038-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I2                                                                | CUSIP: 12570HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $2122233.29   | 0.05%             | 2067-12-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2025-FL10 Issuer LLC                                                   | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1240000 | PA      | $1240937.44   | 0.03%             | 2042-08-19      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17400000 | PA      | $85482.72     | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                  | CHNGE Mortgage Trust 2022-2                                                      | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6242427 | PA      | $6126056.86   | 0.15%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1111000 | PA      | $1103177.23   | 0.03%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    519727 | PA      | $532311.24    | 0.01%             | 2051-07-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXXIII Ltd                                                  | CUSIP: 55823HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251129.98    | 0.01%             | 2038-10-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust                | Alen 2021-ACEN Mortgage Trust                                                    | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    644000 | PA      | $623875.00    | 0.01%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T               | Renaissance Home Equity Loan Trust 2005-3                                        | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320712 | PA      | $320577.98    | 0.01%             | 2035-11-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1084443 | PA      | $1085265.34   | 0.03%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5223000 | PA      | $5240552.41   | 0.13%             | 2039-11-09      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAY3<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251078.40    | 0.01%             | 2037-10-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368561 | PA      | $189581.88    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122311 | PA      | $115492.28    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                  | Homes 2024-Nqm2 Trust                                                            | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |   3246959 | PA      | $3277824.15   | 0.08%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2009-12                                            | CUSIP: 173097AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5141707 | PA      | $2207278.61   | 0.05%             | 2037-07-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1972885 | PA      | $1258499.13   | 0.03%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $2486.20      | 0.00%             | 2047-12-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXVI Ltd                                             | CUSIP: 08186AAJ5<br>LEI: 2549008S0Y5AP2WIEL43 | Long             | ABS-CBDO         | CORP              | KY        |   1920000 | PA      | $1926720.00   | 0.05%             | 2037-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP1              | CUSIP: 65535VHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276683 | PA      | $266772.50    | 0.01%             | 2035-02-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2019-GC44 Mortgage Trust                                                    | CUSIP: 12655TBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35083734 | PA      | $665910.32    | 0.02%             | 2057-08-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $308369.86    | 0.01%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAS1<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |   9990000 | PA      | $10031146.81  | 0.24%             | 2037-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2447000 | PA      | $2497232.51   | 0.06%             | 2032-06-21      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |    101602 | PA      | $101679.75    | 0.00%             | 2031-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus               | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9402385 | PA      | $427338.39    | 0.01%             | 2052-06-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1723000 | PA      | $1725594.32   | 0.04%             | 2041-11-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067434 | PA      | $1020231.19   | 0.02%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2745566.31   | 0.07%             | 2036-03-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2020-1 Ltd                                                           | CUSIP: 67402FAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $822115.60    | 0.02%             | 2038-01-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM XVIII LP                                                                     | CUSIP: 50188GAT0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |      3277 | PA      | $3276.77      | 0.00%             | 2031-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                          | GSAT Trust 2025-BMF                                                              | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1691000 | PA      | $1690902.94   | 0.04%             | 2040-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177185 | PA      | $172031.10    | 0.00%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24420801 | PA      | $24359382.41  | 0.58%             | 2064-12-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4566797.50   | 0.11%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $972425.29    | 0.02%             | 2038-07-17      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2019-16 Ltd                                                              | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |   1222194 | PA      | $1224523.28   | 0.03%             | 2033-04-10      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73241 | PA      | $70830.47     | 0.00%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4185072 | PA      | $4190300.33   | 0.10%             | 2040-12-09      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4722000 | PA      | $4739739.14   | 0.11%             | 2041-03-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106000 | PA      | $251292.71    | 0.01%             | 2045-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349000 | PA      | $1227299.02   | 0.03%             | 2067-07-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QA10 Trust                                                      | CUSIP: 761118GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4795977 | PA      | $1801037.53   | 0.04%             | 2035-09-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Trust 2022-NQM1                                    | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295535 | PA      | $274427.38    | 0.01%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-8 Mortgage Loan Trust                                                  | CUSIP: 19689DAE9<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |    684000 | PA      | $689130.07    | 0.02%             | 2070-08-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2024-VIS2                                        | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3289000 | PA      | $3339031.61   | 0.08%             | 2064-11-25      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                            | 720 East CLO VII Ltd                                                             | CUSIP: 81800WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6300000 | PA      | $6309773.82   | 0.15%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       673 | PA      | $665.83       | 0.00%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                           | Sesac Finance LLC                                                                | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663890 | PA      | $675876.73    | 0.02%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBU9<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502179.85    | 0.01%             | 2038-07-22      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R3                                            | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280859 | PA      | $228352.55    | 0.01%             | 2035-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 81 B Ltd                                              | CUSIP: 38181DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250387.98    | 0.01%             | 2038-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    784931 | PA      | $668625.41    | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $663095.93    | 0.02%             | 2038-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                         | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     57743 | PA      | $72178.25     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 6 Ltd                                                            | CUSIP: 09077FAL9<br>LEI: 254900HENKWLW4T9SW86 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $501762.50    | 0.01%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| DK Trust                                     | DK Trust 2025-LXP                                                                | CUSIP: 23292LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    857000 | PA      | $858071.25    | 0.02%             | 2037-08-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 16 Ltd                                         | CUSIP: 38090AAQ1<br>LEI: 549300KYU0TCMXRAI217 | Long             | ABS-CBDO         | CORP              | JE        |   2690000 | PA      | $2690879.90   | 0.06%             | 2038-01-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041000 | PA      | $1082119.29   | 0.03%             | 2058-07-15      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                           | Subway Funding LLC                                                               | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3578955 | PA      | $3671013.95   | 0.09%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU               | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373000 | PA      | $1388539.61   | 0.03%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6074035 | PA      | $6085423.35   | 0.15%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2022-1 Ltd                                               | CUSIP: 05684UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1201177.92   | 0.03%             | 2035-04-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8625000 | PA      | $276230.29    | 0.01%             | 2050-06-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9035122 | PA      | $3535668.94   | 0.08%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 46 Ltd                                                              | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $420819.13    | 0.01%             | 2038-01-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717000 | PA      | $1308030.00   | 0.03%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trus               | 3650R 2021-PF1 Commercial Mortgage Trust                                         | CUSIP: 88575JAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $614553.60    | 0.01%             | 2055-11-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                          | Affirm Master Trust                                                              | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11446000 | PA      | $11537613.78  | 0.28%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor               | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842399 | PA      | $1240272.40   | 0.03%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo               | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589169 | PA      | $576531.40    | 0.01%             | 2040-12-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629000 | PA      | $1608050.57   | 0.04%             | 2067-09-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2023-DELC                                                               | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5023000 | PA      | $5054326.44   | 0.12%             | 2038-05-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322317 | PA      | $295372.99    | 0.01%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust               | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060534 | PA      | $3056772.90   | 0.07%             | 2036-05-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 64 CLO Ltd                                                                | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    199860 | PA      | $200219.48    | 0.00%             | 2031-04-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185757 | PA      | $1189092.00   | 0.03%             | 2039-12-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18098768 | PA      | $861264.28    | 0.02%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-C LLC                                             | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276936 | PA      | $259932.18    | 0.01%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    949382 | PA      | $951755.46    | 0.02%             | 2038-07-19      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10380000 | PA      | $10388804.32  | 0.25%             | 2031-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST                   | APS Resecuritization Trust 2016-1                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2246434 | PA      | $851447.64    | 0.02%             | 2057-07-31      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor               | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387000 | PA      | $388451.25    | 0.01%             | 2039-12-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                | Bear Stearns Mortgage Funding Trust 2007-AR2                                     | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162101 | PA      | $147277.60    | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507932 | PA      | $442803.31    | 0.01%             | 2047-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-1 Mortgage Loan Trust                                                  | CUSIP: 19688HAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227000 | PA      | $197089.55    | 0.00%             | 2066-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10881 | PA      | $10010.92     | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                             | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1914000 | PA      | $1917588.75   | 0.05%             | 2039-03-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M               | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                   | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878978 | PA      | $640486.28    | 0.02%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Credit Student Loan Trust 2005-A                                     | CUSIP: 78443CBV5<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |    657106 | PA      | $648017.10    | 0.02%             | 2038-12-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23911 | PA      | $4270.67      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO IV Ltd                                                           | CUSIP: 22845XAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250483.28    | 0.01%             | 2031-04-20      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2008-2                                 | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223232 | PA      | $191067.19    | 0.00%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XIX Ltd                                                             | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    524318 | PA      | $525032.19    | 0.01%             | 2031-04-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3254643.00   | 0.08%             | 2032-04-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1269145 | PA      | $946654.57    | 0.02%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2015-3 Ltd                                                              | CUSIP: 92913UBN5<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502739.00    | 0.01%             | 2031-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3007000 | PA      | $3000422.19   | 0.07%             | 2034-11-15      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                    | ACREC 2023-FL2 LLC                                                               | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    977353 | PA      | $977345.55    | 0.02%             | 2038-02-19      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                  | Stratus CLO 2021-1 Ltd                                                           | CUSIP: 863171AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $0.10         | 0.00%             | 2029-12-29      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |   2470000 | PA      | $2478768.75   | 0.06%             | 2039-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282517 | PA      | $125980.97    | 0.00%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management CLO 1 Ltd                                                  | CUSIP: 94957JAA2<br>LEI: 213800W7PWM3WCMD7X28 | Long             | ABS-CBDO         | CORP              | JE        |    550000 | PA      | $550707.96    | 0.01%             | 2036-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC1                                                  | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559605 | PA      | $550771.24    | 0.01%             | 2036-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014 Ltd                                                            | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2103003.00   | 0.05%             | 2031-01-18      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2014-9R                                                              | CUSIP: 12648UBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55839 | PA      | $46146.53     | 0.00%             | 2036-08-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                  | CHNGE Mortgage Trust 2022-1                                                      | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921156 | PA      | $1858013.58   | 0.04%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 40 Ltd                                                              | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |    730000 | PA      | $732817.22    | 0.02%             | 2038-01-05      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3263312 | PA      | $1834411.85   | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                            | NJ Trust 2023-GSP                                                                | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1542866.43   | 0.04%             | 2029-01-06      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AW5<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   3025000 | PA      | $3025000.00   | 0.07%             | 2038-10-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544107 | PA      | $107423.22    | 0.00%             | 2059-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                   | INCREF 2025-FL1 LLC                                                              | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3457000 | PA      | $3459010.94   | 0.08%             | 2042-10-19      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2022-CHM1 Trust                                                              | CUSIP: 552758AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5027566 | PA      | $4951551.80   | 0.12%             | 2056-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                 | Point Au Roche Park CLO Ltd                                                      | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $580579.88    | 0.01%             | 2034-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984912 | PA      | $488512.00    | 0.01%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62647750 | PA      | $488339.21    | 0.01%             | 2039-01-15      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4507447.05   | 0.11%             | 2034-01-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue Clo 2025-IX Ltd                                                        | CUSIP: 70019UAA3<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |   6250000 | PA      | $6271954.38   | 0.15%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-CES2                                        | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-MBS          | CORP              | US        |   1375281 | PA      | $1383219.25   | 0.03%             | 2054-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2760000 | PA      | $2770984.80   | 0.07%             | 2037-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-TAIL                                                               | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4418000 | PA      | $4416154.16   | 0.11%             | 2035-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7818120 | PA      | $268451.58    | 0.01%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2024-RTL1 Trust                                                              | CUSIP: 59319NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3231000 | PA      | $3252286.47   | 0.08%             | 2029-02-25      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XXII Ltd                                                                    | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |     91543 | PA      | $91563.59     | 0.00%             | 2031-01-17      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $701255.03    | 0.02%             | 2036-04-17      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM XVII LP                                                                      | CUSIP: 50190AAK8<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | KY        |   1615312 | PA      | $1617040.27   | 0.04%             | 2031-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                 | Post CLO VI Ltd                                                                  | CUSIP: 73742RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009267.80   | 0.05%             | 2038-01-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858143 | PA      | $790706.16    | 0.02%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5138149 | PA      | $5129910.69   | 0.12%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort               | First Horizon Alternative Mortgage Securities Trust 2005-AA12                    | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92268 | PA      | $55639.96     | 0.00%             | 2036-02-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77632 | PA      | $66220.06     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust               | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2096000 | PA      | $2099275.00   | 0.05%             | 2041-06-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685000 | PA      | $1701540.13   | 0.04%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro               | RAMP Series 2007-RS1 Trust                                                       | CUSIP: 74923RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074270 | PA      | $467448.57    | 0.01%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 36R Ltd                                       | CUSIP: 64090EAA4<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |   1737000 | PA      | $1741566.05   | 0.04%             | 2039-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125000 | PA      | $2117174.48   | 0.05%             | 2041-11-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                         | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2767949 | PA      | $2771047.18   | 0.07%             | 2030-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust                       | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $2789056.12   | 0.07%             | 2039-06-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-2                                                  | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |   4738449 | PA      | $4782659.54   | 0.11%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAJ7<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250582.08    | 0.01%             | 2034-07-20      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998900 | PA      | $1913615.53   | 0.05%             | 2064-12-26      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2017-B                                          | CUSIP: 83189DAC4<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    178269 | PA      | $178176.29    | 0.00%             | 2035-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust               | PKHL Commercial Mortgage Trust 2021-MF                                           | CUSIP: 69356GAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967000 | PA      | $344155.96    | 0.01%             | 2038-07-15      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Higley Park Clo Ltd                          | Higley Park Clo Ltd                                                              | CUSIP: 43128QAE9<br>LEI: 213800CD95HT8UXDOH68 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3011690.70   | 0.07%             | 2038-07-24      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5994336 | PA      | $5926654.15   | 0.14%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 10 Ltd                                                                   | CUSIP: 48250GAS9<br>LEI: 549300N7FISC1W1QKR21 | Long             | ABS-CBDO         | CORP              | KY        |     70596 | PA      | $70545.56     | 0.00%             | 2029-09-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 18 Ltd                                                                   | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250789.50    | 0.01%             | 2037-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 6 Ltd                                                         | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672435.58    | 0.02%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                      | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1051697.55   | 0.03%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                 | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $320563.02    | 0.01%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo               | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2244474 | PA      | $590470.22    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2021-TY                                                                | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3138000 | PA      | $3099602.80   | 0.07%             | 2038-09-15      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR Clo 33 Ltd                                                                   | CUSIP: 48254QAB0<br>LEI: 2549006GI7K365G4ZT50 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500820.00    | 0.01%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| DK Trust                                     | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8186000 | PA      | $8212100.24   | 0.20%             | 2034-03-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1404131 | PA      | $1414358.14   | 0.03%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 66B Ltd                                               | CUSIP: 38181AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    290000 | PA      | $291872.21    | 0.01%             | 2038-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 42 Ltd                                                                   | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |   3070000 | PA      | $3075440.35   | 0.07%             | 2038-07-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1693000 | PA      | $1706798.29   | 0.04%             | 2039-12-15      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $739881.60    | 0.02%             | 2029-10-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2297126 | PA      | $2289699.92   | 0.05%             | 2064-12-26      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR Clo 17 Ltd                                                                   | CUSIP: 48251FAG6<br>LEI: 549300I0HBY0ZQ3YIB77 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500499.40    | 0.01%             | 2034-04-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2025-FL19 LLC                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4467000 | PA      | $4473437.84   | 0.11%             | 2042-05-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3384217.57   | 0.08%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RAY4<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2507451.00   | 0.06%             | 2037-10-18      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2005-16                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1152461 | PA      | $1035363.92   | 0.02%             | 2036-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38379RHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2523372 | PA      | $70363.71     | 0.00%             | 2057-08-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-CBM Mortgage Trust                                                     | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $641761.16    | 0.02%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Invesco CLO Ltd                              | Invesco US CLO 2023-3 Ltd                                                        | CUSIP: 46091RAN3<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5028201.00   | 0.12%             | 2038-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO, Ltd.                       | Milford Park CLO Ltd                                                             | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2680000 | PA      | $2680189.48   | 0.06%             | 2038-01-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10710005 | PA      | $10295362.95  | 0.25%             | 2063-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251163.05    | 0.01%             | 2030-10-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2282096.48   | 0.05%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Trust 2014-SAF1                                                             | CUSIP: 12648FAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1575416 | PA      | $1188403.32   | 0.03%             | 2044-03-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2024-FL14 LLC                                                                | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1010000 | PA      | $1014384.31   | 0.02%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                 | Mastr Specialized Loan Trust                                                     | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8723 | PA      | $8595.09      | 0.00%             | 2046-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |   2640000 | PA      | $2650398.17   | 0.06%             | 2037-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554745 | PA      | $1511651.86   | 0.04%             | 2063-10-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-11                                                 | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |   2499916 | PA      | $2523515.45   | 0.06%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization               | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110720 | PA      | $108736.10    | 0.00%             | 2036-04-16      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust               | Goldman Home Improvement Trust 2022-GRN2 Issuer Trust                            | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    574065 | PA      | $589315.43    | 0.01%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-SP2                                          | CUSIP: 07325KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941139 | PA      | $893352.22    | 0.02%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $685430.62    | 0.02%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 8 LTD                                                               | CUSIP: 00851KAK1<br>LEI: 254900IPV3KA57E31I16 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506177.75   | 0.04%             | 2038-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2115769 | PA      | $1920375.48   | 0.05%             | 2046-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-167G Mortgage Trust                                                    | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1743000 | PA      | $1749474.90   | 0.04%             | 2040-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST5                                   | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5754000 | PA      | $5770889.14   | 0.14%             | 2032-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-10                                                 | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |   2039170 | PA      | $2048939.26   | 0.05%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $416550.69    | 0.01%             | 2068-03-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20487327 | PA      | $1013571.59   | 0.02%             | 2053-09-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3511282 | PA      | $3547076.77   | 0.09%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-1                                        | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1637000 | PA      | $1691760.43   | 0.04%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | SoFi Professional Loan Program 2020-ATrust                                       | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226000 | PA      | $199069.93    | 0.00%             | 2046-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                             | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9768000 | PA      | $9786315.00   | 0.23%             | 2041-05-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | Carval Clo VIII-C Ltd                                                            | CUSIP: 14686NAL5<br>LEI: 254900NZG2CMHKHNPU97 | Long             | ABS-CBDO         | CORP              | JE        |    770000 | PA      | $772929.08    | 0.02%             | 2037-10-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8317560 | PA      | $8330751.90   | 0.20%             | 2030-03-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22249929 | PA      | $637858.75    | 0.02%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379000 | PA      | $381583.87    | 0.01%             | 2035-04-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2021-NQM1                                        | CUSIP: 10569TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $276174.75    | 0.01%             | 2049-02-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4680000 | PA      | $4403144.77   | 0.11%             | 2036-06-16      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners CLO 71 M                                                  | CUSIP: 38179NAB0<br>LEI: 254900YII88OJ6IAHT32 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6033046.80   | 0.14%             | 2037-02-09      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                          | Cali 2024-Sun                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $2395228.13   | 0.06%             | 2041-07-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit               | SG Commercial Mortgage Securities Trust 2019-PREZ                                | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3391000 | PA      | $2868129.84   | 0.07%             | 2039-09-15      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35258 | PA      | $29203.41     | 0.00%             | 2035-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAA3<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |   8002058 | PA      | $8063050.12   | 0.19%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE9                            | CUSIP: 07389MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385127 | PA      | $2406164.34   | 0.06%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8986599 | PA      | $9081606.99   | 0.22%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |      9360 | PA      | $9361.32      | 0.00%             | 2031-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-22 Ltd                                                              | CUSIP: 67117TAQ8<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $341145.77    | 0.01%             | 2037-10-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo               | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     81125 | PA      | $81124.64     | 0.00%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                       | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    416615 | PA      | $424157.30    | 0.01%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans Trust 2024-A                                           | CUSIP: 19424RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5468488 | PA      | $5547661.13   | 0.13%             | 2054-06-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10404000 | PA      | $10558190.40  | 0.25%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg               | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5668000 | PA      | $5722281.30   | 0.14%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust               | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1613280 | PA      | $1557089.18   | 0.04%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3167868 | PA      | $633864.65    | 0.02%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2017-B                                          | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    108564 | PA      | $107915.87    | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                | MASTR Reperforming Loan Trust 2005-1                                             | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1737427 | PA      | $1199687.04   | 0.03%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124784 | PA      | $117581.27    | 0.00%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2006-HE8                                  | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1261312 | PA      | $550470.27    | 0.01%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3928946 | PA      | $3398872.85   | 0.08%             | 2046-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12930789 | PA      | $13055446.75  | 0.31%             | 2064-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                           | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1707886.13   | 0.04%             | 2037-07-17      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2022-Fl4 Issuer LLC                                                    | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2010097 | PA      | $2005060.31   | 0.05%             | 2039-01-19      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                       | Service Experts Issuer 2021-1 LLC                                                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    955852 | PA      | $938608.09    | 0.02%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust               | ONNI Commerical Mortgage Trust 2024-APT                                          | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952000 | PA      | $973922.56    | 0.02%             | 2039-07-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3533000 | PA      | $3674885.60   | 0.09%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                | Starwood Mortgage Residential Trust 2020-3                                       | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2653997.60   | 0.06%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-8 Mortgage Loan Trust                                                  | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |   2038888 | PA      | $2055868.85   | 0.05%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16515000 | PA      | $16515000.00  | 0.40%             | 2038-10-20      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2007-QH3 Trust                                                       | CUSIP: 74922WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4312966 | PA      | $4211124.88   | 0.10%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2350810.28   | 0.06%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787438 | PA      | $801417.85    | 0.02%             | 2052-08-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                 | CD 2016-CD1 Mortgage Trust                                                       | CUSIP: 12514MBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4116304 | PA      | $4070169.57   | 0.10%             | 2049-08-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2001000 | PA      | $2056993.78   | 0.05%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2019-B12 Mortgage Trust                                                | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34478159 | PA      | $909999.29    | 0.02%             | 2052-08-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622679 | PA      | $622757.69    | 0.01%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                           | Elmwood CLO IV Ltd                                                               | CUSIP: 29002GAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003887.90   | 0.02%             | 2037-04-18      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBJ7<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499949.60    | 0.01%             | 2031-01-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182400 | PA      | $182514.00    | 0.00%             | 2038-04-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642622 | PA      | $1653428.60   | 0.04%             | 2039-02-15      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553820 | PA      | $558407.68    | 0.01%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLII Ltd                                                    | CUSIP: 55822RAA8<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |    259127 | PA      | $259174.75    | 0.01%             | 2030-11-21      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Trust 2020-EYP                                                              | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353000 | PA      | $16913.85     | 0.00%             | 2035-10-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $230717.40    | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312167 | PA      | $314103.95    | 0.01%             | 2054-01-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                    | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4579000 | PA      | $-3689595.00  | -0.09%            | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1705560.70   | 0.04%             | 2037-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335500 | PA      | $328818.28    | 0.01%             | 2067-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6510000 | PA      | $6635167.77   | 0.16%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust               | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435000 | PA      | $1438592.38   | 0.03%             | 2027-11-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-D Trust                                      | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96662.43     | 0.00%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1303000 | PA      | $1303814.38   | 0.03%             | 2041-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                  | RAAC Series 2006-SP3 Trust                                                       | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661551 | PA      | $1706575.56   | 0.04%             | 2036-08-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR3 Trust | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2605603 | PA      | $2306121.59   | 0.06%             | 2046-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur               | Banc of America Mortgage 2007-4 Trust                                            | CUSIP: 059513CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669141 | PA      | $492451.56    | 0.01%             | 2037-12-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                    | ACRES 2025-FL3 LLC                                                               | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7859000 | PA      | $7875798.61   | 0.19%             | 2040-08-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                           | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3089000 | PA      | $3345631.03   | 0.08%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930308 | PA      | $942506.04    | 0.02%             | 2052-08-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3691558 | PA      | $3481050.97   | 0.08%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $340441.27    | 0.01%             | 2045-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3538338 | PA      | $3661421.21   | 0.09%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                | Bayview Financial Revolving Asset Trust 2005-A                                   | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2785444 | PA      | $2513696.01   | 0.06%             | 2040-02-28      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3370949.56   | 0.08%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488000 | PA      | $491179.42    | 0.01%             | 2036-07-15      | Fixed         | 8.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    951122 | PA      | $942793.81    | 0.02%             | 2053-01-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2005-HE8                            | CUSIP: 073879J82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3182396 | PA      | $3176474.02   | 0.08%             | 2035-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2261 | PA      | $2180.42      | 0.00%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-RCF2 LLC                                                               | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2733856 | PA      | $2678654.91   | 0.06%             | 2064-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 38 Ltd                                                              | CUSIP: 87169NAZ6<br>LEI: 254900T60KIPND298026 | Long             | ABS-CBDO         | CORP              | BM        |   1250000 | PA      | $1256474.88   | 0.03%             | 2038-07-24      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                 | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6130295 | PA      | $6143281.92   | 0.15%             | 2032-05-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                       | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4085005 | PA      | $3922677.59   | 0.09%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                             | Ocean Trails CLO V                                                               | CUSIP: 67515EAT3<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500690.00    | 0.01%             | 2031-10-13      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905000 | PA      | $1910258.94   | 0.05%             | 2034-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-FLX5                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2271271 | PA      | $2091708.56   | 0.05%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5268398 | PA      | $2088593.36   | 0.05%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Partners VII Ltd                                                      | CUSIP: 67102QBK3<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $690211.21    | 0.02%             | 2038-02-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                               | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05533YBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170042 | PA      | $164279.16    | 0.00%             | 2036-05-28      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194000 | PA      | $1206418.44   | 0.03%             | 2031-06-16      | Fixed         | 9.28%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515100 | PA      | $468746.56    | 0.01%             | 2062-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2025-VII Ltd                                                       | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4505552.10   | 0.11%             | 2038-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2846298 | PA      | $1296914.06   | 0.03%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 28 Ltd                                                                        | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250943.30    | 0.01%             | 2037-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $668564.01    | 0.02%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001238.70   | 0.02%             | 2041-10-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3665450 | PA      | $3716812.03   | 0.09%             | 2065-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-CHRS Mortgage Trust                                                   | CUSIP: 05491VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $556444.53    | 0.01%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                            | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $832578.98    | 0.02%             | 2038-01-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    707493 | PA      | $721814.18    | 0.02%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAU6<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1453625.00   | 0.03%             | 2038-08-14      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169503 | PA      | $163722.60    | 0.00%             | 2035-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | Oak Hill Credit Partners X-R Ltd                                                 | CUSIP: 67707CBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2290000 | PA      | $2290222.59   | 0.05%             | 2038-04-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9120311 | PA      | $1972959.46   | 0.05%             | 2038-02-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 26 Ltd                                                                       | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19560 | PA      | $19565.08     | 0.00%             | 2031-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                            | 720 East CLO V Ltd                                                               | CUSIP: 81789MAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004560.20   | 0.02%             | 2037-07-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15032FAL0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |    153988 | PA      | $154032.40    | 0.00%             | 2031-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   4238000 | PA      | $4279240.40   | 0.10%             | 2069-11-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5319000 | PA      | $5323624.34   | 0.13%             | 2039-11-09      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding XIV CLO Ltd                                                        | CUSIP: 15034AAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1484158.95   | 0.04%             | 2037-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                    | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $3090965.63   | 0.07%             | 2039-12-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                    | NovaStar Mortgage Funding Trust Series 2006-5                                    | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3610392 | PA      | $1107662.72   | 0.03%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-SPOT                                           | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18669794 | PA      | $18704784.72  | 0.45%             | 2040-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-2                                            | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21878 | PA      | $20305.69     | 0.00%             | 2037-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2188000 | PA      | $1745314.87   | 0.04%             | 2067-02-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8570000 | PA      | $53454.52     | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR35                                       | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302090 | PA      | $271927.21    | 0.01%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10180971 | PA      | $10323892.50  | 0.25%             | 2063-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAU6<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502264.95    | 0.01%             | 2037-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176244 | PA      | $1293750.66   | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2024-1                                                  | CUSIP: 349941AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    587187 | PA      | $603156.31    | 0.01%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNA Trust                                    | FNA 8 LLC                                                                        | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6053833 | PA      | $6097464.34   | 0.15%             | 2045-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust               | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70431 | PA      | $46776.08     | 0.00%             | 2037-06-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $550263.95    | 0.01%             | 2031-04-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                          | Elmwood CLO III Ltd                                                              | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1084038.98   | 0.03%             | 2037-07-18      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO 43 Ltd                                               | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.01%             | 2038-10-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust               | Pagaya AI Debt Selection Trust 2021-2                                            | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34819 | PA      | $34679.52     | 0.00%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2533000 | PA      | $2394614.61   | 0.06%             | 2065-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAN3<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    256000 | PA      | $256435.17    | 0.01%             | 2038-10-18      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO                                 | AGL Core CLO 2 Ltd                                                               | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |   3770000 | PA      | $3784822.51   | 0.09%             | 2037-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8652725 | PA      | $8254066.07   | 0.20%             | 2062-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2023-NQM4 Trust                                                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3415764 | PA      | $3269446.79   | 0.08%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7680000 | PA      | $7690674.43   | 0.18%             | 2034-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1487986.52   | 0.04%             | 2065-05-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |   1470000 | PA      | $1476830.94   | 0.04%             | 2037-07-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                             | TCI-Symphony CLO 2017-1 Ltd                                                      | CUSIP: 87232BAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001349.90   | 0.02%             | 2030-07-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                           | Elmwood CLO 29 Ltd                                                               | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4250000 | PA      | $4271398.75   | 0.10%             | 2037-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point Clo 5 Ltd                                                           | CUSIP: 82809BAA4<br>LEI: 254900IB4JHW6SUR0Q75 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $973495.10    | 0.02%             | 2037-10-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1616700 | PA      | $1632679.46   | 0.04%             | 2064-06-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 38 Ltd                           | Elmwood CLO 38 Ltd                                                               | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2230000 | PA      | $2233008.27   | 0.05%             | 2038-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2612246.78   | 0.06%             | 2037-10-18      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |   1540000 | PA      | $1543881.42   | 0.04%             | 2039-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                | Agate Bay Mortgage Trust 2015-3                                                  | CUSIP: 00841YCG1<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |    832000 | PA      | $518756.33    | 0.01%             | 2045-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-8                                                  | CUSIP: 03466UAA2<br>LEI: 254900WZRTR935QJJ709 | Long             | ABS-MBS          | CORP              | US        |   3468021 | PA      | $3492947.56   | 0.08%             | 2070-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun               | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4053000 | PA      | $4060878.22   | 0.10%             | 2028-03-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                             | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3936000 | PA      | $3498465.97   | 0.08%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12452426 | PA      | $11238881.10  | 0.27%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7080000 | PA      | $7078957.82   | 0.17%             | 2055-05-17      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3714000 | PA      | $3638228.46   | 0.09%             | 2033-11-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor               | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8232000 | PA      | $8242290.00   | 0.20%             | 2039-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 7 LTD                                                           | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $762582.18    | 0.02%             | 2038-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550000 | PA      | $3476273.60   | 0.08%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAC4<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $620756.34    | 0.01%             | 2031-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                      | Regatta VI Funding Ltd                                                           | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2996250.00   | 0.07%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXIX Ltd                                             | CUSIP: 08186EAL2<br>LEI: 549300DICNUWMUKL3816 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1000536.10   | 0.02%             | 2038-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4736835 | PA      | $4745713.10   | 0.11%             | 2040-06-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3890000 | PA      | $3904895.59   | 0.09%             | 2037-10-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875757 | PA      | $861029.76    | 0.02%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 13 LLC                                                     | CUSIP: 033291BA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3012600.00   | 0.07%             | 2038-04-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak SB Commercial Mortgage Trust 2020-SBC1                                 | CUSIP: 03465BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2262280 | PA      | $2175247.54   | 0.05%             | 2050-05-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35618 | PA      | $28757.82     | 0.00%             | 2036-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2021-8 LTD                                                        | CUSIP: 143120AS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7529250.00   | 0.18%             | 2038-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOA               | Harvest Commercial Capital Loan Trust 2019-1                                     | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1536000 | PA      | $1493668.30   | 0.04%             | 2046-09-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1198500 | PA      | $1054494.83   | 0.03%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2024-NQM3                                    | CUSIP: 647910AG3<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-MBS          | CORP              | US        |   1596000 | PA      | $1642738.86   | 0.04%             | 2064-11-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2587000 | PA      | $2452937.26   | 0.06%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAC0<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $612386.75    | 0.01%             | 2037-10-22      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966862 | PA      | $1829232.42   | 0.04%             | 2050-02-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                  | UPX HIL 2025-1 Issuer Trust                                                      | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8604807 | PA      | $8641475.27   | 0.21%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXX Ltd                                                             | CUSIP: 89643DAA5<br>LEI: 254900TSX6348DURD845 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $461331.70    | 0.01%             | 2037-10-23      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313JAK0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $981683.90    | 0.02%             | 2037-07-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860475 | PA      | $852056.15    | 0.02%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2007-QO2 Trust                                                       | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2654171 | PA      | $808407.67    | 0.02%             | 2047-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200767 | PA      | $177721.35    | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FHV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023197 | PA      | $871913.83    | 0.02%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368400 | PA      | $320779.25    | 0.01%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                | CAFL 2024-RTL1 Issuer LLC                                                        | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3376217.74   | 0.08%             | 2031-11-28      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                     | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400931 | PA      | $124542.65    | 0.00%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-2                                      | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884000 | PA      | $789518.52    | 0.02%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H               | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914000 | PA      | $827328.03    | 0.02%             | 2035-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 24 Ltd                           | Elmwood CLO 24 Ltd                                                               | CUSIP: 290020AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2454000 | PA      | $2463827.53   | 0.06%             | 2038-01-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3994885 | PA      | $4058828.02   | 0.10%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                 | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910000 | PA      | $3055135.96   | 0.07%             | 2047-02-10      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR41                                       | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316979 | PA      | $303256.12    | 0.01%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Regatta XII Funding Ltd.                     | Regatta XII Funding Ltd                                                          | CUSIP: 75888HAW1<br>LEI: 2549001ZYXDVCT6R4I31 | Long             | ABS-CBDO         | CORP              | KY        |   4920000 | PA      | $4935502.92   | 0.12%             | 2037-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $331089.00    | 0.01%             | 2037-01-22      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39               | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5640000 | PA      | $5643609.60   | 0.14%             | 2030-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Regatta 32 Funding Ltd.                      | Regatta 32 Funding Ltd                                                           | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2911898.70   | 0.07%             | 2038-07-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $391544.48    | 0.01%             | 2037-04-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213450 | PA      | $199835.79    | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-III Ltd                                                        | CUSIP: 12564DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $510509.95    | 0.01%             | 2036-07-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AY1<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $730000.00    | 0.02%             | 2038-10-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1810000 | PA      | $1816787.50   | 0.04%             | 2037-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2805787.20   | 0.07%             | 2047-02-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1294847 | PA      | $1154824.45   | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3700 | PA      | $3421.24      | 0.00%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                | Bear Stearns Mortgage Funding Trust 2007-AR4                                     | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14001 | PA      | $13508.99     | 0.00%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| AGL CLO 7 LTD                                | AGL CLO 7 Ltd                                                                    | CUSIP: 008511AW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1700000.00   | 0.04%             | 2038-10-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486465 | PA      | $486616.33    | 0.01%             | 2053-05-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3570568 | PA      | $3071058.27   | 0.07%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2020-FACT                                                                   | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134000 | PA      | $1037950.20   | 0.02%             | 2037-10-15      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2014-1                            | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197643 | PA      | $199689.09    | 0.00%             | 2044-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 119 CLO Ltd                                                               | CUSIP: 26254KAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007042.00   | 0.02%             | 2036-04-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2636000 | PA      | $2675695.52   | 0.06%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-44 Ltd                                                              | CUSIP: 67570UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3011909.40   | 0.07%             | 2038-10-24      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 1 Ltd                                                       | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10041188.00  | 0.24%             | 2037-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1509000 | PA      | $1523296.72   | 0.04%             | 2031-06-16      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899378 | PA      | $870030.37    | 0.02%             | 2035-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2810000 | PA      | $2819300.82   | 0.07%             | 2037-10-21      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5520000 | PA      | $5556026.83   | 0.13%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2184000 | PA      | $1635040.68   | 0.04%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117388 | PA      | $484605.76    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    603008 | PA      | $603069.01    | 0.01%             | 2037-09-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5984000 | PA      | $6052188.88   | 0.15%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565169 | PA      | $452720.89    | 0.01%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-AR19                                       | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592058 | PA      | $383585.51    | 0.01%             | 2037-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                           | BMO 2023-C5 Mortgage Trust                                                       | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8026718 | PA      | $327415.43    | 0.01%             | 2056-06-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763763 | PA      | $714469.22    | 0.02%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5408000 | PA      | $4856764.72   | 0.12%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-LBA                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699723 | PA      | $1699191.84   | 0.04%             | 2036-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 20 Ltd                                                              | CUSIP: 370912AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $1938878.39   | 0.05%             | 2038-01-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2021-AFC2 Trust                                                            | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965098 | PA      | $859778.18    | 0.02%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860393 | PA      | $857265.64    | 0.02%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                   | AMSR 2021-SFR1 Trust                                                             | CUSIP: 00179DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2872000 | PA      | $2726828.44   | 0.07%             | 2038-06-17      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2022-A                                             | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5458967 | PA      | $5473853.58   | 0.13%             | 2062-09-25      | Variable      | 9.17%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVII                                                                | CUSIP: 03769HAA5<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1782461.56   | 0.04%             | 2034-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 2 Ltd                                                           | CUSIP: 64754LAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3120000 | PA      | $3130622.98   | 0.08%             | 2038-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2508125.75   | 0.06%             | 2037-07-23      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACJ0<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1250079.63   | 0.03%             | 2030-07-18      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2543927 | PA      | $2544721.63   | 0.06%             | 2038-06-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789300 | PA      | $710031.31    | 0.02%             | 2063-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698000 | PA      | $504776.08    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | TRK 2021-INV2 Trust                                                              | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929000 | PA      | $4870343.85   | 0.12%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2020-2 Mortgage Loan Trust                                                  | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $761172.14    | 0.02%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3101000 | PA      | $3104876.25   | 0.07%             | 2038-04-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-13T1                                                 | CUSIP: 12668BZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1636920 | PA      | $745444.03    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39               | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    576137 | PA      | $576452.97    | 0.01%             | 2030-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-11CB                                                 | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979787 | PA      | $438593.22    | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000959.80   | 0.02%             | 2034-10-27      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2007-4                                 | CUSIP: 17312XAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345404 | PA      | $303817.64    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244000 | PA      | $245901.44    | 0.01%             | 2037-01-15      | Fixed         | 13.02%                | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $307047.95    | 0.01%             | 2035-12-15      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2024-25 Ltd                                                  | CUSIP: 117913AG8<br>LEI: 391200WG98O5N39H7C57 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501864.40    | 0.01%             | 2038-01-18      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp                                                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582945 | PA      | $501460.75    | 0.01%             | 2035-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5345827 | PA      | $5320145.99   | 0.13%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3503877 | PA      | $3086779.52   | 0.07%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAW7<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250660.00    | 0.01%             | 2037-07-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $972046.89    | 0.02%             | 2034-10-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3814031 | PA      | $3279512.01   | 0.08%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416826 | PA      | $349453.75    | 0.01%             | 2047-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo V Ltd                                                               | CUSIP: 96467PAE8<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001219.90   | 0.02%             | 2038-07-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670731 | PA      | $2793953.41   | 0.07%             | 2066-08-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | CBAM 2020-12 Ltd                                                                 | CUSIP: 12509VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811349.38    | 0.02%             | 2034-07-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC       | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $8929.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2318 | PA      | $1666.88      | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | CarVal CLO VC Ltd                                                                | CUSIP: 14687MAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003058.40   | 0.02%             | 2034-10-15      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust               | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33982628 | PA      | $1945767.11   | 0.05%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250374.50    | 0.01%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2610000 | PA      | $2615956.28   | 0.06%             | 2038-01-21      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1418000 | PA      | $1430211.53   | 0.03%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC10                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458250 | PA      | $414795.99    | 0.01%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2020-2 Ltd                                                              | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3011677.80   | 0.07%             | 2038-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619781 | PA      | $1644457.92   | 0.04%             | 2063-10-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2530000 | PA      | $2308896.22   | 0.06%             | 2052-11-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK NV                             | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $0.05         | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Credit Student Loan Trust 2005-B                                     | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    527689 | PA      | $515026.11    | 0.01%             | 2039-06-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                               | Pikes Peak Clo 12 Ltd                                                            | CUSIP: 72133LAM4<br>LEI: 21380087HZCMQFA48I12 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $500619.85    | 0.01%             | 2038-04-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                             | Owl Rock CLO XVIII LLC                                                           | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |   2990000 | PA      | $3001491.77   | 0.07%             | 2036-07-24      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1694954 | PA      | $953177.86    | 0.02%             | 2035-09-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CART                                         | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2328661.18   | 0.06%             | 2041-08-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $774391.37    | 0.02%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi               | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $490817.64    | 0.01%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                 | Navient Education Loan Trust 2025-A                                              | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1422220.61   | 0.03%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680700 | PA      | $691168.14    | 0.02%             | 2063-10-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                          | ASSURANT CLO II LTD                                                              | CUSIP: 04623TAA3<br>LEI: 6354003JXBM4LA5YCP98 | Long             | ABS-CBDO         | CORP              | KY        |     43089 | PA      | $43099.20     | 0.00%             | 2031-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | Halseypoint Clo 6 Ltd                                                            | CUSIP: 40639GAN9<br>LEI: 5493001PG85K1980W896 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003091.70   | 0.02%             | 2038-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 14983AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5461553 | PA      | $182558.42    | 0.00%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica               | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2523731 | PA      | $2125825.03   | 0.05%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2025-NQM4                                    | CUSIP: 64832FAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $696133.27    | 0.02%             | 2065-07-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR3 Trust                                                   | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6928000 | PA      | $6780649.75   | 0.16%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FF17                                     | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1263940 | PA      | $1095114.03   | 0.03%             | 2036-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440658 | PA      | $442623.56    | 0.01%             | 2029-08-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QBA3<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001960.10   | 0.02%             | 2036-10-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                       | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |  14850000 | PA      | $14901039.45  | 0.36%             | 2037-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477900 | PA      | $442231.60    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                         | ACE Securities Corp Home Equity Loan Trust Series 2005-AG1                       | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627720 | PA      | $550093.46    | 0.01%             | 2035-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST4                                   | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3028602 | PA      | $3041384.62   | 0.07%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Silver Point Capital CLO 1, Lt               | Silver Point CLO 1 Ltd                                                           | CUSIP: 828085AN0<br>LEI: 549300UJUGKIKZF7CD63 | Long             | ABS-CBDO         | CORP              | JE        |   2070000 | PA      | $2077976.95   | 0.05%             | 2038-01-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                      | Home Equity Asset Trust 2006-3                                                   | CUSIP: 437084UT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $265843.79    | 0.01%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2007-SEA1                                 | CUSIP: 61757MAC2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |     36818 | PA      | $34979.87     | 0.00%             | 2047-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763000 | PA      | $2705609.45   | 0.06%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873400 | PA      | $872610.88    | 0.02%             | 2064-12-26      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $5730184.69   | 0.14%             | 2028-03-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517651 | PA      | $450665.17    | 0.01%             | 2046-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAJ4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |    737000 | PA      | $739034.19    | 0.02%             | 2037-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1865617 | PA      | $1891779.19   | 0.05%             | 2065-05-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278700 | PA      | $255786.85    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148400 | PA      | $1153054.01   | 0.03%             | 2065-01-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3024425 | PA      | $85853.43     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9942000 | PA      | $10129776.54  | 0.24%             | 2033-06-10      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2022-SFR1                                    | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502000 | PA      | $491402.88    | 0.01%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2017-GS6                                            | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1969792.20   | 0.05%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |    995455 | PA      | $996975.60    | 0.02%             | 2031-07-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                     | Brex Commercial Charge Card Master Trust                                         | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2027000 | PA      | $2039601.05   | 0.05%             | 2027-07-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-IV Ltd                                                         | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1870000 | PA      | $1877014.74   | 0.04%             | 2040-01-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322000 | PA      | $296409.98    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                           | Elmwood CLO 39 Ltd                                                               | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4501350.00   | 0.11%             | 2038-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| TCW Ltd                                      | TCW CLO 2019-2 Ltd                                                               | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1203026.16   | 0.03%             | 2038-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr               | GoodLeap Sustainable Home Solutions Trust 2021-5                                 | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1148285 | PA      | $973825.53    | 0.02%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Dwight 2025-FL1 Issuer LLC                   | Dwight 2025-FL1 Issuer LLC                                                       | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4725000 | PA      | $4721112.27   | 0.11%             | 2042-06-18      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |   4034230 | PA      | $4036418.67   | 0.10%             | 2030-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2024-2 LTD                                                     | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2309981.77   | 0.06%             | 2037-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24115000 | PA      | $208351.19    | 0.00%             | 2043-07-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $4034186.80   | 0.10%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                          | EQT Trust 2024-EXTR                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28949000 | PA      | $29610811.77  | 0.71%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2023-NQM5                                                     | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   4709408 | PA      | $4785882.65   | 0.11%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 93 CLO Ltd                                                                | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $671005.00    | 0.02%             | 2038-01-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FFH1                                     | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    673507 | PA      | $612012.91    | 0.01%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE7                            | CUSIP: 07388HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65714 | PA      | $64460.71     | 0.00%             | 2036-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                    | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1296045 | PA      | $1169622.70   | 0.03%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2025-NQM2                                        | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |   5889542 | PA      | $5946133.91   | 0.14%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83274 | PA      | $71041.15     | 0.00%             | 2037-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                           | Seasoned Loans Structured Transaction Trust Series 2020-3                        | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336929 | PA      | $333628.80    | 0.01%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8651169 | PA      | $8651168.59   | 0.21%             | 2038-07-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2024-A                                 | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7717821 | PA      | $7925362.06   | 0.19%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.AAA.6.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXV Ltd                                                         | CUSIP: 09627FBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $491428.40    | 0.01%             | 2038-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAE1<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2190072.25   | 0.05%             | 2037-10-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23561386 | PA      | $23892590.39  | 0.57%             | 2065-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2349122.58   | 0.06%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 3 LLC                                  | CUSIP: 28166LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1020503.16   | 0.02%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2440699 | PA      | $2440680.72   | 0.06%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2005-J2                                          | CUSIP: 12669GV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2171071 | PA      | $1372882.04   | 0.03%             | 2035-08-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | CBAM 2019-11R Ltd                                                                | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    362000 | PA      | $362180.96    | 0.01%             | 2035-01-20      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                   | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3340000 | PA      | $2863908.72   | 0.07%             | 2037-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle US CLO 2024-6 Ltd                                                        | CUSIP: 14319PAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2616041.48   | 0.06%             | 2037-10-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1243805.00   | 0.03%             | 2038-01-20      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900544 | PA      | $1087056.14   | 0.03%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2004-4                                                 | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2417216 | PA      | $2173239.15   | 0.05%             | 2034-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2005-OPT3                                              | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312806 | PA      | $258689.47    | 0.01%             | 2035-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253723 | PA      | $253643.28    | 0.01%             | 2038-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4438218 | PA      | $4538224.12   | 0.11%             | 2059-06-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2017-D                                                  | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5550 | PA      | $1926.63      | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR27                                       | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171094 | PA      | $155287.84    | 0.00%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXXI Ltd                                                    | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7910000 | PA      | $7916194.32   | 0.19%             | 2038-04-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15039664 | PA      | $15029085.11  | 0.36%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   1135868 | PA      | $1134766.44   | 0.03%             | 2030-10-22      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028000 | PA      | $1029272.36   | 0.02%             | 2041-10-15      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| Western Alliance Bank                        | Western Alliance Bank                                                            | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   3563813 | PA      | $3718818.88   | 0.09%             | 2059-07-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                   | CENT 2025-CITY                                                                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6956000 | PA      | $7034674.45   | 0.17%             | 2040-07-10      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1852909 | PA      | $870081.29    | 0.02%             | 2037-08-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 49 Senior Loan Fund                                                       | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    294272 | PA      | $294525.52    | 0.01%             | 2030-07-18      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1310000 | PA      | $1316150.71   | 0.03%             | 2040-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LIX CLO Ltd                                                                 | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250101.50    | 0.01%             | 2034-04-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                          | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1504307.25   | 0.04%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10192887 | PA      | $285811.61    | 0.01%             | 2052-03-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622000 | PA      | $581806.73    | 0.01%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1507000 | PA      | $1141865.96   | 0.03%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12510713 | PA      | $12514622.60  | 0.30%             | 2039-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2021-1                                                   | CUSIP: 61947DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295532 | PA      | $236171.20    | 0.01%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2020-2                                                   | CUSIP: 61946PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020120 | PA      | $840448.68    | 0.02%             | 2046-08-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XVIII-R                                                               | CUSIP: 03767NAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1355578.20   | 0.03%             | 2038-01-22      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5608998 | PA      | $5607245.11   | 0.13%             | 2039-12-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080318 | PA      | $1771994.13   | 0.04%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-FLWR                                          | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249000 | PA      | $249155.63    | 0.01%             | 2042-08-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| GALAPAGOS: TL LOAN/TERM                      | GALAPAGOS: TL LOAN/TERM                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   5010890 | PA      | $5883035.39   | 0.14%             | 2026-03-01      | Floating      | 5.92%                 | No            |                  3 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2025-NQM2                                                     | CUSIP: 00250EAC0<br>LEI: 9845004ECDEDFFFFC959 | Long             | ABS-MBS          | CORP              | US        |   5701728 | PA      | $5753531.80   | 0.14%             | 2070-06-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2023-7                                                  | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |   6424987 | PA      | $6392309.85   | 0.15%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-2                                 | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7994010 | PA      | $8082694.69   | 0.19%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 104 CLO Ltd                                                               | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3370000 | PA      | $3375279.78   | 0.08%             | 2034-08-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2920000 | PA      | $2790472.60   | 0.07%             | 2039-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | Toorak Mortgage Trust 2024-2                                                     | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |   1635000 | PA      | $1643433.49   | 0.04%             | 2031-10-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                     | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    290000 | PA      | $290232.00    | 0.01%             | 2032-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2015-LC19 Mortgage Trust                                                    | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195950 | PA      | $192030.73    | 0.00%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2009516 | PA      | $2404985.13   | 0.06%             | 2061-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                     | SoFi Personal Loan Trust 2024-1                                                  | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2534949 | PA      | $2550816.13   | 0.06%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor               | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541SD70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213539 | PA      | $178229.46    | 0.00%             | 2043-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3544100 | PA      | $3539669.88   | 0.08%             | 2038-10-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2573276 | PA      | $2568582.87   | 0.06%             | 2064-12-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543394 | PA      | $1550309.57   | 0.04%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-I Ltd                                                          | CUSIP: 12572VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250342.75    | 0.01%             | 2038-04-23      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark CLO Ltd                                                                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    528397 | PA      | $528747.21    | 0.01%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) L               | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AD5<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   2239000 | PA      | $2264223.90   | 0.05%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SPLT_24-1                                    | SPLT_24-1                                                                        | CUSIP: 83407R105<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135500 | PA      | $2144427.61   | 0.05%             | 2031-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2006-RP2                                               | CUSIP: 36298XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1883370 | PA      | $1561473.44   | 0.04%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4403000 | PA      | $4166417.12   | 0.10%             | 2036-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon Capital CLO 2016-1 Ltd                                                    | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    533464 | PA      | $533997.23    | 0.01%             | 2031-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9101000 | PA      | $9200955.37   | 0.22%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                  | FIGRE Trust 2024-SL1                                                             | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7400463 | PA      | $7510909.08   | 0.18%             | 2053-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1068000 | PA      | $710472.37    | 0.02%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR 2023-STON Mortgage Trust                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5722000 | PA      | $5957362.45   | 0.14%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                      | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1750653.98   | 0.04%             | 2038-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734652 | PA      | $701962.58    | 0.02%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-RPL9 Trust                                                             | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3314230 | PA      | $3298100.63   | 0.08%             | 2061-02-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2210690.63   | 0.05%             | 2041-03-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                      | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1140000 | PA      | $1143431.51   | 0.03%             | 2035-04-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872774 | PA      | $333820.58    | 0.01%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405629 | PA      | $274186.58    | 0.01%             | 2037-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                        | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1980919.60   | 0.05%             | 2038-03-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $601336.68    | 0.01%             | 2033-04-15      | Floating      | 11.63%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    619407 | PA      | $509037.66    | 0.01%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158000 | PA      | $408256.99    | 0.01%             | 2040-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-198400.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3566000 | PA      | $3558752.11   | 0.09%             | 2047-02-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXII                                                                 | CUSIP: 03768RAU0<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $899801.91    | 0.02%             | 2033-01-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $160913.96    | 0.00%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3121000 | PA      | $2926840.41   | 0.07%             | 2052-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3730949 | PA      | $2739233.64   | 0.07%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420900 | PA      | $368918.77    | 0.01%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781000 | PA      | $726372.88    | 0.02%             | 2037-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516786 | PA      | $504545.40    | 0.01%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    490000 | PA      | $492450.00    | 0.01%             | 2037-10-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                 | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1693359.19   | 0.04%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBE2<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001554.10   | 0.02%             | 2034-10-27      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109000 | PA      | $1129214.74   | 0.03%             | 2064-06-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2007000 | PA      | $2012644.69   | 0.05%             | 2041-06-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2019-D                                 | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1653327 | PA      | $1608927.91   | 0.04%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975019 | PA      | $986059.17    | 0.02%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3695000 | PA      | $3700773.44   | 0.09%             | 2037-05-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF4             | CUSIP: 863911AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1239915 | PA      | $623065.62    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus               | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $128245.42    | 0.00%             | 2058-05-10      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-6 Trust   | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3860488 | PA      | $1530679.45   | 0.04%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                          | Elmwood CLO VI Ltd                                                               | CUSIP: 29001VAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2394000 | PA      | $2400572.97   | 0.06%             | 2037-07-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $315799.19    | 0.01%             | 2039-12-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr               | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13085 | PA      | $11884.80     | 0.00%             | 2036-03-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                 | Huntington Bank Auto Credit-Linked Notes Series 2025-2                           | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3897170 | PA      | $3898589.30   | 0.09%             | 2033-09-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124000 | PA      | $110581.29    | 0.00%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   5589000 | PA      | $5605760.85   | 0.13%             | 2037-11-26      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization               | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2164585 | PA      | $278011.46    | 0.01%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit               | SG Commercial Mortgage Securities Trust 2016-C5                                  | CUSIP: 78419CAK0<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $955517.80    | 0.02%             | 2048-10-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLII Ltd                                                    | CUSIP: 04966HAE6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1251725.00   | 0.03%             | 2030-11-21      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3997 | PA      | $1878.51      | 0.00%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM5                                           | CUSIP: 06745XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46904200 | PA      | $48334393.49  | 1.16%             | 2055-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HET_24                                       | HET_24                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5146080 | PA      | $5251574.48   | 0.13%             | 2054-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-167G Mortgage Trust                                                    | CUSIP: 12674VAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1176337.50   | 0.03%             | 2040-08-10      | Variable      | 9.46%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   5360000 | PA      | $5376670.67   | 0.13%             | 2037-10-18      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4580870.36   | 0.11%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30405000 | PA      | $313691.43    | 0.01%             | 2039-06-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498000 | PA      | $419139.81    | 0.01%             | 2039-05-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2025-ESH                                             | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2477000 | PA      | $2477000.00   | 0.06%             | 2042-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8589942 | PA      | $8591394.28   | 0.21%             | 2041-05-17      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset Backed Notes Trust 2007-Sea2                                         | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    917125 | PA      | $755821.81    | 0.02%             | 2047-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAS6<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |   4297000 | PA      | $4309962.76   | 0.10%             | 2037-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1973000 | PA      | $1982000.83   | 0.05%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2013-3 Ltd                                                              | CUSIP: 92916XAJ6<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |    190799 | PA      | $191308.85    | 0.00%             | 2031-10-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                 | Navient Refinance Loan Trust 2025-B                                              | CUSIP: 63943NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6934000 | PA      | $6918552.43   | 0.17%             | 2055-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2020-C                                                  | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5874 | PA      | $87.30        | 0.00%             | 2060-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |   5090000 | PA      | $5122589.23   | 0.12%             | 2037-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YBJ0<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5503849.45   | 0.13%             | 2039-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                 | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760774 | PA      | $493999.75    | 0.01%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 20 Ltd                                                              | CUSIP: 33883MAQ7<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003537.50   | 0.02%             | 2036-05-20      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2023-2                                          | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1776579.23   | 0.04%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8937 | PA      | $4377.89      | 0.00%             | 2047-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real E               | Arbor Realty Commercial Real Estate Notes 2025-FL1 LLC                           | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4854000 | PA      | $4841135.93   | 0.12%             | 2043-01-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006800 | PA      | $987500.15    | 0.02%             | 2064-01-25      | Variable      | 8.65%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust               | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3829000 | PA      | $3838585.52   | 0.09%             | 2027-11-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                | LUX 2023-LION                                                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281135 | PA      | $1295288.47   | 0.03%             | 2040-08-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641357 | PA      | $309645.42    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                 | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110000 | PA      | $1122130.41   | 0.03%             | 2040-04-13      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential Trust                                                       | CUSIP: 74333HAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3577000 | PA      | $3519598.09   | 0.08%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                    | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3379000 | PA      | $3222444.17   | 0.08%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2188313 | PA      | $2965163.95   | 0.07%             | 2051-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LVI CLO Ltd                                                                 | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2135342.25   | 0.05%             | 2038-01-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                   | MIRA Trust 2023-MILE                                                             | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978000 | PA      | $2059749.16   | 0.05%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    253222 | PA      | $253411.78    | 0.01%             | 2031-05-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 3 Ltd                                                            | CUSIP: 82672NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $892314.71    | 0.02%             | 2037-01-23      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| DK Trust                                     | DK Trust 2025-LXP                                                                | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2821000 | PA      | $2821000.00   | 0.07%             | 2037-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 41 Senior Loan Fund                                                       | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |    666364 | PA      | $666775.69    | 0.02%             | 2031-04-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM4                                           | CUSIP: 06744XAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45801129 | PA      | $47174178.01  | 1.13%             | 2065-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 29 LTD                                                                        | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250771.83    | 0.01%             | 2039-07-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923787 | PA      | $924363.95    | 0.02%             | 2042-08-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $770606.97    | 0.02%             | 2033-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375600 | PA      | $346915.01    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark CLO II Ltd                                                                | CUSIP: 77587EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    131381 | PA      | $131450.65    | 0.00%             | 2031-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1931176 | PA      | $1935025.00   | 0.05%             | 2039-02-15      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                     | BXMT 2025-FL5 Ltd                                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17933000 | PA      | $17852640.43  | 0.43%             | 2042-10-18      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2225517 | PA      | $2232680.05   | 0.05%             | 2037-07-23      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612641 | PA      | $1639719.82   | 0.04%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAL0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   4109000 | PA      | $4114543.45   | 0.10%             | 2035-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                | KSLCMT_25-MAK                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2364000 | PA      | $2372469.50   | 0.06%             | 2042-06-15      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1193069 | PA      | $1177032.55   | 0.03%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4173000 | PA      | $4170391.88   | 0.10%             | 2037-05-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6096000 | PA      | $6095008.18   | 0.15%             | 2039-11-09      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HF1 Mortgage Trust                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877000 | PA      | $2888687.81   | 0.07%             | 2041-12-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12500000 | PA      | $39590.00     | 0.00%             | 2035-08-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE                | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1687810 | PA      | $1195793.99   | 0.03%             | 2031-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO V-B Ltd                                              | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2366000 | PA      | $2381329.08   | 0.06%             | 2037-07-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III               | Compass Datacenters Issuer III LLC                                               | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8109000 | PA      | $8199806.20   | 0.20%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36025497 | PA      | $1420697.91   | 0.03%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526926 | PA      | $524262.04    | 0.01%             | 2054-10-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles Clo IV Ltd                                                              | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |   2060000 | PA      | $2063431.96   | 0.05%             | 2034-07-21      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2023-1                                    | CUSIP: 92259VAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1927260 | PA      | $1855288.76   | 0.04%             | 2053-01-25      | Variable      | 9.64%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 27 Ltd                                                              | CUSIP: 00092DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   4000000 | PA      | $4007033.20   | 0.10%             | 2036-10-21      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-5                                                  | CUSIP: 03466EAA8<br>LEI: 254900QA46POYH7UR768 | Long             | ABS-MBS          | CORP              | US        |  11909986 | PA      | $12016498.38  | 0.29%             | 2070-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5179169 | PA      | $244611.13    | 0.01%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                      | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1698153 | PA      | $1258554.95   | 0.03%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QO2 Trust                                                       | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613493 | PA      | $522911.66    | 0.01%             | 2045-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | VCC 2025-MC1 Trust                                                               | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625762 | PA      | $2614347.98   | 0.06%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF3             | CUSIP: 863592AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4312607 | PA      | $2337640.91   | 0.06%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                     | Redwood Funding Trust 2023-1                                                     | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453758 | PA      | $453789.05    | 0.01%             | 2059-07-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2022-INV3 Trust                                                              | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112131 | PA      | $1869547.26   | 0.04%             | 2066-12-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015600 | PA      | $1021242.78   | 0.02%             | 2064-06-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |   3495000 | PA      | $3507461.42   | 0.08%             | 2037-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $602274.96    | 0.01%             | 2037-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2005-WF1                                     | CUSIP: 57643LKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118764 | PA      | $1152401.87   | 0.03%             | 2035-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                     | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |   3458371 | PA      | $3493776.68   | 0.08%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441000 | PA      | $438128.60    | 0.01%             | 2041-10-15      | Floating      | 11.11%                | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                    | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589085 | PA      | $602000.08    | 0.01%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                          | 522 Funding CLO 2017-1 A Ltd                                                     | CUSIP: 33836JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1402575.72   | 0.03%             | 2034-10-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners 48 LP                                                     | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1906294.89   | 0.05%             | 2038-04-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares Loan Funding IV Ltd                                                         | CUSIP: 04020FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1160000 | PA      | $1161309.52   | 0.03%             | 2036-10-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 44 Ltd                                                                   | CUSIP: 00121RAE4<br>LEI: 254900WK97J0UDI0DQ10 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996016.00   | 0.05%             | 2037-10-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665000 | PA      | $1683855.79   | 0.04%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742857AA3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    387734 | PA      | $399280.53    | 0.01%             | 2051-07-25      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2021-1 Ltd                                                     | CUSIP: 87122VAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2509892.50   | 0.06%             | 2038-01-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AS4<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $731328.53    | 0.02%             | 2036-10-17      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2025-NQM5                                        | CUSIP: 10569RAC6<br>LEI: 254900HGOJX787MBR512 | Long             | ABS-MBS          | CORP              | US        |   3990406 | PA      | $4021751.93   | 0.10%             | 2065-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | Cifc Funding 2014-IV-R Ltd                                                       | CUSIP: 12552FBC6<br>LEI: 5493006JGTCIL6LCS728 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001000.00   | 0.02%             | 2035-01-17      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 14 Ltd                                                           | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6380000 | PA      | $6402891.44   | 0.15%             | 2038-01-22      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                     | FBR Securitization Trust                                                         | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1521950 | PA      | $1515138.82   | 0.04%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 29 Ltd                                                     | CUSIP: 03332QAA3<br>LEI: 213800XVU2BADRNDSO76 | Long             | ABS-CBDO         | CORP              | KY        |   4430000 | PA      | $4452433.52   | 0.11%             | 2037-07-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $431337.34    | 0.01%             | 2037-11-26      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27774907 | PA      | $788437.95    | 0.02%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282000 | PA      | $1291147.84   | 0.03%             | 2041-10-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1984864 | PA      | $1487135.85   | 0.04%             | 2051-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                       | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2582504.34   | 0.06%             | 2036-08-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 55 CLO Ltd                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1511993 | PA      | $1513831.40   | 0.04%             | 2031-04-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394725 | PA      | $278000.97    | 0.01%             | 2036-08-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549245 | PA      | $550618.44    | 0.01%             | 2041-10-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2514933.60   | 0.06%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Juniper Valley Park CLO, Ltd                 | Juniper Valley Park CLO Ltd                                                      | CUSIP: 48206KAS5<br>LEI: 213800ACSV8GAJ4CCO70 | Long             | ABS-CBDO         | CORP              | JE        |   1800000 | PA      | $1802447.64   | 0.04%             | 2036-07-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1687486 | PA      | $1703845.78   | 0.04%             | 2054-06-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890008 | PA      | $794581.57    | 0.02%             | 2049-07-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1793261 | PA      | $1497096.82   | 0.04%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5270000 | PA      | $5255178.13   | 0.13%             | 2041-06-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OA11                                                 | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190078 | PA      | $178441.99    | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M               | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                  | CUSIP: 59025TAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2066204 | PA      | $1993670.90   | 0.05%             | 2037-10-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                   | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1295748.48   | 0.03%             | 2033-03-10      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Corp                                                      | CUSIP: 16163YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417069 | PA      | $378372.33    | 0.01%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                      | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $285953.99    | 0.01%             | 2037-10-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6306970 | PA      | $6308940.87   | 0.15%             | 2034-05-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust               | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8890000 | PA      | $9050124.01   | 0.22%             | 2042-07-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                           | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3205314.13   | 0.08%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060937 | PA      | $1056696.89   | 0.03%             | 2033-02-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4920000 | PA      | $4938878.53   | 0.12%             | 2037-10-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-2                                    | CUSIP: 39571VAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5959000 | PA      | $6019437.97   | 0.14%             | 2060-06-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2990000 | PA      | $2946998.42   | 0.07%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1800494.15   | 0.04%             | 2052-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                           | Sesac Finance LLC                                                                | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5960000 | PA      | $5936367.41   | 0.14%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3942000 | PA      | $3989616.60   | 0.10%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-NQM6 Trust                                                             | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7106464 | PA      | $7160778.93   | 0.17%             | 2067-12-25      | Variable      | 8.87%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4045000 | PA      | $4063023.31   | 0.10%             | 2055-05-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24518170 | PA      | $24720749.31  | 0.59%             | 2065-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXVII Ltd                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   7630000 | PA      | $7651836.30   | 0.18%             | 2037-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2015-1 Ltd                                  | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    157207 | PA      | $157364.27    | 0.00%             | 2031-07-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $580900.51    | 0.01%             | 2034-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4126000 | PA      | $4183280.02   | 0.10%             | 2036-09-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBW4<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   1625000 | PA      | $1636430.09   | 0.04%             | 2037-04-28      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403382 | PA      | $404618.92    | 0.01%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2024-6 Ltd                                               | CUSIP: 05685XAA6<br>LEI: 254900HQYGN91X5XN386 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504527.30   | 0.04%             | 2038-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831829 | PA      | $795717.37    | 0.02%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2024-RVR                                       | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1263000 | PA      | $1259519.93   | 0.03%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                          | DBWF 2024-LCRS Mortgage Trust                                                    | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2423000 | PA      | $2423757.19   | 0.06%             | 2037-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $398616.62    | 0.01%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    519586 | PA      | $525231.47    | 0.01%             | 2051-07-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-R2                                               | CUSIP: 92538DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $213826.17    | 0.01%             | 2064-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 1 LLC                                  | CUSIP: 28166GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341207 | PA      | $336872.19    | 0.01%             | 2038-11-25      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83871 | PA      | $167199.77    | 0.00%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne               | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4189830 | PA      | $4190060.28   | 0.10%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310002 | PA      | $246887.54    | 0.01%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| CRSO 2023-BRND A                             | CRSO 2023-BRND A                                                                 | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1929098 | PA      | $2009229.45   | 0.05%             | 2040-07-12      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE5                            | CUSIP: 073859AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6106441 | PA      | $5514006.04   | 0.13%             | 2047-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2072000 | PA      | $2077521.67   | 0.05%             | 2032-03-15      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807518 | PA      | $806544.62    | 0.02%             | 2062-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                    | BXP Trust 2017-GM                                                                | CUSIP: 056083AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $258028.12    | 0.01%             | 2039-06-13      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park 2025-27 CLO Ltd                                                      | CUSIP: 11765EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1910000 | PA      | $1917406.98   | 0.05%             | 2038-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997839 | PA      | $833397.66    | 0.02%             | 2049-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1416823 | PA      | $1428549.89   | 0.03%             | 2032-03-15      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2016-P3                                      | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2635000 | PA      | $2613458.88   | 0.06%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                  | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1718000 | PA      | $1710424.82   | 0.04%             | 2057-08-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-1                                                  | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    900997 | PA      | $900884.35    | 0.02%             | 2068-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 37 Ltd                                                                   | CUSIP: 00121MAA3<br>LEI: 254900AZNZG3U1TNSN78 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $461012.00    | 0.01%             | 2038-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2025-X1                                        | CUSIP: 00834MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5761701.25   | 0.14%             | 2030-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XXII Ltd                                                                    | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499660.00    | 0.01%             | 2031-01-17      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                | Bayview Financial Mortgage Pass-Through Trust 2006-A                             | CUSIP: 07325NDD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5459000 | PA      | $5510495.29   | 0.13%             | 2041-02-28      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXI Ltd                                                             | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |   1479402 | PA      | $1478811.89   | 0.04%             | 2032-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-4                                            | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900248 | PA      | $854362.67    | 0.02%             | 2036-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    473195 | PA      | $450060.64    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2021-1 Ltd                                                    | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3505250.00   | 0.08%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $937528.99    | 0.02%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $481076.45    | 0.01%             | 2036-04-17      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $903950.91    | 0.02%             | 2037-10-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2023-DELC                                                               | CUSIP: 05610DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $272362.50    | 0.01%             | 2038-05-15      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.               | LoanCore 2022-CRE7 Issuer Ltd                                                    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2434649 | PA      | $2435353.32   | 0.06%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL5                                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2629937 | PA      | $2631580.59   | 0.06%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 60 CLO Ltd                                                                | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |    119806 | PA      | $119937.78    | 0.00%             | 2031-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru               | THPT 2023-THL Mortgage Trust                                                     | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112531 | PA      | $1129589.11   | 0.03%             | 2034-12-10      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 3 Ltd                                                       | CUSIP: 25255JAL1<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |    282408 | PA      | $283255.37    | 0.01%             | 2038-01-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 36 Ltd                                                              | CUSIP: 00121WAE3<br>LEI: 2549000U240BORO02Z85 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753930.30    | 0.02%             | 2038-01-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 20 Ltd                                                              | CUSIP: 33883MAL8<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1333271.93   | 0.03%             | 2036-05-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545900 | PA      | $2460931.61   | 0.06%             | 2065-01-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                          | Affirm Master Trust                                                              | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    897000 | PA      | $903474.10    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2018-A                                          | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    635539 | PA      | $635215.17    | 0.02%             | 2036-02-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                            | JP Morgan Resecuritization Trust Series 2014-5                                   | CUSIP: 46642VAR9<br>LEI: 549300I70LJMOFGPXY37 | Long             | ABS-MBS          | CORP              | US        |   9305386 | PA      | $1573281.23   | 0.04%             | 2036-05-27      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3270740 | PA      | $2388375.29   | 0.06%             | 2037-03-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1812122 | PA      | $460425.40    | 0.01%             | 2036-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                          | CFSP 2024-AHP1 Mortgage Trust                                                    | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6544817 | PA      | $6333313.31   | 0.15%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3                         | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13042422 | PA      | $13136639.54  | 0.31%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-14                                          | CUSIP: 12544DAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6007643 | PA      | $2944517.13   | 0.07%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $252437.35    | 0.01%             | 2037-10-20      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4302684 | PA      | $4040533.92   | 0.10%             | 2036-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978010 | PA      | $993589.00    | 0.02%             | 2063-10-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2024-BHP                                                             | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $822158.16    | 0.02%             | 2039-08-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trus               | Durst Commercial Mortgage Trust 2025-151                                         | CUSIP: 266895AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923000 | PA      | $3002439.25   | 0.07%             | 2042-08-10      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-AIR2                                           | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031009 | PA      | $3035745.20   | 0.07%             | 2041-10-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16649 | PA      | $15365.59     | 0.00%             | 2037-03-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm               | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15106458 | PA      | $1223434.25   | 0.03%             | 2036-05-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                      | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250224.68    | 0.01%             | 2035-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4405318.65   | 0.11%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1249875.00   | 0.03%             | 2029-10-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 10 Ltd                                                      | CUSIP: 25290BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10912000 | PA      | $10947991.05  | 0.26%             | 2038-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                        | Cayuga Park CLO Ltd                                                              | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   3390000 | PA      | $3394899.23   | 0.08%             | 2034-07-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                    | BMP 2024-MF23                                                                    | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719000 | PA      | $1719000.00   | 0.04%             | 2041-06-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3360925 | PA      | $3288047.54   | 0.08%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2022-2                                                  | CUSIP: 03464PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213733 | PA      | $202705.95    | 0.00%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54438869 | PA      | $797828.85    | 0.02%             | 2052-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250500 | PA      | $1019327.82   | 0.02%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                    | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -22139000 | PA      | $-18648556.40 | -0.45%            | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499398 | PA      | $1503744.16   | 0.04%             | 2041-04-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79712 | PA      | $70343.14     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $239128.66    | 0.01%             | 2055-11-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                  | Origen Manufactured Housing Contract Trust 2007-B                                | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |    201371 | PA      | $200474.50    | 0.00%             | 2037-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX 2024-PALM                                                                     | CUSIP: 05612UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696635 | PA      | $693452.32    | 0.02%             | 2037-06-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1314224 | PA      | $1487863.17   | 0.04%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4231761 | PA      | $1730169.92   | 0.04%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405000 | PA      | $1421289.57   | 0.03%             | 2070-02-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU               | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12310577 | PA      | $12372087.97  | 0.30%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2508152 | PA      | $2263635.14   | 0.05%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834596 | PA      | $397160.16    | 0.01%             | 2052-02-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                      | NYMT Loan Trust 2024-INV1                                                        | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |    892562 | PA      | $896079.09    | 0.02%             | 2069-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-R1                                               | CUSIP: 92538BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3024933.93   | 0.07%             | 2063-10-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420196 | PA      | $326683.43    | 0.01%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2913757.60   | 0.07%             | 2037-07-21      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                | American Home Mortgage Assets Trust 2006-4                                       | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76626 | PA      | $38180.34     | 0.00%             | 2046-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management  | Dreyfus Treasury Securities Cash Management                                      | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  94517077 | NS      | $94517076.68  | 2.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3899552 | PA      | $3893541.73   | 0.09%             | 2058-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250202.50    | 0.01%             | 2031-04-19      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2019-RP1                                           | CUSIP: 17327RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883444 | PA      | $867520.75    | 0.02%             | 2066-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638495 | PA      | $603509.01    | 0.01%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                          | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |     50129 | PA      | $50158.93     | 0.00%             | 2031-01-26      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM3 Trust                                                             | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5369215 | PA      | $5408345.01   | 0.13%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se               | Wells Fargo Mortgage Backed Securities 2006-AR15 Trust                           | CUSIP: 94985AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613470 | PA      | $588793.06    | 0.01%             | 2036-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2021-4                                                  | CUSIP: 03464EAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $142840.84    | 0.00%             | 2065-01-20      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17599000 | PA      | $320023.74    | 0.01%             | 2053-03-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-IV Ltd                                                         | CUSIP: 12575MAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $541462.59    | 0.01%             | 2038-10-24      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2263000 | PA      | $2278101.90   | 0.05%             | 2041-03-15      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MDHS                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8190432 | PA      | $8200669.79   | 0.20%             | 2041-05-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-NC2                          | CUSIP: 81378GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446000 | PA      | $334674.07    | 0.01%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1742404 | PA      | $542590.62    | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition               | JP Morgan Mortgage Acquisition Trust 2006-CH1                                    | CUSIP: 46629TAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3498000 | PA      | $3164258.27   | 0.08%             | 2036-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1564000 | PA      | $1563990.77   | 0.04%             | 2029-08-15      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |         1 | NC      | $23587.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-LIFE                                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7582000 | PA      | $7808787.48   | 0.19%             | 2047-06-13      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195887 | PA      | $85279.78     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254900 | PA      | $235100.36    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                  | Point Broadband Funding LLC                                                      | CUSIP: 73052AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8114000 | PA      | $8295549.13   | 0.20%             | 2055-07-20      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2021-NQM3 Trust                                                             | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $875158.94    | 0.02%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne               | PRET 2024-NPL5 LLC                                                               | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |   3401384 | PA      | $3403504.53   | 0.08%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| LV Trust                                     | Fashion Show Mall LLC                                                            | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362970 | PA      | $368157.20    | 0.01%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                 | GSMSC Resecuritization Trust 2015-5R                                             | CUSIP: 36251QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3622355 | PA      | $2096192.36   | 0.05%             | 2037-04-26      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3620000 | PA      | $3368878.43   | 0.08%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2025-NQM2                                        | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6157882 | PA      | $6209950.26   | 0.15%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132455 | PA      | $122235.83    | 0.00%             | 2046-06-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                   | Clover CLO 2021-3 LLC                                                            | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3630000 | PA      | $3635827.60   | 0.09%             | 2035-01-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 7 Ltd                                                               | CUSIP: 37149LAL1<br>LEI: 25490036G9JNQQPHIX69 | Long             | ABS-CBDO         | CORP              | KY        |   8525000 | PA      | $8553701.12   | 0.21%             | 2037-04-22      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956559 | PA      | $962979.66    | 0.02%             | 2064-01-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254979 | PA      | $197012.53    | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg               | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4013000 | PA      | $4060822.92   | 0.10%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AQ8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   3168864 | PA      | $3172887.51   | 0.08%             | 2036-10-17      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12298513 | PA      | $12110270.34  | 0.29%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2021-230P                                         | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $370000.00    | 0.01%             | 2038-12-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882500 | PA      | $1902826.29   | 0.05%             | 2064-12-26      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2021-NQM1                                        | CUSIP: 10569TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426612 | PA      | $1193760.53   | 0.03%             | 2049-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31628 | PA      | $31292.11     | 0.00%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                | TYSN 2023-CRNR Mortgage Trust                                                    | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1414832.70   | 0.03%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAE8<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $741938.87    | 0.02%             | 2034-07-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 35 Ltd                                                                       | CUSIP: 50202QAQ6<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3005250.00   | 0.07%             | 2034-10-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11612638 | PA      | $509438.30    | 0.01%             | 2064-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232502 | PA      | $174074.03    | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO, Ltd.                      | Buckhorn Park CLO Ltd                                                            | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4810000 | PA      | $4812407.89   | 0.12%             | 2034-07-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2015-LC20                                  | CUSIP: 94989EAJ6<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |    845926 | PA      | $13.79        | 0.00%             | 2050-04-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-A                                                 | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10859893 | PA      | $10817012.36  | 0.26%             | 2057-03-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWHEQ Revolving Home Equity Loan Trust Series 2006-C                             | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257018 | PA      | $255091.59    | 0.01%             | 2036-05-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T               | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3297542 | PA      | $2958510.42   | 0.07%             | 2036-05-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | AIMCO CLO 23 Ltd                                                                 | CUSIP: 00901JAA6<br>LEI: 254900JY4GSBXW978G85 | Long             | ABS-CBDO         | CORP              | KY        |    584000 | PA      | $584641.00    | 0.01%             | 2038-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 4 LLC                                  | CUSIP: 28165AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    766454 | PA      | $767830.82    | 0.02%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    843043 | PA      | $846478.50    | 0.02%             | 2054-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2545580 | PA      | $2384927.35   | 0.06%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1471000 | PA      | $1116258.79   | 0.03%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2007-9                                 | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1444750 | PA      | $1367709.29   | 0.03%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3732000 | PA      | $3803321.51   | 0.09%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35190817 | PA      | $1482740.42   | 0.04%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM2 Trust                                                             | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11896992 | PA      | $12005653.32  | 0.29%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                       | CUSIP: 45668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3748682 | PA      | $3359630.69   | 0.08%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2188891 | PA      | $1540348.17   | 0.04%             | 2051-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572600 | PA      | $577351.15    | 0.01%             | 2063-10-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250285 | PA      | $1239424.94   | 0.03%             | 2054-09-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 12 Ltd                                                                        | CUSIP: 74989HAQ5<br>LEI: 549300RLLUH00ZYECJ34 | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1211609.18   | 0.03%             | 2036-01-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                | Bear Stearns Mortgage Funding Trust 2006-SL1                                     | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218691 | PA      | $217056.47    | 0.01%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3077000 | PA      | $3029309.88   | 0.07%             | 2067-07-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413000 | PA      | $1455379.69   | 0.03%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $804271.84    | 0.02%             | 2037-04-28      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                        | One Bryant Park Trust 2019-OBP                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1777501.63   | 0.04%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 23 Ltd                                                                   | CUSIP: 75009CAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1090000 | PA      | $1092681.29   | 0.03%             | 2037-04-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                | MTN Commercial Mortgage Trust 2022-LPFL                                          | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $909715.63    | 0.02%             | 2039-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197391 | PA      | $185955.01    | 0.00%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336671 | PA      | $138807.44    | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2021-FCMT                                  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4660000 | PA      | $4648730.72   | 0.11%             | 2031-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2007-SA4 Trust                                                      | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4252394 | PA      | $2577718.09   | 0.06%             | 2037-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-B Trust                                      | CUSIP: 83404RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $151169.79    | 0.00%             | 2047-08-25      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1551408 | PA      | $1569636.94   | 0.04%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                   | 1345T 2025-AOA                                                                   | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3853000 | PA      | $3883484.17   | 0.09%             | 2042-06-15      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2142000 | PA      | $2067023.79   | 0.05%             | 2036-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-7 Mortgage Loan Trust                                                  | CUSIP: 19689CAA9<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |   3616375 | PA      | $3646087.53   | 0.09%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 19 LTD                           | ELMWOOD CLO 19 LTD                                                               | CUSIP: 29004JAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2704472.55   | 0.06%             | 2036-10-17      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035953 | PA      | $886158.81    | 0.02%             | 2035-06-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                  | INV 2024-IND Mortgage Trust                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3510000 | PA      | $3483675.00   | 0.08%             | 2041-11-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003113.80   | 0.02%             | 2038-09-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-NQM1                                        | CUSIP: 10570FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $576905.29    | 0.01%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                        | Wildwood Park CLO Ltd                                                            | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |   2390000 | PA      | $2398711.55   | 0.06%             | 2037-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAE9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007060.00   | 0.05%             | 2037-04-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23453788 | PA      | $1277926.55   | 0.03%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt               | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1477737 | PA      | $1330816.28   | 0.03%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization               | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157317 | PA      | $285947.42    | 0.01%             | 2032-05-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 38 Ltd                                                              | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |   3650000 | PA      | $3658328.94   | 0.09%             | 2038-01-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1740000 | PA      | $1745483.61   | 0.04%             | 2038-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1163343 | PA      | $1096416.61   | 0.03%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2280057.60   | 0.05%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan Ltd.                    | Mill City Solar Loan 2019-1 Ltd                                                  | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    856228 | PA      | $796207.69    | 0.02%             | 2043-03-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1394467 | PA      | $1396720.95   | 0.03%             | 2033-04-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7170000 | PA      | $7239596.32   | 0.17%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3595604 | PA      | $3476264.85   | 0.08%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38379U6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9488574 | PA      | $287719.18    | 0.01%             | 2056-12-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6350000 | PA      | $6372289.14   | 0.15%             | 2030-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXIV                                                                 | CUSIP: 03768WAL9<br>LEI: 5493001VH1Y9SEPJKZ47 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1452730.79   | 0.03%             | 2035-01-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2025-31 Ltd                                                          | CUSIP: 67400BAA8<br>LEI: 254900UVA9JUCC0JI897 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1302190.24   | 0.03%             | 2038-07-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2669802 | PA      | $2702470.33   | 0.06%             | 2054-01-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128245 | PA      | $104921.62    | 0.00%             | 2046-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV2                                                                   | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |   8555224 | PA      | $8599165.25   | 0.21%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-8                                                | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695989 | PA      | $1569750.33   | 0.04%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                   | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922300 | PA      | $729474.28    | 0.02%             | 2056-05-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2023-CRE8 LLC                                                              | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1500368 | PA      | $1500483.36   | 0.04%             | 2041-08-17      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2024-FL9 Issuer LLC                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4618000 | PA      | $4642490.64   | 0.11%             | 2039-10-19      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                          | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5615700 | PA      | $5591131.31   | 0.13%             | 2036-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469200 | PA      | $478114.42    | 0.01%             | 2064-01-25      | Variable      | 8.65%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520000 | PA      | $2557539.94   | 0.06%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 10 Ltd                                                           | CUSIP: 09090JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3414093.34   | 0.08%             | 2038-01-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD 2024-VICT Mortgage Trust                                                    | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970000 | PA      | $2979281.25   | 0.07%             | 2041-07-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134500 | PA      | $1158809.39   | 0.03%             | 2063-10-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898BC8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.01%             | 2038-10-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320800 | PA      | $1329251.14   | 0.03%             | 2065-01-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | Halseypoint CLO 7 LTD                                                            | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $251614.10    | 0.01%             | 2038-07-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                         | Steele Creek Clo 2017-1 Ltd                                                      | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22509 | PA      | $22513.11     | 0.00%             | 2030-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351691 | PA      | $352569.76    | 0.01%             | 2042-08-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136000 | PA      | $1136000.00   | 0.03%             | 2036-11-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2067000 | PA      | $2080336.49   | 0.05%             | 2068-12-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-1, Ltd.                     | Invesco CLO 2022-1 Ltd                                                           | CUSIP: 460988AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    980000 | PA      | $980372.30    | 0.02%             | 2035-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point Clo 4 Ltd                                                           | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |   2900000 | PA      | $2909996.59   | 0.07%             | 2037-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1794000 | PA      | $1840406.47   | 0.04%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2025-6                                                | CUSIP: 92540YAA7<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |   8922488 | PA      | $8991443.58   | 0.22%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAY0<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001194.00   | 0.02%             | 2030-11-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15766682 | PA      | $287888.57    | 0.01%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AU9<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250709.55    | 0.01%             | 2036-10-17      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    976243 | PA      | $843590.28    | 0.02%             | 2049-07-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012401 | PA      | $834889.03    | 0.02%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage                | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $571929.01    | 0.01%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-V Ltd                                                          | CUSIP: 12554XBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2925000 | PA      | $2934916.04   | 0.07%             | 2038-10-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2815000 | PA      | $2827104.50   | 0.07%             | 2037-10-21      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $731190.19    | 0.02%             | 2038-01-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38384CEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1391789 | PA      | $1116136.98   | 0.03%             | 2065-04-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2025-4 Ltd                                                              | CUSIP: 92946DAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1235000 | PA      | $1238087.25   | 0.03%             | 2038-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | Onemain Financial Issuance Trust 2025-1                                          | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1842000 | PA      | $1863511.98   | 0.04%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2274166 | PA      | $485275.32    | 0.01%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3519780 | PA      | $3523079.99   | 0.08%             | 2042-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO Ltd                       | Bayswater Park CLO Ltd                                                           | CUSIP: 072929AA0<br>LEI: 254900BXH0PMWI87VS84 | Long             | ABS-CBDO         | CORP              | JE        |    660000 | PA      | $662068.70    | 0.02%             | 2037-01-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                     | Rain City Mortgage Trust 2024-RTL1                                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256000 | PA      | $1271499.17   | 0.03%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381JNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    797209 | PA      | $729459.30    | 0.02%             | 2065-05-16      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta               | Greystone CRE Notes 2025-FL4 LLC                                                 | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1731000 | PA      | $1731652.76   | 0.04%             | 2043-01-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4695745 | PA      | $2229810.77   | 0.05%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                | Radian Mortgage Capital Trust 2024-J2                                            | CUSIP: 75023WAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2510552 | PA      | $2511919.94   | 0.06%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2022-FL11 LLC                                                                | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    761664 | PA      | $761659.43    | 0.02%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 10 Ltd                                                      | CUSIP: 25290BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3017639.70   | 0.07%             | 2038-04-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291900 | PA      | $257817.64    | 0.01%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2025-ATRM                                           | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $928540.74    | 0.02%             | 2042-08-15      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-ATH3                                                                   | CUSIP: 12664AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1989000 | PA      | $1981580.63   | 0.05%             | 2067-08-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468274 | PA      | $1487677.79   | 0.04%             | 2054-04-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                 | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2073000 | PA      | $2034765.80   | 0.05%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                      | Hartwick Park CLO Ltd                                                            | CUSIP: 417403AQ5<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2003239.80   | 0.05%             | 2037-01-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740357 | PA      | $1330393.45   | 0.03%             | 2051-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345743 | PA      | $309149.00    | 0.01%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XVI Ltd                                              | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150073 | PA      | $150185.70    | 0.00%             | 2030-07-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001938.90   | 0.02%             | 2029-10-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AS5<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1292322.00   | 0.03%             | 2034-10-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXII                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    581802 | PA      | $582093.27    | 0.01%             | 2033-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2021-BNK35                                                                  | CUSIP: 06540CBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735000 | PA      | $2312556.55   | 0.06%             | 2064-06-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                    | Ashford Hospitality Trust 2018-ASHF                                              | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128000 | PA      | $1120950.00   | 0.03%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431590 | PA      | $173995.40    | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   4380711 | PA      | $4409131.72   | 0.11%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO IX Ltd                                                          | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1293370.77   | 0.03%             | 2037-07-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557571 | PA      | $147084.00    | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust               | BSTN Commercial Mortgage Trust 2025-1C                                           | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4920000 | PA      | $5048996.00   | 0.12%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410496 | PA      | $409988.85    | 0.01%             | 2033-02-15      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR2 Trust                                                   | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2681000 | PA      | $2625328.23   | 0.06%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXIX Ltd                                                        | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $420873.52    | 0.01%             | 2034-07-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                       | Service Experts Issuer 2024-1 LLC                                                | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2043433 | PA      | $2089742.46   | 0.05%             | 2035-11-20      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322000 | PA      | $1319058.95   | 0.03%             | 2038-09-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers                | Retained Vantage Data Centers Issuer LLC                                         | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   6258000 | PA      | $6276284.00   | 0.15%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-1                                           | CUSIP: 170255AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203570 | PA      | $88880.71     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114171 | PA      | $98914.19     | 0.00%             | 2047-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3396124 | PA      | $3400197.38   | 0.08%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                    | BMP 2024-MF23                                                                    | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8720000 | PA      | $8739075.00   | 0.21%             | 2041-06-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099891 | PA      | $1849529.43   | 0.04%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824935 | PA      | $854231.40    | 0.02%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2                | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471064 | PA      | $395531.84    | 0.01%             | 2037-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                      | Warwick Capital CLO 7 Ltd                                                        | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $960000.00    | 0.02%             | 2038-10-21      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939000 | PA      | $889010.55    | 0.02%             | 2034-11-15      | Floating      | 11.35%                | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR4 Trust                                             | CUSIP: 74334JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5640000 | PA      | $5193581.59   | 0.12%             | 2041-07-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2024-7                                                | CUSIP: 924925AG5<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $649571.85    | 0.02%             | 2069-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1201947.36   | 0.03%             | 2037-01-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                     | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306088 | PA      | $439630.03    | 0.01%             | 2035-09-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM3                                           | CUSIP: 06745VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627000 | PA      | $630178.51    | 0.02%             | 2065-05-25      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4439910 | PA      | $1303998.87   | 0.03%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                    | HIH Trust 2024-61P                                                               | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2364609 | PA      | $2372737.41   | 0.06%             | 2041-10-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2171003 | PA      | $2173717.24   | 0.05%             | 2041-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Concord Music Royalties, LLC                 | Concord Music Royalties LLC                                                      | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2133000 | PA      | $2149061.70   | 0.05%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust               | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5756974 | PA      | $5609047.77   | 0.13%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                | NYC Commercial Mortgage Trust 2025-300P                                          | CUSIP: 67121TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782000 | PA      | $790151.65    | 0.02%             | 2042-07-13      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-1 Ltd                                                    | CUSIP: 77342JAA1<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |    527373 | PA      | $528207.69    | 0.01%             | 2031-05-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin               | Pagaya AI Technology in Housing Trust 2023-1                                     | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $840276.40    | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked               | Truist Bank Auto Credit-Linked Notes Series 2025-1                               | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7734000 | PA      | $7721695.21   | 0.19%             | 2033-09-26      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners Static                | Golub Capital Partners Static 2024-1 Ltd                                         | CUSIP: 381929AN8<br>LEI: 25490083RWI1EQQYLH43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250054.05    | 0.01%             | 2035-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520028 | PA      | $520931.69    | 0.01%             | 2033-04-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398047 | PA      | $362862.77    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7625000 | PA      | $7682379.65   | 0.18%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX 2024-PALM                                                                     | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9565962 | PA      | $9580908.35   | 0.23%             | 2037-06-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housin               | Lehman ABS Manufactured Housing Contract Trust 2002-A                            | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346771 | PA      | $345157.63    | 0.01%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878800 | PA      | $888631.84    | 0.02%             | 2064-01-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 12 Ltd                                                                   | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4006802.80   | 0.10%             | 2034-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241500 | PA      | $221189.68    | 0.01%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                         | Elmwood CLO VIII Ltd                                                             | CUSIP: 290021AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $235041.45    | 0.01%             | 2037-04-20      | Floating      | 12.33%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3799173 | PA      | $3360400.69   | 0.08%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-III Ltd                                                        | CUSIP: 12554VBC9<br>LEI: 254900SVOWCOSOG16T40 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1553031.49   | 0.04%             | 2038-01-16      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 46 Ltd                                        | CUSIP: 64134QAL1<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1218219.04   | 0.03%             | 2037-01-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trus               | Durst Commercial Mortgage Trust 2025-151                                         | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3053000 | PA      | $3109536.68   | 0.07%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                     | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1346698 | PA      | $1348104.19   | 0.03%             | 2032-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                | BLP Commercial Mortgage Trust 2023-IND                                           | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1137052 | PA      | $1136697.05   | 0.03%             | 2040-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust         | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194924 | PA      | $48760.64     | 0.00%             | 2036-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894000 | PA      | $931381.89    | 0.02%             | 2041-12-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86500 | PA      | $77529.95     | 0.00%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                     | Mill City Mortgage Loan Trust 2023-NQM1                                          | CUSIP: 59980DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3658889 | PA      | $3661921.81   | 0.09%             | 2067-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 225914AA8<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502171.25    | 0.01%             | 2038-01-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-CM1 Trust                                                              | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241253 | PA      | $227348.06    | 0.01%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378290 | PA      | $375661.46    | 0.01%             | 2060-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 19 Ltd                                                                        | CUSIP: 74983AAL7<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250617.60    | 0.01%             | 2040-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Securities Trust 2006-W2                                                  | CUSIP: 040104RW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535052 | PA      | $298172.82    | 0.01%             | 2036-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180584 | PA      | $180245.94    | 0.00%             | 2048-10-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-2                                    | CUSIP: 39571VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5586000 | PA      | $5636269.53   | 0.14%             | 2060-06-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust               | PKHL Commercial Mortgage Trust 2021-MF                                           | CUSIP: 69356GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $229018.41    | 0.01%             | 2038-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2023-3 Ltd                                                     | CUSIP: 87122FAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004499.90   | 0.02%             | 2037-04-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi               | Freddie Mac Multiclass Certificates Series 2024-P015                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2437000 | PA      | $2433831.66   | 0.06%             | 2032-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                        | Western Alliance Bank                                                            | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   5095941 | PA      | $5326342.80   | 0.13%             | 2059-07-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXIV                                                                  | CUSIP: 03759CAV2<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $340153.03    | 0.01%             | 2030-10-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2015-P1                                      | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382644 | PA      | $369255.40    | 0.01%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-NQM4 Trust                                                             | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2894777 | PA      | $2891364.31   | 0.07%             | 2067-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21031.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                               | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1022964 | PA      | $1030133.32   | 0.02%             | 2036-07-26      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2743917.93   | 0.07%             | 2033-04-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se               | Natixis Commercial Mortgage Securities Trust 2017-75B                            | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1613170.96   | 0.04%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AQ9<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   3360000 | PA      | $3370299.74   | 0.08%             | 2034-10-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                             | BBAM US CLO I Ltd                                                                | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |   1851000 | PA      | $1852839.89   | 0.04%             | 2038-03-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917000 | PA      | $1910376.19   | 0.05%             | 2038-07-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 25 Ltd                                                             | CUSIP: 05876QAS1<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500807.10    | 0.01%             | 2038-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3279320 | PA      | $3286493.87   | 0.08%             | 2040-12-09      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                           | 1301 Trust 2025-AOA                                                              | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17255000 | PA      | $17476357.49  | 0.42%             | 2042-08-11      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei               | Santander Mortgage Asset Receivable Trust 2025-NQM2                              | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3309205 | PA      | $3341716.01   | 0.08%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251052.75    | 0.01%             | 2037-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXX LTD                                                     | CUSIP: 55821TAL1<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |   4410000 | PA      | $4424553.00   | 0.11%             | 2037-07-16      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve               | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24974 | PA      | $17686.20     | 0.00%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BBA5<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250352.53    | 0.01%             | 2030-10-18      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28100000 | PA      | $129979.36    | 0.00%             | 2039-05-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust               | BOCA Commercial Mortgage Trust 2024-BOCA                                         | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2031000 | PA      | $2039885.63   | 0.05%             | 2041-08-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $948357.61    | 0.02%             | 2039-05-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158731 | PA      | $2091270.66   | 0.05%             | 2034-09-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-WFHE2                                         | CUSIP: 17312BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4846630.50   | 0.12%             | 2037-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000024.10   | 0.02%             | 2029-10-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 25 Ltd                                                             | CUSIP: 05876QAQ5<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998310.40    | 0.02%             | 2038-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg               | DBJPM 2017-C6 Mortgage Trust                                                     | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11214000 | PA      | $159944.16    | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2018-15 Ltd                                                              | CUSIP: 67112KAG4<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4508931.60   | 0.11%             | 2038-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL1                   | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1398702 | PA      | $1161456.10   | 0.03%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR1 Trust | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1044278 | PA      | $878012.74    | 0.02%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7463000 | PA      | $7462952.24   | 0.18%             | 2065-06-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5452000 | PA      | $5413096.16   | 0.13%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 225914AE0<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $963235.10    | 0.02%             | 2038-01-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XVIII Ltd                                                       | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1483612.83   | 0.04%             | 2038-10-17      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2020-C                                 | CUSIP: 63941KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1713798 | PA      | $1726283.11   | 0.04%             | 2068-11-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8471000 | PA      | $8481588.75   | 0.20%             | 2042-02-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190949 | PA      | $190949.05    | 0.00%             | 2037-02-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1317761 | PA      | $357283.64    | 0.01%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXVIII LTD                                                          | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $622324.57    | 0.01%             | 2037-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5550000 | PA      | $5672099.45   | 0.14%             | 2032-06-21      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                | 1988 CLO 2 Ltd                                                                   | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2710000 | PA      | $2712685.61   | 0.07%             | 2038-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $652300.87    | 0.02%             | 2037-10-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                | Thornburg Mortgage Securities Trust 2006-3                                       | CUSIP: 885221AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958094 | PA      | $571585.62    | 0.01%             | 2046-06-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2025-5                                                | CUSIP: 92540XAA9<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |   3674693 | PA      | $3702403.14   | 0.09%             | 2070-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-5MW                                          | CUSIP: 088921AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2599000 | PA      | $2592668.32   | 0.06%             | 2042-10-10      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1851936.60   | 0.04%             | 2041-04-17      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426000 | PA      | $1428228.13   | 0.03%             | 2037-05-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 19 Ltd                                                              | CUSIP: 37150JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250886.53    | 0.01%             | 2036-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAA8<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |   1060000 | PA      | $1064056.20   | 0.03%             | 2037-10-17      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-20 Ltd                                                              | CUSIP: 670859AQ0<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $371605.84    | 0.01%             | 2037-04-18      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945000 | PA      | $1963029.18   | 0.05%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | Cbam 2018-7 Ltd                                                                  | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500425.00    | 0.01%             | 2031-07-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879000 | PA      | $906922.40    | 0.02%             | 2039-11-05      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I2                                                                | CUSIP: 12570HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655530 | PA      | $660219.81    | 0.02%             | 2067-12-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1432047 | PA      | $1196672.12   | 0.03%             | 2047-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4430000 | PA      | $4496716.69   | 0.11%             | 2032-08-20      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                  | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $10306.80     | 0.00%             | 2049-08-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1632092 | PA      | $1518325.80   | 0.04%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    790000 | PA      | $792382.80    | 0.02%             | 2037-10-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                  | HOMES 2025-NQM2 Trust                                                            | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15009898 | PA      | $15093555.83  | 0.36%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2023-1                                                   | CUSIP: 61945VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201974 | PA      | $192544.57    | 0.00%             | 2053-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                      | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5251855 | PA      | $5223180.55   | 0.13%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2224540 | PA      | $1929591.45   | 0.05%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO IV Ltd                                               | CUSIP: 08180FCG4<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501250.00    | 0.01%             | 2038-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4    | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $399365.05    | 0.01%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019509 | PA      | $1029570.63   | 0.02%             | 2064-06-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                             | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105277 | PA      | $101354.11    | 0.00%             | 2037-01-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos Clo Lii                                                                   | CUSIP: 03771NAA8<br>LEI: 254900XJH54T9O9TH452 | Long             | ABS-CBDO         | CORP              | KY        |   2290000 | PA      | $2292496.10   | 0.05%             | 2038-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2730000 | PA      | $2732511.60   | 0.07%             | 2030-10-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | TRK 2021-INV1 Trust                                                              | CUSIP: 89688WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657000 | PA      | $544509.91    | 0.01%             | 2056-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2023-1                                                                      | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2590907.54   | 0.06%             | 2068-02-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                | American Home Mortgage Assets Trust 2007-1                                       | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30680 | PA      | $10526.82     | 0.00%             | 2047-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4057000 | PA      | $4078841.27   | 0.10%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6747000 | PA      | $6755433.75   | 0.16%             | 2041-10-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1946000 | PA      | $1956004.97   | 0.05%             | 2039-09-19      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2025-NQM4                                    | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2514624 | PA      | $2532947.44   | 0.06%             | 2065-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2018-KW05 Trust                                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3817900.32   | 0.09%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO Ltd                                                  | CUSIP: 08182DAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1460000 | PA      | $1462206.35   | 0.04%             | 2038-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VII Ltd.                         | Elmwood CLO VII Ltd                                                              | CUSIP: 29002QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1214149.09   | 0.03%             | 2037-10-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2830645.20   | 0.07%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                  | Wireless PropCo Funding LLC                                                      | CUSIP: 97655EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4744000 | PA      | $4847420.62   | 0.12%             | 2055-06-25      | Fixed         | 8.51%                 | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                               | Milos CLO Ltd                                                                    | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |   1608450 | PA      | $1609498.32   | 0.04%             | 2030-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV2                                           | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2204000 | PA      | $2045692.63   | 0.05%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884300 | PA      | $771576.33    | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                          | Eaton Vance CLO 2013-1 Ltd                                                       | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   2110000 | PA      | $2119236.95   | 0.05%             | 2038-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-3 Ltd                                                              | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    152698 | PA      | $152696.78    | 0.00%             | 2031-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                           | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107873 | PA      | $99986.52     | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11446000 | PA      | $118434.05    | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540653 | PA      | $486442.46    | 0.01%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2921705 | PA      | $1370575.73   | 0.03%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408211 | PA      | $189887.64    | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39022 | PA      | $14470.38     | 0.00%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1377734 | PA      | $1371328.41   | 0.03%             | 2037-02-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4242000 | PA      | $4226881.09   | 0.10%             | 2065-06-22      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                     | NRTH Commercial Mortgage Trust 2025-PARK                                         | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2809000 | PA      | $2801977.50   | 0.07%             | 2040-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5330643.45   | 0.13%             | 2038-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6217990 | PA      | $4255018.44   | 0.10%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo               | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387800 | PA      | $335195.98    | 0.01%             | 2046-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4961000 | PA      | $4971806.05   | 0.12%             | 2033-06-10      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd                               | Octagon 75 Ltd                                                                   | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000984.60   | 0.02%             | 2038-01-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2025-4 Ltd                                                     | CUSIP: 696916AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2654917.01   | 0.06%             | 2038-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-B                                          | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1478236 | PA      | $1389097.08   | 0.03%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | HalseyPoint CLO 4 Ltd                                                            | CUSIP: 40637LAA8<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $921352.40    | 0.02%             | 2034-04-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-5MW                                          | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3315000 | PA      | $3304739.41   | 0.08%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $109325.33    | 0.00%             | 2051-06-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780663 | PA      | $721039.63    | 0.02%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1603931 | PA      | $1603577.38   | 0.04%             | 2061-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2018-C46                                   | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3740000 | PA      | $3714277.40   | 0.09%             | 2051-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak II Ltd                                                            | CUSIP: 80013TAQ6<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $1625669.68   | 0.04%             | 2038-07-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                      | Regatta VII Funding Ltd                                                          | CUSIP: 75888ABJ4<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250592.48    | 0.01%             | 2034-06-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trus               | Spruce Hill Mortgage Loan Trust 2022-SH1                                         | CUSIP: 85213XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659825 | PA      | $635969.40    | 0.02%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13138 | PA      | $11443.70     | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2024-H7 Mortgage Trust                                                     | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9682779 | PA      | $9756087.55   | 0.23%             | 2069-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust               | HarborView Mortgage Loan Trust 2007-3                                            | CUSIP: 41164UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999671 | PA      | $795881.74    | 0.02%             | 2037-05-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723000 | PA      | $447071.89    | 0.01%             | 2045-01-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277782 | PA      | $1121105.00   | 0.03%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B21 Mortgage Trust                                                | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769000 | PA      | $676562.36    | 0.02%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098000 | PA      | $1026713.67   | 0.02%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |     26924 | PA      | $26932.52     | 0.00%             | 2030-04-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4333000 | PA      | $4359143.16   | 0.10%             | 2068-03-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                     | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1634271 | PA      | $1592684.34   | 0.04%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2023-PL1                                               | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550433 | PA      | $1572000.47   | 0.04%             | 2053-11-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                   | AMSR 2021-SFR2 Trust                                                             | CUSIP: 00179VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3756200 | PA      | $3681666.47   | 0.09%             | 2038-08-17      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Education Loan Trust 2010-C                                          | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |   2056774 | PA      | $2156744.53   | 0.05%             | 2041-10-15      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBY6<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |   3720000 | PA      | $3739454.86   | 0.09%             | 2038-07-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWABS Revolving Home Equity Loan Trust Series 2004-U                             | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7139 | PA      | $7132.22      | 0.00%             | 2034-03-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511900 | PA      | $522032.75    | 0.01%             | 2064-01-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                            | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $1092907.30   | 0.03%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014-II-R Ltd                                                       | CUSIP: 12548RAH7<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10029630.00  | 0.24%             | 2037-10-24      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22456 | PA      | $7526.74      | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $789507.70    | 0.02%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLVIII Ltd                                                  | CUSIP: 55821WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500856.60    | 0.01%             | 2033-04-19      | Floating      | 10.84%                | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T               | Ready Capital Mortgage Financing 2023-FL11 LLC                                   | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16861 | PA      | $16851.57     | 0.00%             | 2039-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788800 | PA      | $1425351.62   | 0.03%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                        | Terwin Mortgage Trust Series TMTS 2005-10HE                                      | CUSIP: 881561VF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256773 | PA      | $235941.25    | 0.01%             | 2036-06-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969000 | PA      | $2020729.37   | 0.05%             | 2036-09-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                              | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2668512.00   | 0.06%             | 2037-07-17      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-RTL1                                 | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $16169073.60  | 0.39%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2022-NQM1                                           | CUSIP: 06744DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2855096 | PA      | $2841405.92   | 0.07%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-EC1                            | CUSIP: 07387UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428198 | PA      | $1405703.60   | 0.03%             | 2035-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-C LLC                                             | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2738188 | PA      | $2586088.30   | 0.06%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo I Ltd                                                               | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   5076790 | PA      | $5080784.42   | 0.12%             | 2036-07-24      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                  | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2061000 | PA      | $1669695.04   | 0.04%             | 2039-01-05      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                           | 1301 Trust 2025-AOA                                                              | CUSIP: 682461AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232000 | PA      | $1240685.48   | 0.03%             | 2042-08-11      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock Clo 29 Ltd                                                             | CUSIP: 05876GAA2<br>LEI: 254900DD7OSYIC2KWA70 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250434.80    | 0.01%             | 2038-07-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo II Ltd                                                              | CUSIP: 96466CBA5<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $411418.64    | 0.01%             | 2037-10-24      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                              | First NLC Trust 2007-1                                                           | CUSIP: 32115BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700541 | PA      | $350869.77    | 0.01%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd                    | Regatta XXIII Funding Ltd                                                        | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840000 | PA      | $841580.88    | 0.02%             | 2035-01-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus               | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2393399.84   | 0.06%             | 2040-07-15      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2020-SPT1 Trust                                                             | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8400000 | PA      | $7184141.16   | 0.17%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1399706.40   | 0.03%             | 2039-05-10      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-22T1                                                 | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981618 | PA      | $870595.67    | 0.02%             | 2035-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate Clo 13 Ltd                                                              | CUSIP: 370918AA2<br>LEI: 549300OHYOREA2V0F579 | Long             | ABS-CBDO         | CORP              | JE        |   1360000 | PA      | $1363112.36   | 0.03%             | 2037-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2948000 | PA      | $2950505.80   | 0.07%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RATED NOTES ISSUER               | LENDINGCLUB RATED NOTES ISSUER TRUST SERIES 2025-P2                              | CUSIP: 525949AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762000 | PA      | $767175.89    | 0.02%             | 2035-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14135 | PA      | $11573.40     | 0.00%             | 2036-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                              | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAQ0<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $4663251.11   | 0.11%             | 2037-07-17      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676575 | PA      | $1851109.62   | 0.04%             | 2060-03-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 3 LLC                                  | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163334 | PA      | $152803.08    | 0.00%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1512000 | PA      | $1513873.82   | 0.04%             | 2041-10-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2024-NSTB                                         | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215959 | PA      | $2179594.46   | 0.05%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                      | Regatta 30 Funding Ltd                                                           | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $1516097.83   | 0.04%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593250 | PA      | $162903.66    | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RMIT_21-3                                    | RMIT_21-3                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10210000 | PA      | $9891448.00   | 0.24%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| PGA National Resort Commercial               | PGA Trust 2024-RSR2                                                              | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1754000 | PA      | $1754000.00   | 0.04%             | 2039-06-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2018-2                                                   | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.03    | 0.01%             | 2031-07-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-3                                    | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466285 | PA      | $393044.77    | 0.01%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680200 | PA      | $592161.71    | 0.01%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                 | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711882 | PA      | $606431.13    | 0.01%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426000 | PA      | $3426000.00   | 0.08%             | 2038-07-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4474000 | PA      | $4558405.14   | 0.11%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   3902469 | PA      | $3815913.86   | 0.09%             | 2066-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884670 | PA      | $885840.30    | 0.02%             | 2054-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3454000 | PA      | $3466952.50   | 0.08%             | 2042-02-15      | Floating      | 9.40%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                          | DBGS 2024-SBL                                                                    | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3719000 | PA      | $3730621.88   | 0.09%             | 2034-08-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                          | BHMS Commercial Mortgage Trust 2025-ATLS                                         | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4165000 | PA      | $4176739.05   | 0.10%             | 2042-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2024-PMDW                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $651566.78    | 0.02%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 13 Ltd                                                           | CUSIP: 09090QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3070000 | PA      | $3078014.24   | 0.07%             | 2038-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1954069 | PA      | $1672071.71   | 0.04%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4157000 | PA      | $4184186.36   | 0.10%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176000 | PA      | $1208439.25   | 0.03%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251132.43    | 0.01%             | 2037-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37900010 | PA      | $796601.37    | 0.02%             | 2062-11-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2014-R2 Trust                                            | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6906228 | PA      | $2364055.17   | 0.06%             | 2036-11-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1148889.91   | 0.03%             | 2064-12-26      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-NQM1                                                                   | CUSIP: 126407AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3299166 | PA      | $2646752.62   | 0.06%             | 2065-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | C-BASS 2006-CB9 TRUST                                                            | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170183 | PA      | $76927.77     | 0.00%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAW7<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251155.03    | 0.01%             | 2037-10-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXV Ltd                                                    | CUSIP: 55819MAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $720360.07    | 0.02%             | 2032-04-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002764.60   | 0.02%             | 2037-07-23      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                     | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2626892 | PA      | $1271720.31   | 0.03%             | 2047-01-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                   | Regatta XXVII Funding Ltd                                                        | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |   2040000 | PA      | $2049626.76   | 0.05%             | 2037-04-26      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO 10 Ltd                                                           | CUSIP: 22846FAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $511213.85    | 0.01%             | 2034-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP Clo 2019-17 Ltd                                                              | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1685213.88   | 0.04%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1779042 | PA      | $1797158.26   | 0.04%             | 2064-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-AC1                            | CUSIP: 07387UCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112967 | PA      | $117615.80    | 0.00%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG 2024-MSP Mortgage Trust                                                      | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8372000 | PA      | $8377229.15   | 0.20%             | 2041-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 4 Ltd                                                         | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672222.19    | 0.02%             | 2038-01-22      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2021-INV1 Trust                                                              | CUSIP: 552747AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $667707.88    | 0.02%             | 2056-01-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630676 | PA      | $350012.30    | 0.01%             | 2060-12-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas Clo VII Ltd                                                             | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |   2344466 | PA      | $2344910.28   | 0.06%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-99200.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9610330 | PA      | $8448789.76   | 0.20%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1318285 | PA      | $1324984.77   | 0.03%             | 2054-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $737155.38    | 0.02%             | 2050-10-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8457000 | PA      | $8492330.81   | 0.20%             | 2042-06-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                  | RCKT Mortgage Trust 2024-CES8                                                    | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3523848 | PA      | $3553083.51   | 0.09%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2906591.24   | 0.07%             | 2036-09-22      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| BEECH                                        | BEECH                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |   2121173 | PA      | $2490363.02   | 0.06%             | 2027-05-17      | Floating      | 5.62%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162550 | PA      | $74124.40     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-9                                            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1912678 | PA      | $592642.92    | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $692297.70    | 0.02%             | 2037-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4768621 | PA      | $4820598.71   | 0.12%             | 2056-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST6                                   | CUSIP: 91533QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2495000 | PA      | $2497231.03   | 0.06%             | 2032-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2770000 | PA      | $2389736.34   | 0.06%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1203636.24   | 0.03%             | 2037-10-19      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                           | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099000 | PA      | $2068503.00   | 0.05%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2291419 | PA      | $2308460.33   | 0.06%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $133316.55    | 0.00%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3959916.80   | 0.09%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                          | Eaton Vance CLO 2014-1R Ltd                                                      | CUSIP: 27830TAC9<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250296.53    | 0.01%             | 2030-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1342113.58   | 0.03%             | 2036-04-17      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd                             | BSPDF 2025-FL2 Issuer LLC                                                        | CUSIP: 05615KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1212000 | PA      | $1211777.96   | 0.03%             | 2042-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                            | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4901047.00   | 0.12%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                               | AGL CLO 13 Ltd                                                                   | CUSIP: 00120JAN3<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2661809.33   | 0.06%             | 2034-10-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316000 | PA      | $318439.39    | 0.01%             | 2041-10-15      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                       | Taco Bell Funding LLC                                                            | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7703000 | PA      | $7719091.57   | 0.19%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 5 Ltd                                                  | CUSIP: 94957NAA3<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1363726.26   | 0.03%             | 2038-10-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 17 Ltd                                                        | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |   2140000 | PA      | $2147169.00   | 0.05%             | 2037-04-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                      | Loanpal Solar Loan 2021-2 Ltd                                                    | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2816104 | PA      | $2291101.63   | 0.05%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 26 Ltd                                         | CUSIP: 38139QAG1<br>LEI: 254900C5OE1SRC894D90 | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4769379.53   | 0.11%             | 2038-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XX Ltd                                                              | CUSIP: 87166VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $642393.66    | 0.02%             | 2032-01-16      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 9 LTD                                                               | CUSIP: 37147LAN9<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |   1867592 | PA      | $1873070.95   | 0.04%             | 2038-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  91390728 | PA      | $286848.08    | 0.01%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE5                            | CUSIP: 07388CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146286 | PA      | $2107194.45   | 0.05%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2024-1 Ltd                                            | CUSIP: 69703NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1149494.00   | 0.03%             | 2032-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 5 Ltd                                                  | CUSIP: 94957NAC9<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1754305.70   | 0.04%             | 2038-10-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                            | Riserva Clo Ltd                                                                  | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1100899.25   | 0.03%             | 2034-01-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320467 | PA      | $239763.19    | 0.01%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2628000 | PA      | $2647168.11   | 0.06%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3994885 | PA      | $4054818.75   | 0.10%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1476644.85   | 0.04%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8380000 | PA      | $7506745.34   | 0.18%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130523 | PA      | $2150724.54   | 0.05%             | 2065-01-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1215784 | PA      | $482554.26    | 0.01%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33208449 | PA      | $899032.42    | 0.02%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-LBA                                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593898 | PA      | $593526.95    | 0.01%             | 2036-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-WL3                                          | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2695535 | PA      | $2433158.08   | 0.06%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2283700 | PA      | $1858083.18   | 0.04%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXIX Ltd                                                             | CUSIP: 03766HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5002481.00   | 0.12%             | 2035-04-21      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer, Ltd.                        | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1340000 | PA      | $1342485.16   | 0.03%             | 2042-08-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo               | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    719098 | PA      | $730639.63    | 0.02%             | 2040-12-28      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612000 | PA      | $618317.55    | 0.01%             | 2031-06-16      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-VI Ltd                                                         | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4080000 | PA      | $4099497.10   | 0.10%             | 2037-07-16      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2015-C                                          | CUSIP: 78448RAE6<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |    306972 | PA      | $306017.17    | 0.01%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236000 | PA      | $1007607.22   | 0.02%             | 2058-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298686 | PA      | $281167.60    | 0.01%             | 2052-06-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18278146 | PA      | $48193.99     | 0.00%             | 2032-02-10      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV3                                                                   | CUSIP: 26847NAA9<br>LEI: 254900C1B6ZW3SK54M36 | Long             | ABS-MBS          | CORP              | US        |   5017891 | PA      | $5048845.73   | 0.12%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1243820 | PA      | $953844.36    | 0.02%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397000 | PA      | $396379.69    | 0.01%             | 2039-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1951923.68   | 0.05%             | 2038-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | CarVal CLO VC Ltd                                                                | CUSIP: 14687LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1252824.50   | 0.03%             | 2034-10-15      | Floating      | 11.33%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4603791 | PA      | $4578643.84   | 0.11%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                   | SDAL Trust 2025-DAL                                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651000 | PA      | $1664873.02   | 0.04%             | 2042-04-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $350636.20    | 0.01%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-2 Ltd                                                              | CUSIP: 92917JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     92960 | PA      | $93071.85     | 0.00%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2024-VIS1                                        | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010221.10   | 0.02%             | 2064-07-25      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2024-5 Ltd                                                     | CUSIP: 87122YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2150000 | PA      | $2155977.00   | 0.05%             | 2036-04-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                             | SpringCastle America Funding LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665598 | PA      | $630259.82    | 0.02%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4431443.88   | 0.11%             | 2036-06-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3313000 | PA      | $3288845.25   | 0.08%             | 2062-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-22                                    | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467215 | PA      | $460042.67    | 0.01%             | 2047-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 35 Ltd                                                                   | CUSIP: 48254LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001190.60   | 0.02%             | 2038-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak II Ltd                                                            | CUSIP: 80013TAL7<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |   3050000 | PA      | $3063728.05   | 0.07%             | 2038-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386000 | PA      | $341469.03    | 0.01%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |    777062 | PA      | $777187.73    | 0.02%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp                                                 | CUSIP: 86359DRU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1387760 | PA      | $1311227.58   | 0.03%             | 2035-07-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-1                                            | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4086316 | PA      | $3884742.50   | 0.09%             | 2037-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2021-2 Ltd                                                              | CUSIP: 92919AAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811271.86    | 0.02%             | 2038-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3484061 | PA      | $3492874.73   | 0.08%             | 2041-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3790000 | PA      | $3798290.63   | 0.09%             | 2041-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2340166.00   | 0.06%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LVII Ltd                                                    | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250249.75    | 0.01%             | 2034-07-27      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                            | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2912371.20   | 0.07%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 36 Ltd                           | Elmwood CLO 36 Ltd                                                               | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1483000 | PA      | $1488531.74   | 0.04%             | 2037-10-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Partners XVI                                                          | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5340259 | PA      | $5360699.38   | 0.13%             | 2037-10-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2019-J2                                                                | CUSIP: 12558TBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820916 | PA      | $671507.20    | 0.02%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO 2024-NQM6                                                                  | CUSIP: 05613JAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $252760.35    | 0.01%             | 2064-08-01      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | Aimco CLO 11 Ltd                                                                 | CUSIP: 00140NAY6<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   2180000 | PA      | $2188370.76   | 0.05%             | 2037-07-17      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | Bankers Healthcare Group Securitization Trust 2020-A                             | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940000 | PA      | $1938084.25   | 0.05%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates               | WaMu Asset-Backed Certificates WaMu Series 2007-HE3 Trust                        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94791 | PA      | $84235.57     | 0.00%             | 2037-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $944852.40    | 0.02%             | 2052-10-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 4 Ltd                                                  | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |   1520000 | PA      | $1520779.76   | 0.04%             | 2038-04-18      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-4                                                    | CUSIP: 362334FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635929 | PA      | $440677.55    | 0.01%             | 2036-03-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset               | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                  | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11040 | PA      | $10643.04     | 0.00%             | 2034-07-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-1 Ltd                                                    | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500689.15    | 0.01%             | 2034-04-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                     | SoFi Personal Loan Trust 2023-1                                                  | CUSIP: 78474NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1672194 | PA      | $1694750.69   | 0.04%             | 2030-11-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2506100.25   | 0.06%             | 2036-04-17      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 2 Ltd                                                            | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    630000 | PA      | $632253.01    | 0.02%             | 2037-10-19      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                     | OBX 2019-EXP1 Trust                                                              | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |     37939 | PA      | $37596.03     | 0.00%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 52(               | Golub Capital Partners CLO 52 B R Ltd                                            | CUSIP: 381945AC8<br>LEI: 254900GLBB9HMWF4NZ09 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010079.80   | 0.05%             | 2037-04-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2025-ATRM                                           | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2336000 | PA      | $2335489.58   | 0.06%             | 2042-08-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2025-NQM3 Trust                                                              | CUSIP: 58004LAA5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   5074960 | PA      | $5091761.78   | 0.12%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42517 | PA      | $39986.97     | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196295 | PA      | $60881.84     | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1013306.25   | 0.02%             | 2038-11-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-37065.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2329979 | PA      | $2847610.50   | 0.07%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Tr               | Nationstar Home Equity Loan Trust 2007-B                                         | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $366344.97    | 0.01%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28280000 | PA      | $29243120.65  | 0.70%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2084264 | PA      | $614878.84    | 0.01%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381PXY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1705561 | PA      | $1697165.63   | 0.04%             | 2065-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                    | Regatta XXIV Funding Ltd                                                         | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1084323.67   | 0.03%             | 2038-01-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                          | 522 Funding CLO 2018-3A Ltd                                                      | CUSIP: 33835NAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501031.65    | 0.01%             | 2031-10-20      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2023-H2 Mortgage Trust                                                     | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185180 | PA      | $1203766.09   | 0.03%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                   | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3298000 | PA      | $3451671.63   | 0.08%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2020-BNK28                                                                  | CUSIP: 06540YAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29819566 | PA      | $1286105.95   | 0.03%             | 2063-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                    | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2157937 | PA      | $1981327.45   | 0.05%             | 2046-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127000 | PA      | $1063206.95   | 0.03%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loa               | Harvest Commercial Capital Loan Trust 2020-1                                     | CUSIP: 41754FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669000 | PA      | $663568.19    | 0.02%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $579881.25    | 0.01%             | 2034-09-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC                        | Coinstar Funding LLC Series 2017-1                                               | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520222 | PA      | $481205.81    | 0.01%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AN6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250270.65    | 0.01%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2017-C5                               | CUSIP: 46590TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $143880.00    | 0.00%             | 2050-03-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1979000 | PA      | $1787029.28   | 0.04%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2025-ATRM                                           | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4960000 | PA      | $4952014.90   | 0.12%             | 2042-08-15      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                           | Kings Park CLO Ltd                                                               | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811215.00    | 0.02%             | 2035-01-21      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2060000 | PA      | $2061661.80   | 0.05%             | 2037-10-19      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2006-SA4 Trust                                                      | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186860 | PA      | $157518.46    | 0.00%             | 2036-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-2                                    | CUSIP: 39571VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1828000 | PA      | $1855569.71   | 0.04%             | 2060-06-25      | Fixed         | 7.79%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos Clo Xxv                                                                   | CUSIP: 03762YBH9<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4512556.35   | 0.11%             | 2037-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman CLO XXI Ltd                                                     | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5020017.00   | 0.12%             | 2039-01-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2896895 | PA      | $2903232.02   | 0.07%             | 2042-08-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097683 | PA      | $939861.37    | 0.02%             | 2037-03-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2005-A4                                                 | CUSIP: 466247RX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173398 | PA      | $167263.13    | 0.00%             | 2035-07-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $390877.50    | 0.01%             | 2038-01-19      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2023-NQM6                                        | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1516578.30   | 0.04%             | 2063-09-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1707000 | PA      | $1638642.33   | 0.04%             | 2067-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4630000 | PA      | $4346871.33   | 0.10%             | 2032-04-20      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-2R Ltd                                 | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |    234862 | PA      | $234968.00    | 0.01%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| OPEN Trust                                   | OPEN Trust 2023-AIR                                                              | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233979 | PA      | $233979.42    | 0.01%             | 2040-11-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Generate CLO 8 Ltd.                          | Generate CLO 8 Ltd                                                               | CUSIP: 37148EAN4<br>LEI: 2549002O2LJ1LE1W2D54 | Long             | ABS-CBDO         | CORP              | KY        |   4990000 | PA      | $5005392.65   | 0.12%             | 2038-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2017-C39                                   | CUSIP: 95000XAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $942814.40    | 0.02%             | 2050-09-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2386500 | PA      | $2453315.56   | 0.06%             | 2065-05-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy 33 CLO Ltd                                                                | CUSIP: 36321EAL9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1909709.19   | 0.05%             | 2037-04-20      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAQ7<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |    302309 | PA      | $302549.53    | 0.01%             | 2031-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165791 | PA      | $982162.61    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                       | Conseco Finance Corp                                                             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16471 | PA      | $16708.92     | 0.00%             | 2028-11-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                         | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7266358 | PA      | $7308027.44   | 0.18%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2259831 | PA      | $1724302.58   | 0.04%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 32 LTD /old                                                                   | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11850000 | PA      | $11896265.96  | 0.29%             | 2039-10-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-40 Ltd                                                              | CUSIP: 67570FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2720000 | PA      | $2722085.70   | 0.07%             | 2038-04-16      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                             | Owl Rock CLO VII LLC                                                             | CUSIP: 69121BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $457700.00    | 0.01%             | 2038-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2205641 | PA      | $1906531.98   | 0.05%             | 2035-09-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                      | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1635852.03   | 0.04%             | 2038-03-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3646000 | PA      | $3671500.49   | 0.09%             | 2055-05-17      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo               | Structured Asset Investment Loan Trust 2004-10                                   | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69451 | PA      | $77734.54     | 0.00%             | 2034-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1447089.06   | 0.03%             | 2039-11-05      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 12 Ltd                                                          | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3710000 | PA      | $3719275.00   | 0.09%             | 2038-10-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2019-2 Ltd                                                    | CUSIP: 77341GAU4<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1749650.00   | 0.04%             | 2032-08-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS               | Stream Innovations 2025-1 Issuer Trust                                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3017315 | PA      | $3045367.55   | 0.07%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996280.20   | 0.05%             | 2037-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3660171 | PA      | $3663602.18   | 0.09%             | 2039-02-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KAY9<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   6670000 | PA      | $6679131.23   | 0.16%             | 2034-10-27      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| VRTX Trust                                   | VRTX Trust 2025-HQ                                                               | CUSIP: 91835XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1530000 | PA      | $1545178.67   | 0.04%             | 2042-08-05      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2019-B                                          | CUSIP: 83192CAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1126854 | PA      | $1106109.44   | 0.03%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 7 Ltd                                                           | CUSIP: 64754YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000987.00   | 0.02%             | 2038-03-31      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154287 | PA      | $151934.57    | 0.00%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding Corp                                                     | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   2050789 | PA      | $1757005.99   | 0.04%             | 2036-03-27      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2172361 | PA      | $2100276.39   | 0.05%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4072000 | PA      | $4167670.42   | 0.10%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                          | Sound Point CLO IX Ltd                                                           | CUSIP: 83609GBQ7<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2504675.00   | 0.06%             | 2032-07-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| BARDOT CLO LTD                               | Bardot CLO Ltd                                                                   | CUSIP: 06744NBQ9<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |   1150083 | PA      | $1150504.19   | 0.03%             | 2032-10-22      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730555 | PA      | $735760.82    | 0.02%             | 2064-01-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5590000 | PA      | $4814301.41   | 0.12%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAY2<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500600.05    | 0.01%             | 2036-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1397902 | PA      | $1398765.08   | 0.03%             | 2030-10-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856000 | PA      | $838491.72    | 0.02%             | 2036-06-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust               | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5730000 | PA      | $5744325.00   | 0.14%             | 2041-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-IV Ltd                                                         | CUSIP: 12575MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $542748.60    | 0.01%             | 2038-10-24      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1853566.60   | 0.04%             | 2041-04-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249893.15    | 0.01%             | 2032-05-29      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4677553 | PA      | $4676088.48   | 0.11%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447461 | PA      | $442762.97    | 0.01%             | 2037-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2                         | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6144641 | PA      | $6189027.84   | 0.15%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $510520.15    | 0.01%             | 2037-07-23      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    779397 | PA      | $702583.95    | 0.02%             | 2063-09-16      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust               | PENN Commercial Mortgage Trust 2025-P11                                          | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2087000 | PA      | $2124047.17   | 0.05%             | 2042-08-10      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    252075 | PA      | $252387.60    | 0.01%             | 2031-04-19      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-1                                                    | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1453110.43   | 0.03%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2006-HE4                                                             | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2514023.63   | 0.06%             | 2036-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2021-2 Ltd                                                           | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1950206.70   | 0.05%             | 2035-01-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172402 | PA      | $63334.38     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1911600 | PA      | $1503462.89   | 0.04%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                 | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655582 | PA      | $654762.03    | 0.02%             | 2038-11-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2023-AFC1 Trust                                                            | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4666000 | PA      | $4680411.87   | 0.11%             | 2058-02-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1904000 | PA      | $1936063.36   | 0.05%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4841165 | PA      | $4139323.32   | 0.10%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2022-AFC1 Trust                                                            | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373372 | PA      | $371396.75    | 0.01%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-4                                            | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3783043 | PA      | $3566002.56   | 0.09%             | 2037-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787004 | PA      | $1400060.67   | 0.03%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 76 CLO Ltd                                                                | CUSIP: 26252WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $621693.41    | 0.01%             | 2037-10-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6301248 | PA      | $6299278.86   | 0.15%             | 2042-03-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7583000 | PA      | $7593744.35   | 0.18%             | 2041-11-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12845000 | PA      | $386032.07    | 0.01%             | 2029-06-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2765545 | PA      | $2774187.18   | 0.07%             | 2039-02-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                 | MERIT Securities Corp                                                            | CUSIP: 589962CW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    833158 | PA      | $814340.74    | 0.02%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456000 | PA      | $461296.67    | 0.01%             | 2038-06-16      | Fixed         | 13.31%                | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE3 Trust         | CUSIP: 93934MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5339445 | PA      | $5184294.74   | 0.12%             | 2036-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1522000 | PA      | $1405756.79   | 0.03%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-1                                                | CUSIP: 92537QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2385051.60   | 0.06%             | 2066-01-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                      | OHA Credit Partners XI Ltd                                                       | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |   3344719 | PA      | $3357887.16   | 0.08%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4144 | PA      | $3927.45      | 0.00%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H4 Mortgage Trust                                                     | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6141949 | PA      | $6197818.22   | 0.15%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2004663 | PA      | $2053100.27   | 0.05%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4243066 | PA      | $4030284.69   | 0.10%             | 2037-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5070000 | PA      | $5085486.82   | 0.12%             | 2037-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6778201 | PA      | $6607786.15   | 0.16%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2020-3 Ltd                                                     | CUSIP: 69701RAY3<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |    960000 | PA      | $961711.49    | 0.02%             | 2036-11-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1174655.55   | 0.03%             | 2058-07-15      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort               | First Horizon Alternative Mortgage Securities Trust 2006-AA7                     | CUSIP: 32052CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537293 | PA      | $1990120.80   | 0.05%             | 2037-01-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    191978 | PA      | $184006.56    | 0.00%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust               | ARES1 2024-IND2                                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9250000 | PA      | $9255781.25   | 0.22%             | 2034-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2162620 | PA      | $1825044.66   | 0.04%             | 2051-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8781323 | PA      | $8827008.56   | 0.21%             | 2031-06-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                    | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3655400 | PA      | $3611407.99   | 0.09%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                           | Elmwood CLO I Ltd                                                                | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251258.75    | 0.01%             | 2037-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3659194.76   | 0.09%             | 2062-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | TRINITAS CLO IV LTD                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250202.48    | 0.01%             | 2031-10-18      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746955 | PA      | $347461.06    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2318693.76   | 0.06%             | 2050-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                        | QTS Issuer ABS II LLC                                                            | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7517000 | PA      | $7485287.66   | 0.18%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8450000 | PA      | $7548961.29   | 0.18%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                         | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500936.95    | 0.01%             | 2030-10-15      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |   7920000 | PA      | $7926353.42   | 0.19%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2023-19 Ltd                                                  | CUSIP: 11765AAQ2<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $720506.95    | 0.02%             | 2038-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3068697.10   | 0.07%             | 2067-02-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1897843.88   | 0.05%             | 2037-10-19      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2014-C                                             | CUSIP: 17323GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317000 | PA      | $315768.99    | 0.01%             | 2054-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2475000 | PA      | $2499750.00   | 0.06%             | 2027-06-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark WM-R Ltd                                                                  | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    854390 | PA      | $855582.13    | 0.02%             | 2031-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5943132 | PA      | $5938721.84   | 0.14%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2018-K74 Mortgage Trust                                                    | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $2117918.56   | 0.05%             | 2051-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec               | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1504000 | PA      | $1352082.46   | 0.03%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766316 | PA      | $1335778.80   | 0.03%             | 2051-08-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078AW3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1103500.64   | 0.03%             | 2037-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) L               | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   5996394 | PA      | $6081893.96   | 0.15%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-3                                    | CUSIP: 92262RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210367 | PA      | $2249767.29   | 0.05%             | 2055-06-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5309930 | PA      | $5307047.86   | 0.13%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 9 Ltd                                          | CUSIP: 38138JAW3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $759957.75    | 0.02%             | 2037-04-20      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5801867 | PA      | $5198670.75   | 0.12%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1083875.04   | 0.03%             | 2037-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    560000 | PA      | $561848.11    | 0.01%             | 2037-10-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 6 Ltd                                                                    | CUSIP: 75010KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4670000 | PA      | $4686356.68   | 0.11%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                 | SG Mortgage Securities Trust 2006-FRE2                                           | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182169 | PA      | $37411.13     | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2023-1 Ltd                                                     | CUSIP: 69702TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004999.80   | 0.05%             | 2038-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2018-1745                                  | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1095598.61   | 0.03%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2688000 | PA      | $2528396.51   | 0.06%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                  | HIT Trust 2022-HI32                                                              | CUSIP: 40442AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365152 | PA      | $365722.77    | 0.01%             | 2039-07-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27812 | PA      | $26532.20     | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949006 | PA      | $881152.71    | 0.02%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871233 | PA      | $588532.96    | 0.01%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615458 | PA      | $615842.86    | 0.01%             | 2039-02-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5792000 | PA      | $5748560.00   | 0.14%             | 2034-09-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC       | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $4548.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $411967.50    | 0.01%             | 2035-03-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR4 Trust                                             | CUSIP: 74334JAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4577100.00   | 0.11%             | 2041-07-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65906 | PA      | $52793.53     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85561000 | PA      | $530212.96    | 0.01%             | 2062-11-15      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 32 LTD /old                                                                   | CUSIP: 74988CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2690000 | PA      | $2704955.86   | 0.06%             | 2039-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2024-2                                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015146 | PA      | $1017211.83   | 0.02%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                      | Loanpal Solar Loan 2020-2 Ltd                                                    | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    728778 | PA      | $618310.23    | 0.01%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5260000 | PA      | $4984069.87   | 0.12%             | 2037-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                    | BXP Trust 2021-601L                                                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $911561.28    | 0.02%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                    | HIH Trust 2024-61P                                                               | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886728 | PA      | $890330.73    | 0.02%             | 2041-10-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2021-TY                                                                | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5496562.50   | 0.13%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2020-H                                 | CUSIP: 63942AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1880000 | PA      | $1627515.62   | 0.04%             | 2069-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $551105.45    | 0.01%             | 2034-10-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4160000 | PA      | $4157694.53   | 0.10%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And L               | BAY 2025-LIVN Mortgage Trust                                                     | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13237000 | PA      | $13271477.09  | 0.32%             | 2035-05-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1464820 | PA      | $1475058.96   | 0.04%             | 2032-11-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDN1<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1364057.42   | 0.03%             | 2038-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2022-II Ltd                                                        | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $431364.78    | 0.01%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                 | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697000 | PA      | $724819.85    | 0.02%             | 2047-02-10      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy XXVI CLO Ltd                                                              | CUSIP: 36321LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    207434 | PA      | $207471.70    | 0.00%             | 2031-11-22      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1636748.36   | 0.04%             | 2038-01-18      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV3                                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2788437 | PA      | $2619523.52   | 0.06%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3960259 | PA      | $3958314.55   | 0.09%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10813000 | PA      | $10846738.72  | 0.26%             | 2039-06-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306235 | PA      | $313454.14    | 0.01%             | 2054-01-25      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1362597.06   | 0.03%             | 2030-10-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3931482 | PA      | $3935234.80   | 0.09%             | 2056-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649000 | PA      | $642915.63    | 0.02%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 32 Ltd                                                                   | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1590000 | PA      | $1593688.64   | 0.04%             | 2037-07-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAN5<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1508009.55   | 0.04%             | 2037-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                           | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $253173.43    | 0.01%             | 2037-04-18      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XXXIX CLO Ltd                                                               | CUSIP: 04015WBN3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $331042.73    | 0.01%             | 2037-07-18      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXXVIII Ltd                                          | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3570000 | PA      | $3583462.83   | 0.09%             | 2038-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XVI Ltd                                              | CUSIP: 08181VAY1<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $833070.17    | 0.02%             | 2038-01-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I1                                                                | CUSIP: 12570DAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1876000 | PA      | $1864701.60   | 0.04%             | 2058-04-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4224560 | PA      | $693963.35    | 0.02%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2019-5                                                  | CUSIP: 03464KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $380266.69    | 0.01%             | 2049-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV1                                                                   | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |   9497106 | PA      | $9564940.90   | 0.23%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAA9<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2187412.00   | 0.05%             | 2037-10-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2004-WMC1                                              | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81698 | PA      | $69974.64     | 0.00%             | 2035-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622015 | PA      | $620073.03    | 0.01%             | 2033-02-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-NQM3 Trust                                                             | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2291000 | PA      | $2260970.95   | 0.05%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2482971 | PA      | $2480643.06   | 0.06%             | 2038-11-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138RAJ4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1752636.90   | 0.04%             | 2034-10-20      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2015-10 Ltd                                                              | CUSIP: 67092DBD0<br>LEI: 254900FZYL5HDKV64882 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4015085.20   | 0.10%             | 2038-01-26      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fillmore Park CLO, Ltd.                      | Fillmore Park CLO Ltd                                                            | CUSIP: 31722PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250198.28    | 0.01%             | 2030-07-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                | KSLCMT_25-MAK                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5699000 | PA      | $5692388.59   | 0.14%             | 2042-06-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |    951587 | PA      | $907676.86    | 0.02%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $482126.40    | 0.01%             | 2037-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136622 | PA      | $127592.37    | 0.00%             | 2049-03-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-25

**Name of Applicant:** BlackRock Allocation Target Shares

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer