# EDGAR Filing Document

**Accession Number:** 0001552947
**File Stem:** 0000910472-25-006240
**Filing Date:** 2025-12
**Character Count:** 135523
**Document Hash:** 9fc5848ea2f460a79d22fdd434a4629f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-25-006240.hdr.sgml**: 20251229

**ACCESSION NUMBER**: 0000910472-25-006240

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251229

**DATE AS OF CHANGE**: 20251229

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Two Roads Shared Trust
- **CENTRAL INDEX KEY:** 0001552947

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22718
- **FILM NUMBER:** 251607003

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 402-895-1600

**MAIL ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246

## Series and Classes Contracts Data

### Anfield Universal Fixed Income Fund (Series ID: S000040050)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000124329 | Anfield Universal Fixed Income Fund Class A | AFLEX           |
| C000124331 | Anfield Universal Fixed Income Fund Class C | AFLKX           |
| C000124332 | Anfield Universal Fixed Income Fund Class I | AFLIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Two Roads Shared Trust

- **b. Investment Company Act file number:** 811-22718

- **c. CIK number of Registrant:** 0001552947

- **d. LEI of Registrant:** 549300REHU8QC2CK4V30

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

  - **Street Address 1:** 225 PICTORIA DRIVE

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

  - **Telephone number:** 402-895-1600

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

- **a. Name of Series:** Anfield Universal Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000040050

- **c. LEI of Series:** 549300B6SKTUZX6YVF49

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

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

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $152163396.91

**Total Liabilities:** $2501693.13

**Net Assets:** $149661703.78

**Cash Not Reported:** $456085.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 497.35371300 | **1-Year:** 3485.00272300 | **5-Year:** 7298.66121000 | **10-Year:** 9341.65287900 | **30-Year:** 1011.79196500

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

- **3-Month:** 790.01909800 | **1-Year:** 3097.92350900 | **5-Year:** 6984.08236100 | **10-Year:** 1180.42021800 | **30-Year:** 12.53823600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000124329 | 0.60%                | 0.53%                | 0.47%                |
| Class ID C000124331 | 0.65%                | 0.36%                | 0.41%                |
| Class ID C000124332 | 0.74%                | 0.44%                | 0.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $30942.93                | $669492.55                                 |
| Month 2  | $2001.81                 | $482272.14                                 |
| Month 3  | $40257.19                | $353113.84                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                                                 | GNR 2013-20 IM          | CUSIP: 38378F4B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    721978 | PA      | $109038.17    | 0.07%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                      | CDCMC 2004-HE1 M2       | CUSIP: 12506YCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72983 | PA      | $73294.68     | 0.05%             | 2034-06-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-5 BI           | CUSIP: 38378FPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     63962 | PA      | $9945.01      | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                      | BNS 3 5/8 10/27/2081    | CUSIP: 0641598N9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1325000 | PA      | $1278105.20   | 0.85%             | 2081-10-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 2 3/4 03/09/28    | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    945000 | PA      | $887585.96    | 0.59%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 EI          | CUSIP: 38381REC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    461807 | PA      | $9552.48      | 0.01%             | 2043-07-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                                                      | FSK 2 5/8 01/15/27      | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    275000 | PA      | $265726.56    | 0.18%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-112 KI         | CUSIP: 38380TZU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    340055 | PA      | $29818.89     | 0.02%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 32 Ltd.                                                      | OCT32 2017-1A A2R3      | CUSIP: 67573CAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000551.00   | 0.67%             | 2037-10-31      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-54 SA          | CUSIP: 3136B2XW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    949369 | PA      | $95154.31     | 0.06%             | 2048-08-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corporation                                                                   | CMS 4 3/4 06/01/50      | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $985348.90    | 0.66%             | 2050-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-35T2 A4      | CUSIP: 12667FQ81<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    119828 | PA      | $20289.97     | 0.01%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US LONG BOND(CBT) Dec25 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        20 | NC      | $58125.00     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp                                                                         | DUK 3 1/4 01/15/2082    | CUSIP: 26441CBP9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    980000 | PA      | $945663.84    | 0.63%             | 2082-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4139 PO             | CUSIP: 3137AWYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    102250 | PA      | $70385.41     | 0.05%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2008-60 SH          | CUSIP: 38375DAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1038836 | PA      | $13123.72     | 0.01%             | 2038-07-16      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2001-HE8 A1        | CUSIP: 22540AB49<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18135 | PA      | $17984.62     | 0.01%             | 2031-02-25      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-16 IN          | CUSIP: 3136ANBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     46958 | PA      | $827.49       | 0.00%             | 2043-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain Fuji US CLO I Ltd.                                                          | BLUEM 2017-2A C         | CUSIP: 09629EAJ0<br>LEI: 549300XC3G26BPOECZ28 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005370.40   | 1.34%             | 2030-10-20      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 202 IO              | CUSIP: 31282YCR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28381 | PA      | $2264.73      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5086 HI             | CUSIP: 3137FFGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    779340 | PA      | $169347.96    | 0.11%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-BO1 M9B      | CUSIP: 073879JV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $137286.99    | 0.09%             | 2034-10-25      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-154 IT         | CUSIP: 38381AWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    213052 | PA      | $38870.78     | 0.03%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                   | FHR 4699 NI             | CUSIP: 3137F1PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    578724 | PA      | $69200.19     | 0.05%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Penn Entertainment (fka Penn National Gaming)                                            | PENN TL B 1L USD        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    494885 | PA      | $496416.59    | 0.33%             | 2029-05-03      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group Inc                                                             | CFG 4 PERP              | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1021694.97   | 0.68%             | 2171-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Inc                                                                   | CNP 7 02/15/55          | CUSIP: 15189TBH9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1166133.81   | 0.78%             | 2055-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5086 IW             | CUSIP: 3137FFGQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    402049 | PA      | $57920.58     | 0.04%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4076 SW             | CUSIP: 3137ASGB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    152819 | PA      | $16683.23     | 0.01%             | 2042-07-15      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO 2017-1 Ltd.                                                           | ROCKT 2017-1A DR2B      | CUSIP: 77340EBG0<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507876.50   | 1.01%             | 2034-04-20      | Floating      | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2017-78 KI          | CUSIP: 3136AX6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     78888 | PA      | $14127.65     | 0.01%             | 2047-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 406 15              | CUSIP: 3136FG2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990281 | PA      | $213849.66    | 0.14%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4827 BI             | CUSIP: 3137FHM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    923186 | PA      | $141372.21    | 0.09%             | 2048-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Light & Wonder International Inc.                                                        | SGMS 7 1/4 11/15/29     | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    533000 | PA      | $547165.01    | 0.37%             | 2029-11-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                                | CZR TL B1 1L USD        | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |   2479950 | PA      | $2462899.85   | 1.65%             | 2031-02-06      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Vanguard Fixed Income Securities Funds                                                   | VANG-H/Y CO-ADM         | CUSIP: 922031760<br>LEI: 549300F3N7VQKU6I4K64 | Long             | EC               | RF                | US        |    422170 | NS      | $2343041.82   | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-74 MI          | CUSIP: 3136B3JA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    384164 | PA      | $75245.35     | 0.05%             | 2048-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                                         | TEVA 3.15 10/01/26      | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    989000 | PA      | $974400.09    | 0.65%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2020-10 S           | CUSIP: 3136B9AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    941204 | PA      | $115180.06    | 0.08%             | 2059-05-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2010-166 SA         | CUSIP: 38377RUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1542625 | PA      | $200261.28    | 0.13%             | 2040-12-16      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2007-112 SA         | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    128692 | PA      | $16854.16     | 0.01%             | 2037-12-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 384 2               | CUSIP: 3136FER20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212506 | PA      | $24152.72     | 0.02%             | 2037-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FNR 2019-44 IC          | CUSIP: 3136B5VE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    540016 | PA      | $76439.41     | 0.05%             | 2049-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 4 1/8 08/17/27        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    313000 | PA      | $309129.28    | 0.21%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                                      | RRR 4 1/2 02/15/28      | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |   1248000 | PA      | $1227374.93   | 0.82%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2021-27 GI          | CUSIP: 3136BHAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    206189 | PA      | $54276.16     | 0.04%             | 2051-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 6.2 06/20/34          | CUSIP: 34540TH88<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994080.12    | 0.66%             | 2034-06-20      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2009-101 MI         | CUSIP: 31398F6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    303269 | PA      | $25760.74     | 0.02%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Citizens BancShares Inc (Delaware)                                                 | FCNCA FLOAT PERP        | CUSIP: 31959XAA1<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   3704000 | PA      | $3801933.76   | 2.54%             | 2170-06-15      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-82 IG          | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    327054 | PA      | $47204.37     | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CBASS 2004-CB3 B1       | CUSIP: 17307GES3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     83033 | PA      | $104535.61    | 0.07%             | 2034-03-25      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4197 IG             | CUSIP: 3137B1TF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    395717 | PA      | $47875.73     | 0.03%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 3.815 11/02/27        | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $490451.02    | 0.33%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLV Ltd/Llc                                                         | MDPK 2020-45A CRR       | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499982.00    | 0.33%             | 2034-07-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-11 MI          | CUSIP: 38381BSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    109819 | PA      | $5387.34      | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-88 IB          | CUSIP: 38380FRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    713169 | PA      | $91985.15     | 0.06%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2015-44 AI          | CUSIP: 38379LFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     41297 | PA      | $42.73        | 0.00%             | 2041-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                                  | BPCEGP 4 7/8 04/01/26   | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    394000 | PA      | $394323.11    | 0.26%             | 2026-04-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4583 ST             | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    691784 | PA      | $76240.76     | 0.05%             | 2046-05-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-1 IP           | CUSIP: 38380UA45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    282037 | PA      | $29645.63     | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                        | WFC 3.9 PERP            | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994054.20    | 0.66%             | 2169-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4480 IN             | CUSIP: 3137BKD31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    214705 | PA      | $32550.70     | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2006-109 SG         | CUSIP: 31396LQX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    439985 | PA      | $42538.53     | 0.03%             | 2036-11-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2003-7 6A1         | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9789 | PA      | $9998.19      | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brightstar Lottery PLC                                                                   | IGT 6 1/4 01/15/27      | CUSIP: 460599AD5<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    963000 | PA      | $973355.14    | 0.65%             | 2027-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2004-2F 7A2         | CUSIP: 36229RLM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15595 | PA      | $411.63       | 0.00%             | 2034-01-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2015-179 GS         | CUSIP: 38379TCB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    254742 | PA      | $40382.57     | 0.03%             | 2045-12-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-20 KI          | CUSIP: 38378F6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    304398 | PA      | $53867.69     | 0.04%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 80              | CUSIP: 3136FLDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95464 | PA      | $17771.60     | 0.01%             | 2039-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-34 CI          | CUSIP: 3136B1G65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    183956 | PA      | $31268.37     | 0.02%             | 2048-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                           | C 3 7/8 PERP            | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1989812.40   | 1.33%             | 2169-05-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-6 2A4          | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31524 | PA      | $31069.06     | 0.02%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 413 177             | CUSIP: 31395QPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146509 | PA      | $26371.41     | 0.02%             | 2042-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 256 50              | CUSIP: 3128HU3T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420921 | PA      | $50880.84     | 0.03%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2010-29 SA          | CUSIP: 38376XSS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1881093 | PA      | $239439.08    | 0.16%             | 2039-10-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 3772 SA             | CUSIP: 3137A4JG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     82365 | PA      | $64286.00     | 0.04%             | 2040-12-15      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| MKS INC                                                                                  | MKSI TL B 1L USD        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    968281 | PA      | $971655.59    | 0.65%             | 2029-08-17      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2004-6F 2A6         | CUSIP: 36228F2M7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      5300 | PA      | $5386.72      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-141 ID         | CUSIP: 38380HKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     10807 | PA      | $1504.31      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-121 JS         | CUSIP: 38380AZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    801958 | PA      | $113470.94    | 0.08%             | 2046-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 303 181             | CUSIP: 31325UBL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150790 | PA      | $17748.48     | 0.01%             | 2039-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-81 IO          | CUSIP: 38379YNN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    157910 | PA      | $33383.35     | 0.02%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                                 | EDF 9 1/8 PERP          | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2316920.00   | 1.55%             | 2173-06-15      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                                                  | KEY 5 PERP              | CUSIP: 493267AK4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1648000 | PA      | $1636986.09   | 1.09%             | 2049-12-29      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-140 IC         | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    382598 | PA      | $62383.13     | 0.04%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-127 IN         | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    370757 | PA      | $54789.49     | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-98 HS          | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    296959 | PA      | $31707.62     | 0.02%             | 2042-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-7 3A1         | CUSIP: 12669FXK4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     17133 | PA      | $16482.41     | 0.01%             | 2034-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-116 IJ         | CUSIP: 38380AJQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    282935 | PA      | $44594.33     | 0.03%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5082 HI             | CUSIP: 3137FFWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    285790 | PA      | $37443.06     | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 359 14              | CUSIP: 3136FCUF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97804 | PA      | $14296.04     | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-133 BS         | CUSIP: 38379GQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     88545 | PA      | $8226.08      | 0.01%             | 2044-09-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fnd                                                                   | DRSLF 2018-55A D        | CUSIP: 26245MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000334.00   | 0.67%             | 2031-04-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 418 147             | CUSIP: 31395Q2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201120 | PA      | $31424.48     | 0.02%             | 2039-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Light & Wonder (Scientific Games)                                                        | LNW TL B 1L USD         | CUSIP: 80875AAW1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    985678 | PA      | $989990.35    | 0.66%             | 2029-04-16      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-75 GI          | CUSIP: 38378J3Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     26989 | PA      | $47.21        | 0.00%             | 2041-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                         | DB 8.13011 PERP         | CUSIP: D18190PH1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $1066966.75   | 0.71%             | 2174-04-30      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-1 M1            | CUSIP: 393505SK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1115 | PA      | $1120.95      | 0.00%             | 2028-03-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company  Inc                                                    | GM 5.7 PERP             | CUSIP: 37045XDB9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1263000 | PA      | $1268850.22   | 0.85%             | 2069-03-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Acceptance Corp.                                                     | OOMLT 2003-5 A2         | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9670 | PA      | $10079.02     | 0.01%             | 2033-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Corporation                                                            | OMF 5 3/8 11/15/29      | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347512.41    | 0.23%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                    | AL 4 1/8 PERP           | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $288994.38    | 0.19%             | 2173-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                                                       | RASC 2003-KS4 MI1       | CUSIP: 76110WRV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50809 | PA      | $51005.88     | 0.03%             | 2033-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2011-149 MS         | CUSIP: 3136A3FF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1203550 | PA      | $63571.40     | 0.04%             | 2041-11-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                               | ACACN TL B 1L USD       | CUSIP: N/A<br>LEI: 4B4HI3CGXMBDC0G6BM51       | Long             | LON              | CORP              | US        |   1970000 | PA      | $1977141.25   | 1.32%             | 2031-03-21      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-60 SA          | CUSIP: 38376UED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3648301 | PA      | $147393.56    | 0.10%             | 2037-10-20      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 2.7 08/10/26          | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    375000 | PA      | $369698.08    | 0.25%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-18 BI          | CUSIP: 38380KW43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    274894 | PA      | $22240.42     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2003-2 M2         | CUSIP: 542514DV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14313 | PA      | $16490.47     | 0.01%             | 2033-06-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| American Airlines                                                                        | AAL TL B 1L USD         | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1144250 | PA      | $1146853.17   | 0.77%             | 2028-04-20      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4765 SI             | CUSIP: 3137FEQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8780903 | PA      | $74991.55     | 0.05%             | 2044-08-15      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-179 WI         | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    112797 | PA      | $25659.16     | 0.02%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2004-10AR 4A        | CUSIP: 61748HFJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6973 | PA      | $6660.00      | 0.00%             | 2034-11-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-68 EI          | CUSIP: 38377VX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    137635 | PA      | $13047.03     | 0.01%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2018-3 Ltd.                                                                     | VOYA 2018-1A C          | CUSIP: 92917AAG1<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2760600.98   | 1.84%             | 2031-04-19      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-101 ID         | CUSIP: 38380FR57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     60384 | PA      | $3964.97      | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-18 CS          | CUSIP: 38381B4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    190335 | PA      | $16196.97     | 0.01%             | 2049-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Corporation                                                            | OMF 3 1/2 01/15/27      | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    165000 | PA      | $162394.85    | 0.11%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aramark                                                                                  | ARMK TL B9 1L USD       | CUSIP: 03852JBB6<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |   2630573 | PA      | $2637701.72   | 1.76%             | 2028-04-06      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-122 SB         | CUSIP: 38378WAU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    580059 | PA      | $68404.66     | 0.05%             | 2043-08-16      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2005-WF1 M8        | CUSIP: 86359BW64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143305 | PA      | $152382.75    | 0.10%             | 2035-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 6 07/15/29         | CUSIP: 02006DV40<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251121.04    | 0.17%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-189 PS         | CUSIP: 38378PMH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    268011 | PA      | $26566.63     | 0.02%             | 2043-07-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Ecp Clo 2015-7 Ltd/Llc                                                                   | GLGU 2018-1A BR         | CUSIP: 26829CBB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2405977.92   | 1.61%             | 2030-04-22      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                            | SBM7 2003-1 A2          | CUSIP: 79549AYQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4705 | PA      | $2157.55      | 0.00%             | 2033-09-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                         | AEP 3 7/8 02/15/62      | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1877000 | PA      | $1827894.49   | 1.22%             | 2062-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2009-61 AS          | CUSIP: 38376FHU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     54429 | PA      | $190.08       | 0.00%             | 2039-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-46 IO          | CUSIP: 38379WBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    258670 | PA      | $41087.80     | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Great American Outdoors (Bass Pro Shops)                                                 | BASSPR TL B 1L USD      | CUSIP: 07014QAP6<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |   1937591 | PA      | $1940013.07   | 1.30%             | 2032-01-16      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 418 141             | CUSIP: 31395Q2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202357 | PA      | $30501.40     | 0.02%             | 2039-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-144 AS         | CUSIP: 38378UB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    830532 | PA      | $12297.76     | 0.01%             | 2043-03-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                                     | ACAFP 4 3/4 PERP        | CUSIP: F2R125CJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $962876.30    | 0.64%             | 2174-03-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-179 KS         | CUSIP: 38380ULB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    704509 | PA      | $101459.48    | 0.07%             | 2047-12-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation                          | IEP 6 1/4 05/15/26      | CUSIP: 451102BT3<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |    481000 | PA      | $481707.70    | 0.32%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4792 AI             | CUSIP: 3137F5AG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    159681 | PA      | $27621.79     | 0.02%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5022 IO             | CUSIP: 3137FXDW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    710059 | PA      | $120854.56    | 0.08%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 419 C3              | CUSIP: 31395Q5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329539 | PA      | $44461.59     | 0.03%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PENN Entertainment Inc                                                                   | PENN 4 1/8 07/01/29     | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    995000 | PA      | $927483.08    | 0.62%             | 2029-07-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 4.7 PERP           | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2332000 | PA      | $2287241.92   | 1.53%             | 2169-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Charles River Laboratories International, Inc.                                           | CRL 4 1/4 05/01/28      | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    512000 | PA      | $504966.76    | 0.34%             | 2028-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | GNR 2020-167 NS         | CUSIP: 38382LBR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    558201 | PA      | $82949.65     | 0.06%             | 2050-11-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                              | COF FLOAT PERP          | CUSIP: 14040HDK8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    628000 | PA      | $628957.70    | 0.42%             | 2173-10-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4473 AS             | CUSIP: 3137BJAS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    260253 | PA      | $22019.69     | 0.01%             | 2045-05-15      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2007-HF1 4AX       | CUSIP: 55291YAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    388610 | PA      | $72333.65     | 0.05%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2005-A1 3A5       | CUSIP: 466247NJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12527 | PA      | $11892.04     | 0.01%             | 2035-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corporation                                                                     | MTB 3 1/2 PERP          | CUSIP: 55261FAN4<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1309672.68   | 0.88%             | 2173-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Restaurant Brands International                                                          | BCULC TL B5 1L USD      | CUSIP: C6901LAM9<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | US        |    985031 | PA      | $983538.93    | 0.66%             | 2030-09-23      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4394 BI             | CUSIP: 3137BEUD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    168993 | PA      | $21224.46     | 0.01%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brightstar Lottery PLC                                                                   | IGT 5 1/4 01/15/29      | CUSIP: 460599AE3<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $498895.85    | 0.33%             | 2029-01-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-16 MI          | CUSIP: 3136B1BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    926095 | PA      | $188827.37    | 0.13%             | 2048-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-94 JI          | CUSIP: 38379CZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4868881 | PA      | $18701.86     | 0.01%             | 2034-09-16      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| United Airlines                                                                          | UAL TL B 1L USD         | CUSIP: 90932RAP9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1653216 | PA      | $1659862.01   | 1.11%             | 2031-02-24      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                                         | TEVA 4 3/4 05/09/27     | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1600000 | PA      | $1601721.31   | 1.07%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Light & Wonder International Inc.                                                        | LNW 7 1/2 09/01/31      | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    500000 | PA      | $519376.00    | 0.35%             | 2031-09-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2004-NC7 M4        | CUSIP: 61744CFS0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |     11889 | PA      | $15122.35     | 0.01%             | 2034-07-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                           | C 4.15 PERP             | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2258000 | PA      | $2221354.01   | 1.48%             | 2170-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 2000-1 1A           | CUSIP: 00105HEG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3551 | PA      | $3540.69      | 0.00%             | 2030-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Battalion CLO II Ltd.                                                                    | BATLN 2019-16A CR2      | CUSIP: 07133MAW6<br>LEI: 549300TL38G7SDO1N781 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002290.00   | 0.67%             | 2038-01-20      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Air Canada                                                                               | ACACN 3 7/8 08/15/26    | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |   1425000 | PA      | $1414997.07   | 0.95%             | 2026-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-35 KI          | CUSIP: 3136B1E59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    223746 | PA      | $38104.39     | 0.03%             | 2048-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                                           | SCHW 4 PERP             | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1537767.56   | 1.03%             | 2169-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2003-A M1         | CUSIP: 64352VDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10703 | PA      | $12314.93     | 0.01%             | 2033-10-25      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-ABF1 A       | CUSIP: 07384YLE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15591 | PA      | $15585.61     | 0.01%             | 2034-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                                  | FHR 5093 NI             | CUSIP: 3137FYK88<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    322605 | PA      | $64575.14     | 0.04%             | 2049-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Invt Partners 46 Ltd /  Llc                                                      | OCT46 2020-2A DR        | CUSIP: 67577VAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $993146.00    | 0.66%             | 2036-07-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 324 C24             | CUSIP: 31325VBU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449002 | PA      | $93735.97     | 0.06%             | 2043-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5023 MI             | CUSIP: 3137FWV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    398090 | PA      | $66682.51     | 0.04%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 4.95 05/28/27         | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $700798.61    | 0.47%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2004-70 XJ          | CUSIP: 31394A4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    256914 | PA      | $34115.64     | 0.02%             | 2034-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-114 CI         | CUSIP: 38380TYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    143935 | PA      | $14308.89     | 0.01%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 3 3/8 11/13/25        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1934235.81   | 1.29%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2013-10 SJ          | CUSIP: 3136ACEL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    133835 | PA      | $15883.70     | 0.01%             | 2043-02-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2007-39 AI          | CUSIP: 31396VSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    182450 | PA      | $17696.61     | 0.01%             | 2037-05-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                            | NHEL 2004-1 M5          | CUSIP: 66987XEE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1843 | PA      | $1713.72      | 0.00%             | 2034-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                                  | FHR 5174 NI             | CUSIP: 3137H4MG2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   1141330 | PA      | $199013.02    | 0.13%             | 2051-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4419 EI             | CUSIP: 3137BFQ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     42446 | PA      | $4492.21      | 0.00%             | 2037-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                      | SAST 2003-3 M2          | CUSIP: 805564PF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11440 | PA      | $10617.96     | 0.01%             | 2033-12-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2014-68 IB          | CUSIP: 3136ALRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    371737 | PA      | $38308.17     | 0.03%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                       | ET 6 1/2 PERP           | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3986000 | PA      | $4008369.43   | 2.68%             | 2169-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                         | EQABS 2002-5 M1         | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7999 | PA      | $8581.82      | 0.01%             | 2032-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                              | COF 3.95 PERP           | CUSIP: 14040HCF0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1363000 | PA      | $1342274.54   | 0.90%             | 2169-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                           | BNP 4 5/8 PERP          | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2780000 | PA      | $2731823.43   | 1.83%             | 2177-01-12      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-130 LI         | CUSIP: 38380GDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    262482 | PA      | $19252.60     | 0.01%             | 2045-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2010-133 SB         | CUSIP: 38377MHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    890980 | PA      | $120318.73    | 0.08%             | 2040-10-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2010-150 SP         | CUSIP: 31397QBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    414413 | PA      | $36552.31     | 0.02%             | 2040-10-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                    | SOCGEN 5 3/8 PERP       | CUSIP: F8500RAA0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $950859.60    | 0.64%             | 2173-05-18      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2003-OPT1 M2       | CUSIP: 5899295L8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17020 | PA      | $14180.37     | 0.01%             | 2034-07-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                | GS 3.65 PERP            | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1607000 | PA      | $1580680.07   | 1.06%             | 2170-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                                    | ATH 2.95 11/12/26       | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246737.72    | 0.16%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust 2005-1                                                      | MMLT 2003-1 M2          | CUSIP: 59001FAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3845 | PA      | $3960.89      | 0.00%             | 2033-11-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                                          | BXSL 3 5/8 01/15/26     | CUSIP: 09261LAC2<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    600000 | PA      | $598998.10    | 0.40%             | 2026-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 4 Ltd                                                                    | CRNPT 2018-4A B         | CUSIP: 22845XAE0<br>LEI: 549300735PG2ZC70V672 | Long             | ABS-CBDO         | CORP              | KY        |    500500 | PA      | $500726.23    | 0.33%             | 2031-04-20      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-Capital Trust I                                                                   | AER Float 12/21/65      | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $835204.20    | 0.56%             | 2065-12-21      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Tcw Clo                                                                                  | TCW 2017-1A AJR4        | CUSIP: 87240NBW5<br>LEI: 549300BD6SSD2EBMCC95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002343.00   | 0.67%             | 2038-03-24      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 413 155             | CUSIP: 31395QNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298595 | PA      | $53618.53     | 0.04%             | 2042-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fidelity Advisor Series II                                                               | FID-FL RT HI            | CUSIP: 315916783<br>LEI: EIVUM2R16VT371T5KS40 | Long             | EC               | RF                | US        |    286672 | NS      | $2617311.69   | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 5.3 09/13/27      | CUSIP: 65480CAG0<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1288000 | PA      | $1283510.65   | 0.86%             | 2027-09-13      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-40 LT          | CUSIP: 3136AN4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6159804 | PA      | $9645.02      | 0.01%             | 2045-06-25      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                    | BAC 4 3/8 PERP          | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1025106.68   | 0.68%             | 2174-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 426 292             | CUSIP: 31422MYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436697 | PA      | $70787.35     | 0.05%             | 2051-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-103 DS         | CUSIP: 38378VAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     63844 | PA      | $8273.99      | 0.01%             | 2043-07-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 6.05 02/15/26      | CUSIP: 02006DL90<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200471.78    | 0.13%             | 2026-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WIFC 1997-WFC1 M3       | CUSIP: 22540ACY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51465 | PA      | $50802.84     | 0.03%             | 2027-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Southern Co.                                                                             | SO 3 3/4 09/15/51       | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1237424.63   | 0.83%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2009-113 XI         | CUSIP: 31398GVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    344912 | PA      | $49662.82     | 0.03%             | 2040-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | AAL 3.65 06/15/28       | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    998515 | PA      | $976438.23    | 0.65%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                                                      | FSK 3 1/8 10/12/28      | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    500000 | PA      | $462202.93    | 0.31%             | 2028-10-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2009-69 IV          | CUSIP: 38373AD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    576125 | PA      | $73805.08     | 0.05%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2002-FF1 1A2       | CUSIP: 32027NAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8126 | PA      | $8866.35      | 0.01%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2017-99 DI          | CUSIP: 3136AY2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    279715 | PA      | $36528.82     | 0.02%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-160 TI         | CUSIP: 38380HYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1030039 | PA      | $15630.63     | 0.01%             | 2040-06-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-149 GI         | CUSIP: 38378GX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    138795 | PA      | $11319.08     | 0.01%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-99 DI          | CUSIP: 38380F5B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    100923 | PA      | $3898.79      | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                      | CDCMC 2004-HE3 M2       | CUSIP: 12506YDG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86186 | PA      | $85401.83     | 0.06%             | 2034-11-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-34 HI          | CUSIP: 3136AN3F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1856159 | PA      | $399818.21    | 0.27%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-37 CI          | CUSIP: 3136B16S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     32167 | PA      | $481.22       | 0.00%             | 2047-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 408 9               | CUSIP: 3136FG5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392741 | PA      | $71641.06     | 0.05%             | 2040-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                                                            | UVN 4 1/2 05/01/29      | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $940366.20    | 0.63%             | 2029-05-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                                                        | BK 3.7 PERP             | CUSIP: 064058AJ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2613888.90   | 1.75%             | 2170-03-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Battalion Clo 17 Ltd.                                                                    | BATLN 2021-17A CR       | CUSIP: 07133PAS8<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500215.50    | 0.33%             | 2034-03-09      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Ares Capital Corp.                                                                       | ARCC 5 1/2 09/01/30     | CUSIP: 04010LBK8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    925000 | PA      | $932248.59    | 0.62%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                             | B 03/05/26              | CUSIP: 912797RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4936737.90   | 3.30%             | 2026-03-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 2 03/09/26        | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2495228.99   | 1.67%             | 2026-03-09      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US 5YR NOTE (CBT) Dec25 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        20 | NC      | $2187.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ANFIELD BBH SWEEP                                                                        | BBH SWEEP VEHICLE       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   1345567 | PA      | $1345567.17   | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-157 AI         | CUSIP: 38378ATU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      2620 | PA      | $19.92        | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO II Ltd.                                                                  | SNDPT 2013-1A A3R       | CUSIP: 83608GAS5<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003596.00   | 1.34%             | 2031-01-26      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US 10YR NOTE (CBT)Dec25 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        20 | NC      | $12187.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Aramark Services, Inc.                                                                   | ARMK 5 02/01/28         | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    975000 | PA      | $974782.03    | 0.65%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa2                                                                       | BCAP 2007-AA2 21IO      | CUSIP: 05530NBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5344961 | PA      | $98307.19     | 0.07%             | 2037-04-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-4 1M3          | CUSIP: 45254NHX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2084 | PA      | $2082.07      | 0.00%             | 2034-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-108 PS         | CUSIP: 38378HPT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    202508 | PA      | $28679.79     | 0.02%             | 2042-03-16      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4669 TI             | CUSIP: 3137BW5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2868307 | PA      | $5177.87      | 0.00%             | 2040-09-15      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-91 SB          | CUSIP: 38379CPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    268289 | PA      | $21478.88     | 0.01%             | 2044-06-16      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 5.8 03/05/27          | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505687.79    | 0.34%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 417 C24             | CUSIP: 31395QE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    733463 | PA      | $95640.81     | 0.06%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Icg Us Clo 2021-3 Ltd / Icg Us Clo 2021-3 Llc                                            | ICG 2021-3A CR          | CUSIP: 449249AW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000979.00   | 0.67%             | 2034-10-20      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Six Flags                                                                                | FUN TL B 1L USD         | CUSIP: 15018LAN1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    994962 | PA      | $990609.26    | 0.66%             | 2031-05-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust 2005-1                                                      | MMLT 2003-1 M3          | CUSIP: 59001FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28884 | PA      | $29449.77     | 0.02%             | 2033-11-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4416 DS             | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    267138 | PA      | $32985.87     | 0.02%             | 2044-12-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 C13             | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170566 | PA      | $25206.16     | 0.02%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 2433 SA             | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     11896 | PA      | $13064.03     | 0.01%             | 2032-02-15      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-120 JI         | CUSIP: 38380YVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    149347 | PA      | $21481.11     | 0.01%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2017-97 SW          | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    899652 | PA      | $116294.46    | 0.08%             | 2047-12-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 5.8 03/08/29          | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    275000 | PA      | $279823.61    | 0.19%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-69 QI          | CUSIP: 38378EQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    226949 | PA      | $22904.99     | 0.02%             | 2041-03-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2021-78 QI          | CUSIP: 38382TBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    413351 | PA      | $28820.13     | 0.02%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 64              | CUSIP: 3136FLCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115785 | PA      | $18443.90     | 0.01%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2007-92 SK          | CUSIP: 31396XNB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    122187 | PA      | $14368.21     | 0.01%             | 2037-09-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-126 IO         | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    724931 | PA      | $101843.66    | 0.07%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AAMES Mortgage Trust 1997-D                                                              | AMT 2001-1 M2           | CUSIP: 00253CGQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20459 | PA      | $20476.31     | 0.01%             | 2031-06-25      | Fixed         | 8.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-4 ID           | CUSIP: 38378FNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    877617 | PA      | $155440.22    | 0.10%             | 2042-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 303 141             | CUSIP: 31325UAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221266 | PA      | $33343.72     | 0.02%             | 2043-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | CBASS 2004-CB6 M2       | CUSIP: 59020UJD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42766 | PA      | $39321.34     | 0.03%             | 2035-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                                            | USB 5.3 PERP            | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    732000 | PA      | $733089.22    | 0.49%             | 2049-12-29      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-54 PI          | CUSIP: 38379WMH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     88749 | PA      | $8631.72      | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4291 MS             | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    295810 | PA      | $30801.83     | 0.02%             | 2054-01-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-149 CS         | CUSIP: 38378GR91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    216183 | PA      | $18077.40     | 0.01%             | 2042-12-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4591 QI             | CUSIP: 3137BQQ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     95670 | PA      | $17099.12     | 0.01%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2004-A 2A4        | CUSIP: 05948XT43<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |      2844 | PA      | $2813.21      | 0.00%             | 2034-02-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 83              | CUSIP: 3136FLDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263123 | PA      | $42805.29     | 0.03%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                            | ENBCN 6 1/4 03/01/78    | CUSIP: 29250NAW5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    976000 | PA      | $987489.47    | 0.66%             | 2078-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Allegro CLO XV Ltd.                                                                      | ALLEG 2022-1A D1AR      | CUSIP: 01749WAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505380.50   | 1.01%             | 2038-04-20      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                     | RY 8 1/2 02/28/39       | CUSIP: 78014RTB6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    479000 | PA      | $484992.06    | 0.32%             | 2039-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                                 | AXP 3.55 PERP           | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245666.30    | 0.16%             | 2171-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2009-31 PI          | CUSIP: 31397ND85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     16454 | PA      | $114.48       | 0.00%             | 2038-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                     | DMSI 2004-4 7AR2        | CUSIP: 251563FE7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |      2676 | PA      | $2548.29      | 0.00%             | 2034-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2012-84 KI          | CUSIP: 3136A7R95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    104508 | PA      | $15686.34     | 0.01%             | 2042-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2003-11 AF6        | CUSIP: 03072SLU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        78 | PA      | $237.27       | 0.00%             | 2033-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 407 40              | CUSIP: 3136FG4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788279 | PA      | $150671.90    | 0.10%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trimaran Cavu 2019-1 Ltd / LLC                                                           | CAVU 2019-1A CR         | CUSIP: 89624CDL3<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1249965.00   | 0.84%             | 2037-01-20      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO I Ltd.                                                                    | OAKCL 2020-1A CRR       | CUSIP: 67402FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999966.00    | 0.67%             | 2038-01-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 413 126             | CUSIP: 31395QMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150784 | PA      | $24057.96     | 0.02%             | 2042-07-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-H16 CI         | CUSIP: 38380LG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1575470 | PA      | $64246.08     | 0.04%             | 2069-10-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                                   | SRE 4 1/8 04/01/52      | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $982641.16    | 0.66%             | 2052-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2007-26 SD          | CUSIP: 38375KAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    593107 | PA      | $71733.12     | 0.05%             | 2037-05-16      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2005-WF1 M7        | CUSIP: 86359BW56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109279 | PA      | $116827.58    | 0.08%             | 2035-02-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-47 MI          | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    843882 | PA      | $156323.99    | 0.10%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 3935 SH             | CUSIP: 3137AGTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    221442 | PA      | $2932.85      | 0.00%             | 2040-12-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Vici Properties Inc                                                                      | VICI 5 3/4 02/01/27     | CUSIP: 92564RAJ4<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505910.62    | 0.34%             | 2027-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2004-7AR 2A6        | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2787 | PA      | $2760.17      | 0.00%             | 2034-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Steele Creek Clo 2014-1R Ltd.                                                            | STCR 2014-1RA B         | CUSIP: 85816WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     49428 | PA      | $49524.07     | 0.03%             | 2031-04-21      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2003-2HE M2        | CUSIP: 881561AT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47506 | PA      | $60733.26     | 0.04%             | 2034-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4091 ES             | CUSIP: 3137ATDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    200258 | PA      | $31895.14     | 0.02%             | 2042-08-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-31 IO          | CUSIP: 3136B1YP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    249436 | PA      | $47393.23     | 0.03%             | 2047-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-6 SA           | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    415065 | PA      | $48421.52     | 0.03%             | 2049-01-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-181 SA         | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    132449 | PA      | $14949.60     | 0.01%             | 2043-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                    | AL 4.65 PERP            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2577000 | PA      | $2552338.88   | 1.71%             | 2170-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-22 BS          | CUSIP: 3136ANEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    133962 | PA      | $15630.19     | 0.01%             | 2045-04-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                                                      | FSK 3.4 01/15/26        | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    850000 | PA      | $847438.90    | 0.57%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bain Capital Specialty Finance Inc                                                       | BCSF 2.95 03/10/26      | CUSIP: 05684BAB3<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2136394.31   | 1.43%             | 2026-03-10      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLOLTD 2021-3                                                                 | WINDR 2021-3A D1AR      | CUSIP: 97316DAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999922.00   | 1.34%             | 2038-04-20      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-163 KI         | CUSIP: 38380TBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    475226 | PA      | $33269.34     | 0.02%             | 2045-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 365 C10             | CUSIP: 31325XUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510613 | PA      | $104313.40    | 0.07%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 1.85 09/16/26     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    938000 | PA      | $909345.17    | 0.61%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Specialty Finance Inc                                                       | BCSF 5.95 03/15/30      | CUSIP: 05684BAD9<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159479.05    | 0.11%             | 2030-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-86 TK          | CUSIP: 38382GCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  16201685 | PA      | $81441.01     | 0.05%             | 2048-08-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-90 AI          | CUSIP: 38378TXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    171499 | PA      | $1993.49      | 0.00%             | 2039-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 303 175             | CUSIP: 31325UBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154972 | PA      | $20594.48     | 0.01%             | 2040-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                                        | PNC 3.4 PERP            | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $972302.90    | 0.65%             | 2172-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boyd Gaming Corporation                                                                  | BYD 4 3/4 12/01/27      | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    828000 | PA      | $825424.01    | 0.55%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2024-1 LTD                                                       | BOBA 2024-1A D1         | CUSIP: 05766NAN2<br>LEI: 254900ZDWC7EDY07BS61 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001188.00   | 0.67%             | 2037-07-20      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2003-4 3A1        | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6198 | PA      | $5983.84      | 0.00%             | 2033-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| PENN Entertainment Inc                                                                   | PENN 5 5/8 01/15/27     | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1199467.56   | 0.80%             | 2027-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2013-103 JS         | CUSIP: 3136AGNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1001047 | PA      | $101677.87    | 0.07%             | 2043-10-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 2.45 09/15/28     | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    490000 | PA      | $450113.71    | 0.30%             | 2028-09-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 SA          | CUSIP: 38381RDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    452008 | PA      | $40915.77     | 0.03%             | 2045-02-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-6 M1           | CUSIP: 45254NJX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13214 | PA      | $12964.62     | 0.01%             | 2034-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-132 SL         | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    170416 | PA      | $9027.07      | 0.01%             | 2043-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5112 IB             | CUSIP: 3137H0R91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    571580 | PA      | $61340.13     | 0.04%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-60 SU          | CUSIP: 38376UFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    604942 | PA      | $56283.83     | 0.04%             | 2040-01-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-AC5 A2       | CUSIP: 07384YMB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2831 | PA      | $2866.66      | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 CI          | CUSIP: 38381RDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1816411 | PA      | $85695.02     | 0.06%             | 2045-10-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 HI          | CUSIP: 38381REQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    153775 | PA      | $17968.78     | 0.01%             | 2040-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 385 3               | CUSIP: 3136FEV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319164 | PA      | $48810.07     | 0.03%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc.                                                               | CZR 4 5/8 10/15/29      | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   1263000 | PA      | $1188929.60   | 0.79%             | 2029-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2009-87 IW          | CUSIP: 38376KXJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1975137 | PA      | $56996.12     | 0.04%             | 2034-07-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-2 LI           | CUSIP: 3136B0ZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    148023 | PA      | $13987.91     | 0.01%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-6 2A3          | CUSIP: 126673BA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21837 | PA      | $21879.98     | 0.01%             | 2034-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                             | CHASE 2007-A1 7A1       | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       447 | PA      | $449.32       | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-21 SI          | CUSIP: 38381B7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7831081 | PA      | $48592.64     | 0.03%             | 2043-10-20      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-28

**Name of Applicant:** Two Roads Shared Trust

**Signature:** Laura Szalyga

**Name of Signer:** Laura Szalyga

**Title:** Treasurer