# EDGAR Filing Document

**Accession Number:** 0001612930
**File Stem:** 0001145549-23-017054
**Filing Date:** 2023-3
**Character Count:** 167902
**Document Hash:** 36647daa0b0ef574980f246b32ed3ff5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-017054.hdr.sgml**: 20230321

**ACCESSION NUMBER**: 0001145549-23-017054

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230321

**DATE AS OF CHANGE**: 20230321

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Angel Oak Funds Trust
- **CENTRAL INDEX KEY:** 0001612930
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22980
- **FILM NUMBER:** 23749324

**BUSINESS ADDRESS:**
- **STREET 1:** 3344 PEACHTREE ROAD NE, SUITE 1725
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326
- **BUSINESS PHONE:** 404-953-4900

**MAIL ADDRESS:**
- **STREET 1:** 3344 PEACHTREE ROAD NE, SUITE 1725
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326

## Series and Classes Contracts Data

### Angel Oak UltraShort Income Fund (Series ID: S000061509)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000199192 | Class A             | AOUAX           |
| C000199193 | Institutional Class | AOUIX           |
| C000199194 | Class A1            | AOUNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Angel Oak Funds Trust

- **b. Investment Company Act file number:** 811-22980

- **c. CIK number of Registrant:** 0001612930

- **d. LEI of Registrant:** 549300DGLMLNBVBKK655

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

  - **Street Address 1:** 3344 Peachtree Road NE

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30326

  - **Telephone number:** 404-953-4900

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

- **a. Name of Series:** Angel Oak UltraShort Income Fund

- **b. EDGAR series identifier (if any):** S000061509

- **c. LEI of Series:** 5493003M92WRE81EWR71

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

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $696838628.45

**Total Liabilities:** $3221426.18

**Net Assets:** $693617202.27

**Cash Not Reported:** $1155956.70

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5267.573597278169 | **1-Year:** 49371.451768445290 | **5-Year:** 41896.007592519320 | **10-Year:** 8217.117157971896 | **30-Year:** 654.273702295146

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

- **3-Month:** 360.518492043671 | **1-Year:** 4213.019857172533 | **5-Year:** 722.392951779790 | **10-Year:** 993.059754958630 | **30-Year:** 130.946758859853

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000199192 | -0.20%               | 0.18%                | 1.15%                |
| Class ID C000199193 | -0.29%               | 0.21%                | 1.18%                |
| Class ID C000199194 | -0.20%               | 0.18%                | 1.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9882881.20             | $7223618.00                                |
| Month 2  | $-8256880.23             | $7325951.12                                |
| Month 3  | $-1388616.39             | $8193162.18                                |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** B0YG6G8GTL

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Banc of America Funding Corpor | Banc of America Funding Corp                                                 | CUSIP: 05990QAU7<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   1583955 | PA      | $1488986.94   | 0.21%             | 2037-04-29      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd. | Barings Middle Market CLO Ltd 2021-I                                         | CUSIP: 06760WAA4<br>LEI: 549300NSFWDKJE15UK02 | Long             | ABS-CBDO         | CORP              | KY        |   2857143 | PA      | $2852671.41   | 0.41%             | 2033-07-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade Re 2019-1 Ltd                                                     | CUSIP: 07876RAC0<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |   1500000 | PA      | $1511736.00   | 0.22%             | 2029-03-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2020-3 Mortgage Loan Trust                                              | CUSIP: 12597QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286270 | PA      | $277367.62    | 0.04%             | 2065-04-27      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM1                                                               | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1814735 | PA      | $1572037.41   | 0.23%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2019-NQM1                                                        | CUSIP: 12655VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1452306 | PA      | $1402715.99   | 0.20%             | 2059-10-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                 | CPS Auto Receivables Trust 2021-B                                            | CUSIP: 12656QAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $431562.50    | 0.06%             | 2028-06-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                 | CPS Auto Receivables Trust 2021-D                                            | CUSIP: 12658VAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1861774.00   | 0.27%             | 2027-12-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM8                                                               | CUSIP: 12659FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4272487 | PA      | $3663319.75   | 0.53%             | 2066-10-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM3                                                               | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5967218 | PA      | $4989483.12   | 0.72%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM7                                                               | CUSIP: 12662QAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3619064 | PA      | $3119749.17   | 0.45%             | 2066-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2022-7 Mortgage Loan Trust                                              | CUSIP: 12663GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642626 | PA      | $625900.22    | 0.09%             | 2067-04-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                 | CPS Auto Receivables Trust 2022-D                                            | CUSIP: 12663UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1773688 | PA      | $1778989.67   | 0.26%             | 2027-01-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                 | CPS Auto Receivables Trust 2022-C                                            | CUSIP: 12664DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1162171.53   | 0.17%             | 2030-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                 | CPS Auto Receivables Trust 2023-A                                            | CUSIP: 12664LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $750161.25    | 0.11%             | 2026-11-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CARDS II Trust                 | CARDS II Trust                                                               | CUSIP: 14161GBY5<br>LEI: 549300GWPYLNK6X47W76 | Long             | ABS-O            | CORP              | CA        |    325000 | PA      | $308832.23    | 0.04%             | 2027-04-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust  | CarNow Auto Receivables Trust 2022-1                                         | CUSIP: 14367LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1245351.25   | 0.18%             | 2026-03-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust  | CarNow Auto Receivables Trust 2021-1                                         | CUSIP: 14369GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1195698.75   | 0.17%             | 2026-02-17      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-N1                                       | CUSIP: 14686GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805852 | PA      | $805836.61    | 0.12%             | 2028-12-11      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-N2                                       | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624449 | PA      | $572973.31    | 0.08%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2019-4                                        | CUSIP: 14686YAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $494125.50    | 0.07%             | 2025-07-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-N1                                       | CUSIP: 14687DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2542034 | PA      | $2393548.72   | 0.35%             | 2028-01-10      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-P2                                       | CUSIP: 14687TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1298856 | PA      | $1254386.18   | 0.18%             | 2026-03-10      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P1                                       | CUSIP: 14688DAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120202 | PA      | $120021.54    | 0.02%             | 2029-01-10      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Cerberus                       | Cerberus Loan Funding XXXVI LP                                               | CUSIP: 15674UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1611406 | PA      | $1602401.20   | 0.23%             | 2033-11-22      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R03                                 | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117558 | PA      | $117704.78    | 0.02%             | 2031-09-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2020-R02                                 | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562255 | PA      | $561111.00    | 0.08%             | 2040-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R08                                 | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458963 | PA      | $464132.09    | 0.07%             | 2042-07-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM5 Trust                                                         | CUSIP: 22946DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3410578 | PA      | $2722551.81   | 0.39%             | 2066-05-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust            | DT Auto Owner Trust 2022-2                                                   | CUSIP: 23345AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1675742.70   | 0.24%             | 2027-01-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust            | DT Auto Owner Trust 2022-3                                                   | CUSIP: 23345RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2771736.30   | 0.40%             | 2028-07-17      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust            | DT Auto Owner Trust 2022-1                                                   | CUSIP: 23345YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1933404.00   | 0.28%             | 2027-11-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding     | Donlen Fleet Lease Funding 2 LLC                                             | CUSIP: 257812AE7<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1406217.00   | 0.20%             | 2034-12-11      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FXLS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1537455 | PA      | $1515221.89   | 0.22%             | 2027-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | STACR Trust 2018-HRP1                                                        | CUSIP: 3137G0VC0<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |     87869 | PA      | $87978.36     | 0.01%             | 2043-04-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2016-SC02                            | CUSIP: 3137G1BF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2099712 | PA      | $1925925.58   | 0.28%             | 2046-10-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA3                                      | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410723 | PA      | $412521.24    | 0.06%             | 2042-04-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2020-NQM2 Trust                                                         | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1206065 | PA      | $1081743.02   | 0.16%             | 2065-04-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2020-2                                     | CUSIP: 38014RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $636447.50    | 0.09%             | 2027-04-15      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                     | goeasy Ltd                                                                   | CUSIP: 380355AD9<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $958680.00    | 0.14%             | 2024-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing LLC                                                  | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $754299.54    | 0.11%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST  | Skopos Auto Receivables Trust 2019-1                                         | CUSIP: 83085DAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $492235.00    | 0.07%             | 2026-06-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FMUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283349 | PA      | $281912.62    | 0.04%             | 2026-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FPHF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6267829 | PA      | $6245033.35   | 0.90%             | 2026-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FRE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119046 | PA      | $118428.72    | 0.02%             | 2027-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FUZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1713064 | PA      | $1696336.27   | 0.24%             | 2027-06-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FWGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2472939 | PA      | $2423299.24   | 0.35%             | 2030-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FXLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5040148 | PA      | $4976233.51   | 0.72%             | 2027-08-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                              | CUSIP: 3138LKHQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1955894 | PA      | $1885071.20   | 0.27%             | 2024-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NewStar Commercial Loan Fundin | First Eagle Commercial Loan Funding 2016-1 LLC                               | CUSIP: 32010LAA2<br>LEI: 549300MOI46ZB4RZW883 | Long             | ABS-CBDO         | CORP              | US        |   6402485 | PA      | $6365165.15   | 0.92%             | 2032-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru | First Investors Auto Owner Trust 2021-2                                      | CUSIP: 32057JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2402000 | PA      | $2211562.23   | 0.32%             | 2027-11-15      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru | First Investors Auto Owner Trust 2019-2                                      | CUSIP: 32058RAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $461147.50    | 0.07%             | 2026-07-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card  | Mercury Financial Credit Card Master Trust                                   | CUSIP: 58940BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4636140.00   | 0.67%             | 2026-09-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust   | METLIFE SECURITIZATION TRUST 2020-1                                          | CUSIP: 59166CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1929825 | PA      | $1654703.50   | 0.24%             | 2050-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MILLENNIUM CONS HOLDINGS       | Millennium Consolidated Holdings LLC                                         | CUSIP: 60040RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1989705.34   | 0.29%             | 2023-06-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade Re 2019-3 Ltd                                                     | CUSIP: 07877GAC3<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |   1397350 | PA      | $1384867.47   | 0.20%             | 2029-07-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade Re 2018-3 Ltd                                                     | CUSIP: 07877TAB7<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-MBS          | CORP              | BM        |    164331 | PA      | $164235.26    | 0.02%             | 2028-10-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur | BHG Securitization Trust 2021-B                                              | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1718408 | PA      | $1643234.87   | 0.24%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2021-A                                       | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387384 | PA      | $371750.84    | 0.05%             | 2059-10-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes Series 2022-A                        | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269871 | PA      | $263173.44    | 0.04%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXV, Ltd.         | Sculptor CLO XXV Ltd                                                         | CUSIP: 811244AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499925.00    | 0.07%             | 2031-01-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR2                                  | CUSIP: 16159GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1462309 | PA      | $1394436.94   | 0.20%             | 2049-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance  | Citibank Credit Card Issuance Trust                                          | CUSIP: 17305EGD1<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |   1865000 | PA      | $1872687.53   | 0.27%             | 2026-04-22      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-1RMortgage Pass-Through Certificates                               | CUSIP: 19688BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792981 | PA      | $702020.15    | 0.10%             | 2065-05-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Freedom Financial              | FREED ABS Trust 2022-4FP                                                     | CUSIP: 35634JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    704267 | PA      | $707349.11    | 0.10%             | 2029-12-18      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2021-NQM1                           | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1672102 | PA      | $1413744.13   | 0.20%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253000 | PA      | $1162861.69   | 0.17%             | 2031-04-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-3                                   | CUSIP: 85573JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426902 | PA      | $2826851.72   | 0.41%             | 2056-06-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-5                                   | CUSIP: 85573QAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4394214 | PA      | $3825787.60   | 0.55%             | 2066-09-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2019-2                                            | CUSIP: 46650TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363364 | PA      | $353488.85    | 0.05%             | 2049-08-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-6                                              | CUSIP: 46651BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1922553 | PA      | $1744921.01   | 0.25%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2017-2                                             | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597456 | PA      | $591656.22    | 0.09%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY3                                           | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338509 | PA      | $1322504.31   | 0.19%             | 2059-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-5                                   | CUSIP: 85573QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3878389 | PA      | $3381140.48   | 0.49%             | 2066-09-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd               | Symphony CLO XXV Ltd                                                         | CUSIP: 87167WAA3<br>LEI: 5493006CLZCEH6WYKR81 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499872.50    | 0.07%             | 2034-04-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes          | Tricon American Homes 2017-SFR2 Trust                                        | CUSIP: 89613FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2657734 | PA      | $2591699.79   | 0.37%             | 2036-01-17      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T | Tricolor Auto Securitization Trust 2022-1                                    | CUSIP: 89616BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $792627.20    | 0.11%             | 2025-05-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| TCW Gem Ltd                    | TCW CLO 2020-1 Ltd                                                           | CUSIP: 87190CAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2285714 | PA      | $2284450.26   | 0.33%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2021-2, Ltd.           | TCW CLO 2021-2 Ltd                                                           | CUSIP: 87190MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2666667 | PA      | $2665583.98   | 0.38%             | 2034-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC          | USASF Receivables 2020-1 LLC                                                 | CUSIP: 90353QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1997798.00   | 0.29%             | 2024-08-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC          | USASF Receivables 2020-1 LLC                                                 | CUSIP: 90353QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5828000 | PA      | $5904748.93   | 0.85%             | 2027-03-15      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2019-1 AMR, LTD.       | TCW CLO 2019-1 AMR Ltd                                                       | CUSIP: 87241EAN5<br>LEI: 549300RWQDI4UTTLDE63 | Long             | ABS-CBDO         | CORP              | KY        |   2666667 | PA      | $2665999.98   | 0.38%             | 2034-08-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.          | TRK 2022-INV1 Trust                                                          | CUSIP: 872635AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3594721 | PA      | $3182147.79   | 0.46%             | 2057-02-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC          | US Auto Funding Trust 2022-1                                                 | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $494206.50    | 0.07%             | 2025-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| UNIFY Auto Receivables Trust   | UNIFY Auto Receivables Trust 2021-1                                          | CUSIP: 90775QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $1337010.20   | 0.19%             | 2026-11-16      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitizat | United Auto Credit Securitization Trust 2022-1                               | CUSIP: 90944DAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1955896.00   | 0.28%             | 2027-06-10      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitizat | United Auto Credit Securitization Trust 2023-1                               | CUSIP: 90945CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $701010.10    | 0.10%             | 2025-07-10      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2022-3                                                 | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4152831 | PA      | $4199815.82   | 0.61%             | 2029-04-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2022-3                                                 | CUSIP: 882925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1413790.00   | 0.20%             | 2029-04-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                  | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $983228.29    | 0.14%             | 2023-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                  | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4946786.45   | 0.71%             | 2023-04-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                  | CUSIP: 912796ZZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4892555.90   | 0.71%             | 2023-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2019-3                                          | CUSIP: 91678WAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185386 | PA      | $1172862.53   | 0.17%             | 2030-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2022-2                                                 | CUSIP: 88339FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    766445 | PA      | $763654.36    | 0.11%             | 2028-12-15      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2021-1                                                 | CUSIP: 88339VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1878832.00   | 0.27%             | 2027-12-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-4                                          | CUSIP: 91678YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1751706 | PA      | $1733978.54   | 0.25%             | 2032-08-20      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitizat | United Auto Credit Securitization Trust 2022-2                               | CUSIP: 90944KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997537.00    | 0.14%             | 2025-12-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-5                                          | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209803 | PA      | $204408.76    | 0.03%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-5                                          | CUSIP: 91679JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $910832.00    | 0.13%             | 2031-11-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-3                                          | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1269571.05   | 0.18%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F9Z46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1496401 | PA      | $1448722.25   | 0.21%             | 2030-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F9ZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4660110 | PA      | $4562816.69   | 0.66%             | 2027-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FEJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2369114 | PA      | $2339694.79   | 0.34%             | 2028-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FF3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2295344 | PA      | $2246607.21   | 0.32%             | 2028-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FGRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    829867 | PA      | $820761.24    | 0.12%             | 2028-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST7                                   | CUSIP: 91683KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1168166 | PA      | $1128330.44   | 0.16%             | 2029-09-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST8                                   | CUSIP: 91683LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2838839 | PA      | $2665139.24   | 0.38%             | 2029-10-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FXQZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1072278 | PA      | $1047982.95   | 0.15%             | 2030-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Automobile Receivables Trust 2022-2                        | CUSIP: 34660DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1200819.60   | 0.17%             | 2027-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2022-ST1                                   | CUSIP: 91683NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2526775 | PA      | $2385166.80   | 0.34%             | 2030-03-20      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-4                                | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1239243 | PA      | $1099854.58   | 0.16%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust       | Foundation Finance Trust 2021-1                                              | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    975430 | PA      | $870244.80    | 0.13%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Freedom Financial              | FREED ABS Trust 2022-4FP                                                     | CUSIP: 35634JAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2007456.00   | 0.29%             | 2029-12-18      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-3                                | CUSIP: 92258RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2556314 | PA      | $2200884.30   | 0.32%             | 2051-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust   | Veros Auto Receivables Trust 2022-1                                          | CUSIP: 92512VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957619 | PA      | $941619.28    | 0.14%             | 2025-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2019-NQM2 Trust                                                         | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353467 | PA      | $338722.15    | 0.05%             | 2060-01-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ9                                 | CUSIP: 36263CAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8536170 | PA      | $7643423.64   | 1.10%             | 2052-02-26      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2021-4                                     | CUSIP: 36263DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1886824.00   | 0.27%             | 2027-10-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                            | CUSIP: 36264PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2978460 | PA      | $2615615.28   | 0.38%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd           | Gallatin CLO IX 2018-1 Ltd                                                   | CUSIP: 36361WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    904686 | PA      | $901285.69    | 0.13%             | 2028-01-21      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2017-1                                         | CUSIP: 36416UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39024 | PA      | $37413.89     | 0.01%             | 2056-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-3                                            | CUSIP: 92539LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932211 | PA      | $808497.38    | 0.12%             | 2066-06-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Visio Trust                    | Visio Trust                                                                  | CUSIP: 92837UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766000 | PA      | $1609392.94   | 0.23%             | 2056-05-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Genesis Sales Finance Master T | Genesis Sales Finance Master Trust                                           | CUSIP: 37186XAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1839606.00   | 0.27%             | 2026-12-21      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                        | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2191651 | PA      | $2029922.42   | 0.29%             | 2051-06-25      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd | Golub Capital Partners CLO 24M-R Ltd                                         | CUSIP: 38174YAA3<br>LEI: 5493009HFMPIX2ZNQ903 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1187427.60   | 0.17%             | 2029-11-05      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd            | Great Lakes CLO V Ltd                                                        | CUSIP: 39055VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2134286 | PA      | $2115807.06   | 0.31%             | 2033-04-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-2 Trust                          | CUSIP: 95002QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232449 | PA      | $224050.00    | 0.03%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2021-2                                 | CUSIP: 96042RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2086179.75   | 0.30%             | 2027-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta | Greystone CRE Notes 2021-HC2 LTD                                             | CUSIP: 39809XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4892990.00   | 0.71%             | 2039-12-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd | Highbridge Loan Management 7-2015 Ltd                                        | CUSIP: 40437RAD1<br>LEI: 254900IU43NDZ7HEB142 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3976632.00   | 0.57%             | 2027-03-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Hayfin Kingsland XI Ltd        | Hayfin Kingsland XI Ltd                                                      | CUSIP: 42086NAG3<br>LEI: 549300O98C0I3AZ3X247 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2099157.90   | 0.30%             | 2034-10-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM1                                       | CUSIP: 452764AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450820 | PA      | $1233727.62   | 0.18%             | 2056-06-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2023-1                                 | CUSIP: 96042XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001904.00   | 0.14%             | 2026-06-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2022-3                                 | CUSIP: 96043PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4004156.00   | 0.58%             | 2025-07-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                               | CUSIP: 46591HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128225 | PA      | $126413.10    | 0.02%             | 2028-01-25      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                               | CUSIP: 46591HAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    352617 | PA      | $348185.05    | 0.05%             | 2028-01-25      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                               | CUSIP: 46591HAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212544 | PA      | $207816.16    | 0.03%             | 2028-02-25      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                               | CUSIP: 46591HAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212544 | PA      | $207381.72    | 0.03%             | 2028-02-25      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV3                                           | CUSIP: 46591LBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620592 | PA      | $572249.92    | 0.08%             | 2050-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-LTV1                                           | CUSIP: 46591NBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598047 | PA      | $591909.48    | 0.09%             | 2050-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-7                                              | CUSIP: 46591XBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    917210 | PA      | $852247.08    | 0.12%             | 2051-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2020-INV                                 | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543960 | PA      | $1393838.88   | 0.20%             | 2055-11-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2020-ST3                                   | CUSIP: 91679RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2150069 | PA      | $2102494.34   | 0.30%             | 2028-04-20      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-2                                          | CUSIP: 91679TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335112 | PA      | $330335.00    | 0.05%             | 2032-05-20      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST     | Upstart Pass-Through Trust Series 2020-ST2                                   | CUSIP: 91680BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1273744 | PA      | $1247347.72   | 0.18%             | 2028-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2020-2                                          | CUSIP: 91680CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2453156 | PA      | $2390487.26   | 0.34%             | 2030-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-2                                          | CUSIP: 91680FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $222638.75    | 0.03%             | 2031-06-20      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST6                                   | CUSIP: 91680VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4429725 | PA      | $4149943.59   | 0.60%             | 2027-08-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Throug | Upstart Structured Pass-Through Trust Series 2022-4A                         | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3697359 | PA      | $3692475.24   | 0.53%             | 2030-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST1                                   | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2586825 | PA      | $2469041.73   | 0.36%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-1                                          | CUSIP: 91681NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $837304.20    | 0.12%             | 2031-03-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST3                                   | CUSIP: 91681PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3825098 | PA      | $3608961.23   | 0.52%             | 2027-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST2                                   | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5333654 | PA      | $5098818.48   | 0.74%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACC Trust                      | ACC Trust 2022-1                                                             | CUSIP: 00091HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2328943.20   | 0.34%             | 2025-02-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ACC Trust                      | ACC Trust 2021-1                                                             | CUSIP: 00091KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287051 | PA      | $286438.03    | 0.04%             | 2024-07-22      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                 | ACHV ABS TRUST 2023-1PL                                                      | CUSIP: 00091XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $200526.40    | 0.03%             | 2030-03-18      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Acres PLC                      | ACRES Commercial Realty 2021-FL1 Ltd                                         | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1950686.00   | 0.28%             | 2036-06-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                 | ACC Auto Trust 2021-A                                                        | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640978 | PA      | $634689.03    | 0.09%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                 | ACC Auto Trust 2021-A                                                        | CUSIP: 00108XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4776000 | PA      | $4611175.46   | 0.66%             | 2027-04-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2022-Z1                                    | CUSIP: 00833PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    679941 | PA      | $668078.51    | 0.10%             | 2027-06-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2021-B                                     | CUSIP: 00834DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $139422.75    | 0.02%             | 2026-08-17      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2021-B                                     | CUSIP: 00834DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $221383.75    | 0.03%             | 2026-08-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2023-A                                     | CUSIP: 00834JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $600783.00    | 0.09%             | 2028-01-18      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Ally Auto Receivables Trust    | Ally Auto Receivables Trust 2022-3                                           | CUSIP: 02008DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002917.00   | 0.14%             | 2025-06-16      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2022-4                          | CUSIP: 02529XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $609964.80    | 0.09%             | 2026-10-13      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust      | Avant Loans Funding Trust 2021-REV1                                          | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1932644.00   | 0.28%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Tr | Avid Automobile Receivables Trust 2019-1                                     | CUSIP: 05369DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $969636.00    | 0.14%             | 2026-07-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Tr | Avid Automobile Receivables Trust 2021-1                                     | CUSIP: 05369LAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $918620.00    | 0.13%             | 2028-04-17      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                        | BDS 2021-FL8                                                                 | CUSIP: 05493JAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1881562.00   | 0.27%             | 2036-01-18      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BXP Trust 2017-CQHP                                                          | CUSIP: 12433QAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2935020.00   | 0.42%             | 2034-11-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust | Cascade Funding Mortgage Trust 2021-HB6                                      | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243310 | PA      | $1182685.85   | 0.17%             | 2036-06-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust | CFMT 2021-GRN1 Issuer Trust                                                  | CUSIP: 12529KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1960359 | PA      | $1799445.19   | 0.26%             | 2041-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2019-AFC1 Trust                                                         | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1701527 | PA      | $1620745.64   | 0.23%             | 2049-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-2 Mortgage Loan Trust                                              | CUSIP: 19685WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778731 | PA      | $652013.40    | 0.09%             | 2066-08-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2019-NQM5                                | CUSIP: 64830PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378212 | PA      | $356715.02    | 0.05%             | 2059-11-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2019-3                                         | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1066587 | PA      | $1039168.53   | 0.15%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2021-2                                         | CUSIP: 78432YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4294771 | PA      | $3698485.18   | 0.53%             | 2061-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-N1                                       | CUSIP: 14687DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1823671 | PA      | $1727026.94   | 0.25%             | 2028-01-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-N3                                       | CUSIP: 14687GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3545479 | PA      | $3389520.33   | 0.49%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Cathedral Lake LTD             | Cathedral Lake VI Ltd                                                        | CUSIP: 14919LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2736842 | PA      | $2735451.76   | 0.39%             | 2034-04-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd              | Cedar Funding IV CLO Ltd                                                     | CUSIP: 150323AW3<br>LEI: 549300PPJP6KEORGHQ85 | Long             | ABS-CBDO         | CORP              | KY        |   1666664 | PA      | $1665759.00   | 0.24%             | 2034-07-23      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P           | Conn's Receivables Funding 2022-A LLC                                        | CUSIP: 20825YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2096802 | PA      | $2102031.19   | 0.30%             | 2026-12-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2                      | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264123 | PA      | $263294.36    | 0.04%             | 2026-10-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Credit Suisse ABS Trust        | Credit Suisse ABS Trust 2020-AT1                                             | CUSIP: 22551XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232283 | PA      | $224391.72    | 0.03%             | 2026-10-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust            | DT Auto Owner Trust 2021-3                                                   | CUSIP: 23344QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $414889.00    | 0.06%             | 2028-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F73D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256001 | PA      | $1236964.73   | 0.18%             | 2027-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F84A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1102928 | PA      | $1075414.08   | 0.16%             | 2030-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                           | CUSIP: 3137F9YS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2765322 | PA      | $2687350.61   | 0.39%             | 2035-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FLYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761483 | PA      | $758660.20    | 0.11%             | 2026-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137H13Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354337 | PA      | $341302.43    | 0.05%             | 2031-05-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC       | FHF Trust 2022-2                                                             | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    963226 | PA      | $959223.68    | 0.14%             | 2027-12-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                   | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   6289350 | NS      | $6289349.83   | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| First Investors Auto Owner Tru | First Investors Auto Owner Trust 2021-1                                      | CUSIP: 32059FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690000 | PA      | $1640844.66   | 0.24%             | 2027-03-15      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru | First Investors Auto Owner Trust 2019-1                                      | CUSIP: 32059TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $445523.85    | 0.06%             | 2026-07-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust     | Flagship Credit Auto Trust 2019-4                                            | CUSIP: 33845FAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $917361.80    | 0.13%             | 2026-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2020-1                                                | CUSIP: 57109JAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8396860 | PA      | $8152687.45   | 1.18%             | 2030-03-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                             | CUSIP: 33851FAB3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   1134576 | PA      | $1059481.85   | 0.15%             | 2048-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                     | CUSIP: 345397A78<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    800000 | PA      | $786202.42    | 0.11%             | 2023-11-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2019-4                                                | CUSIP: 57110AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4098526 | PA      | $4033301.81   | 0.58%             | 2029-12-17      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2021-1                                                | CUSIP: 57110NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $923850.80    | 0.13%             | 2031-06-16      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance                                            | CUSIP: 585494AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3814665 | PA      | $3307935.94   | 0.48%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card  | Mercury Financial Credit Card Master Trust                                   | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14562000 | PA      | $14093351.15  | 2.03%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust       | Mill City Mortgage Loan Trust 2019-GS2                                       | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377117 | PA      | $350121.74    | 0.05%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust       | Mill City Mortgage Loan Trust 2021-NMR1                                      | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232145 | PA      | $1135497.59   | 0.16%             | 2060-11-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc    | Continental Finance Credit Card ABS Master Trust                             | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $476264.50    | 0.07%             | 2028-12-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc    | Continental Finance Credit Card ABS Master Trust                             | CUSIP: 66981PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1821366.00   | 0.26%             | 2029-12-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2018-EXP1 Trust                                                          | CUSIP: 67097VAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133444 | PA      | $130097.14    | 0.02%             | 2048-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-NQM1 Trust                                                          | CUSIP: 67114BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4850898 | PA      | $4005245.68   | 0.58%             | 2066-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2020-EXP1 Trust                                                          | CUSIP: 67448TBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549553 | PA      | $508383.16    | 0.07%             | 2060-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR       | Occidental Petroleum Corp                                                    | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    472000 | PA      | $481083.64    | 0.07%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC            | Oportun Funding 2022-1 LLC                                                   | CUSIP: 68377XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887151 | PA      | $873065.65    | 0.13%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-3                                        | CUSIP: 69546RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2999837 | PA      | $2763122.60   | 0.40%             | 2029-05-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2020-ST5                                   | CUSIP: 91680WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910403 | PA      | $872135.42    | 0.13%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2020-ST6                                   | CUSIP: 91680XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643698 | PA      | $614069.00    | 0.09%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Throug | Upstart Structured Pass-Through Trust Series 2022-2A                         | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    761605 | PA      | $733175.57    | 0.11%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST10                                  | CUSIP: 91681WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2846109 | PA      | $2728784.24   | 0.39%             | 2030-01-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-4                                          | CUSIP: 91682NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3676100.00   | 0.53%             | 2031-09-20      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-2                                | CUSIP: 92259MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3902956 | PA      | $3284423.59   | 0.47%             | 2051-08-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2022-5                                            | CUSIP: 924921AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    969884 | PA      | $829321.80    | 0.12%             | 2067-04-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust   | Veros Auto Receivables Trust 2021-1                                          | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315109 | PA      | $310887.57    | 0.04%             | 2026-10-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                     | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1988027.60   | 0.29%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust       | Foundation Finance Trust 2020-1                                              | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |    987803 | PA      | $935716.28    | 0.13%             | 2040-07-16      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust       | Foundation Finance Trust 2021-2                                              | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |   1161492 | PA      | $1059816.91   | 0.15%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-5                                              | CUSIP: 46591FAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882560 | PA      | $847230.14    | 0.12%             | 2049-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-1                                              | CUSIP: 46592EBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4358417 | PA      | $3984089.77   | 0.57%             | 2051-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-1                                              | CUSIP: 46648RAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885506 | PA      | $809310.09    | 0.12%             | 2048-06-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-1                                              | CUSIP: 46650HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110405 | PA      | $102075.73    | 0.01%             | 2049-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd              | Jamestown CLO IX Ltd                                                         | CUSIP: 47048JAV5<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-CBDO         | CORP              | KY        |   2333350 | PA      | $2332425.99   | 0.34%             | 2034-07-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                               | CUSIP: 48128U2P3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    644371 | PA      | $617499.18    | 0.09%             | 2028-12-26      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust     | LAD Auto Receivables Trust 2022-1                                            | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763957 | PA      | $757988.14    | 0.11%             | 2027-06-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC            | LL ABS Trust 2019-1                                                          | CUSIP: 50202HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2129692 | PA      | $2106348.38   | 0.30%             | 2028-01-17      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | LendingPoint 2020-REV1 Asset Securitization Trust                            | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1318666 | PA      | $1305469.01   | 0.19%             | 2028-10-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2021-A Asset Securitization Trust                               | CUSIP: 52607FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3364832 | PA      | $3337529.96   | 0.48%             | 2028-12-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2021-B Asset Securitization Trust                               | CUSIP: 52607HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $960989.00    | 0.14%             | 2029-02-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust  | Lendbuzz Securitization Trust 2022-1                                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5152179 | PA      | $5010932.01   | 0.72%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus | LendingPoint Pass-Through Trust Series 2022-ST1                              | CUSIP: 52607NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1122188 | PA      | $1073903.87   | 0.15%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus | LendingPoint Pass-Through Trust Series 2022-ST2                              | CUSIP: 52607QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1282647 | PA      | $1241357.37   | 0.18%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC            | LL ABS Trust 2021-1                                                          | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795691 | PA      | $1744111.71   | 0.25%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC            | LL ABS Trust 2021-1                                                          | CUSIP: 53934QAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $918305.00    | 0.13%             | 2029-05-15      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO         | Monroe Capital Mml Clo 2017-1 Ltd                                            | CUSIP: 61033RAJ2<br>LEI: 5493006UQZL8BZLQCE22 | Long             | ABS-CBDO         | CORP              | KY        |   2100600 | PA      | $2083518.00   | 0.30%             | 2029-04-22      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO VI LTD  | Monroe Capital MML CLO VI Ltd                                                | CUSIP: 61034HAA2<br>LEI: 254900SICWP7QQDX8T50 | Long             | ABS-CBDO         | CORP              | KY        |   1985306 | PA      | $1966562.34   | 0.28%             | 2030-04-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO              | Mountain View CLO 2016-1 LLC                                                 | CUSIP: 62432FAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1684210 | PA      | $1684210.48   | 0.24%             | 2033-04-14      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO              | Mountain View Clo XIV Ltd                                                    | CUSIP: 62432MAL3<br>LEI: 549300IB1UGD5G8HYT10 | Long             | ABS-CBDO         | CORP              | KY        |   1631250 | PA      | $1630838.93   | 0.24%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NLT 2021-INV2 Trust                                                          | CUSIP: 62917JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2036046 | PA      | $1657630.78   | 0.24%             | 2056-08-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NMLT 2021-INV1 Trust                                                         | CUSIP: 62923JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1529631 | PA      | $1255365.27   | 0.18%             | 2056-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se | Natixis Commercial Mortgage Securities Trust 2019-MILE                       | CUSIP: 63875FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $979151.00    | 0.14%             | 2036-07-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd       | Neuberger Berman CLO XX Ltd                                                  | CUSIP: 64130TAY1<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3498085.50   | 0.50%             | 2034-07-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2021-INV1                                | CUSIP: 64829WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2424629 | PA      | $2171051.24   | 0.31%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2019-NQM5                                | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502884 | PA      | $478087.49    | 0.07%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-7                                | CUSIP: 80287FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502428.50    | 0.07%             | 2026-01-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2021-INV1 Trust                                                          | CUSIP: 552747AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694620 | PA      | $650657.27    | 0.09%             | 2056-01-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2020-NQM1 Trust                                                          | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904474 | PA      | $845261.01    | 0.12%             | 2049-08-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2020-NQM3 Trust                                                          | CUSIP: 552757AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631320 | PA      | $595418.18    | 0.09%             | 2065-01-26      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XIX Ltd       | Marble Point CLO XIX Ltd                                                     | CUSIP: 56607KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    999998 | PA      | $999604.00    | 0.14%             | 2034-01-19      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                 | CUSIP: 02582JHS2<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1799869.84   | 0.26%             | 2025-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec | Arivo Acceptance Auto Loan Receivables Trust 2022-2                          | CUSIP: 04047JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563757 | PA      | $570345.64    | 0.08%             | 2029-01-16      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                | Madison Park Funding XLI Ltd                                                 | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |   2946631 | PA      | $2921876.83   | 0.42%             | 2027-04-22      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust | Avant Credit Card Master Trust                                               | CUSIP: 05351KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3196525.50   | 0.46%             | 2027-04-15      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust | Avant Credit Card Master Trust                                               | CUSIP: 05351KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2048602.50   | 0.30%             | 2027-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2020-3 Mortgage Loan Trust                                              | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977053 | PA      | $930400.24    | 0.13%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2020-NP1                                      | CUSIP: 14687PAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1966236.00   | 0.28%             | 2026-01-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT Funding LLC                                                             | CUSIP: 19688DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831323 | PA      | $676502.53    | 0.10%             | 2064-12-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2020-2 Mortgage Loan Trust                                              | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245302 | PA      | $242942.62    | 0.04%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2020-2 Mortgage Loan Trust                                              | CUSIP: 19688JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1710000 | PA      | $1586926.17   | 0.23%             | 2065-03-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNA       | Compass Minerals International Inc                                           | CUSIP: 20451NAE1<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2909309.97   | 0.42%             | 2024-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03                                 | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2563332 | PA      | $2600179.73   | 0.37%             | 2042-03-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-1                                  | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284123 | PA      | $1203324.91   | 0.17%             | 2065-05-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                | Saranac Clo VII Ltd                                                          | CUSIP: 80317EAA7<br>LEI: 5493000RC2FP2JRHW627 | Long             | ABS-CBDO         | CORP              | JE        |   5074838 | PA      | $5041801.29   | 0.73%             | 2029-11-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV               | SpringCastle America Funding LLC                                             | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10363595 | PA      | $9536517.60   | 1.37%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP           | OneMain Finance Corp                                                         | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1265692.50   | 0.18%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1                                     | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140238 | PA      | $139026.27    | 0.02%             | 2050-01-28      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1                                     | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74136 | PA      | $73402.94     | 0.01%             | 2050-01-28      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST        | Starwood Property Trust Inc                                                  | CUSIP: 85571BAS4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3986000.00   | 0.57%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2020-1                                   | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553287 | PA      | $526935.09    | 0.08%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-2                                   | CUSIP: 85573HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565395 | PA      | $520682.60    | 0.08%             | 2065-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2022-1                                                 | CUSIP: 88339XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2102119 | PA      | $2047808.97   | 0.30%             | 2028-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2017-6                                             | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134927 | PA      | $124084.05    | 0.02%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                  | CUSIP: 912797FF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4929218.25   | 0.71%             | 2023-05-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                             | CUSIP: 91282CBE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3828459.36   | 0.55%             | 2024-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2019-ST1                               | CUSIP: 91531UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35107 | PA      | $35051.18     | 0.01%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2019-ST3                               | CUSIP: 91532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259183 | PA      | $259206.09    | 0.04%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2019-ST4                               | CUSIP: 91532TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       927 | PA      | $927.54       | 0.00%             | 2025-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST4                                   | CUSIP: 91534HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4114167 | PA      | $3846141.05   | 0.55%             | 2027-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2019-2                                          | CUSIP: 916780AC3<br>LEI: 549300PN2KS41LBX8D66 | Long             | ABS-O            | CORP              | US        |   2196532 | PA      | $2189573.88   | 0.32%             | 2029-09-20      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-LTV3                                           | CUSIP: 46651HAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233709 | PA      | $230789.32    | 0.03%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP              | CUSIP: 46651MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351748 | PA      | $352892.58    | 0.05%             | 2036-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-6                                              | CUSIP: 46653PAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2831289 | PA      | $2594960.87   | 0.37%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2022-C Asset Securitization Trust                               | CUSIP: 525919AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2000716.00   | 0.29%             | 2030-02-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2022-A Asset Securitization Trust                               | CUSIP: 52605AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1700938.75   | 0.25%             | 2029-06-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust  | LendingClub Receivables Trust Series 2020-6                                  | CUSIP: 52606PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115841 | PA      | $115658.05    | 0.02%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2021-3                                                | CUSIP: 57108QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2838438.00   | 0.41%             | 2031-12-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Maste | Mission Lane Credit Card Master Trust                                        | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1939078.00   | 0.28%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2021-NQM2R                               | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359628 | PA      | $321681.56    | 0.05%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                       | OZLM XIV Ltd                                                                 | CUSIP: 67110HBL1<br>LEI: 549300Y1XB6AVMQY8652 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $599773.78    | 0.09%             | 2034-07-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-5                                        | CUSIP: 69547EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999882 | PA      | $911796.55    | 0.13%             | 2029-08-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-1                                        | CUSIP: 69547JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10045859 | PA      | $9534665.31   | 1.37%             | 2027-11-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-1                                        | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199918 | PA      | $174474.68    | 0.03%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | PAGAYA AI Debt Trust 2022-3                                                  | CUSIP: 69547MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2525231 | PA      | $2504822.14   | 0.36%             | 2030-03-15      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-HG1                                      | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3968060 | PA      | $3753963.13   | 0.54%             | 2029-01-16      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-HG1                                      | CUSIP: 69547PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1562772 | PA      | $1473336.48   | 0.21%             | 2029-01-16      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Trust 2022-5                                                  | CUSIP: 69548HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1477082 | PA      | $1493570.16   | 0.22%             | 2030-06-17      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| Pepper Residential Securities  | Pepper Residential Securities Trust                                          | CUSIP: 71336WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     10531 | PA      | $10538.53     | 0.00%             | 2060-01-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Pepper Residential Securities  | Pepper Residential Securities Trust No. 23                                   | CUSIP: 71338BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     31101 | PA      | $31120.90     | 0.00%             | 2060-08-18      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus | Prestige Auto Receivables Trust 2022-1                                       | CUSIP: 74113RAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1160000 | PA      | $1176919.76   | 0.17%             | 2028-07-17      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2021-NPL3 LLC                                                           | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5150465 | PA      | $4591031.97   | 0.66%             | 2051-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding       | Purchasing Power Funding 2021-A LLC                                          | CUSIP: 74615JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2448322.50   | 0.35%             | 2025-10-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC               | RCO VI Mortgage LLC 2022-1                                                   | CUSIP: 74934VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3679839 | PA      | $3491137.14   | 0.50%             | 2027-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2019-3                                         | CUSIP: 78432BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206834 | PA      | $201910.75    | 0.03%             | 2059-09-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2022-2                                         | CUSIP: 78434KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970608 | PA      | $917343.43    | 0.13%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg | Saluda Grade Alternative Mortgage Trust 2021-MF1                             | CUSIP: 79582KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4743990.00   | 0.68%             | 2029-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST     | Upstart Pass-Through Trust Series 2020-ST1                                   | CUSIP: 91679MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475735 | PA      | $1446424.09   | 0.21%             | 2028-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2019-INV3                                         | CUSIP: 92537MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1276548 | PA      | $1233275.34   | 0.18%             | 2059-11-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2019-INV3                                         | CUSIP: 92537MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2513000 | PA      | $2208364.09   | 0.32%             | 2059-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-5                                            | CUSIP: 92538CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006261 | PA      | $944580.13    | 0.14%             | 2065-05-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-8                                            | CUSIP: 92538GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1853758 | PA      | $1602431.16   | 0.23%             | 2066-11-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-4                                            | CUSIP: 92538HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1754047 | PA      | $1470810.62   | 0.21%             | 2066-07-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-5                                            | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570949 | PA      | $2047218.60   | 0.30%             | 2066-09-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2022-3                                            | CUSIP: 92538UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2717868 | PA      | $2519906.71   | 0.36%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd              | Wellfleet CLO X LTD                                                          | CUSIP: 94949WAL0<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |   2727273 | PA      | $2726050.88   | 0.39%             | 2032-07-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2020-2                                 | CUSIP: 96042PAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $979665.00    | 0.14%             | 2026-01-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2020-3                                 | CUSIP: 96042QAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835000 | PA      | $818407.72    | 0.12%             | 2025-11-17      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust   | WinWater Mortgage Loan Trust 2015-A                                          | CUSIP: 97653BAZ4<br>LEI: 549300XEB1FUZ3CHE748 | Long             | ABS-MBS          | CORP              | US        |   6598909 | PA      | $77022.47     | 0.01%             | 2045-06-20      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                 | ICG US CLO Ltd                                                               | CUSIP: BCC2HWBZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1777225 | PA      | $1764191.10   | 0.25%             | 2028-10-19      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                            | 3y Eris Swp Fut   Sep22                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -333 | NC      | $852300.40    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3y Eris Swp Fut   Dec22                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -293 | NC      | $75957.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 4y Eris Swp Fut   Sep22                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -55 | NC      | $154924.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 4y Eris Swp Fut   Dec22                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -300 | NC      | $-506810.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Lake Shore MM CLO IV LLC       | Lake Shore MM CLO IV Ltd                                                     | CUSIP: 51075LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3483333 | PA      | $3477923.46   | 0.50%             | 2033-10-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| THL Credit Lake Shore MM CLO I | THL Credit Lake Shore MM CLO I LTD                                           | CUSIP: 510800AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1666667 | PA      | $1663176.69   | 0.24%             | 2033-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2022-B Asset Securitization Trust                               | CUSIP: 52606WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    647896 | PA      | $640417.49    | 0.09%             | 2029-10-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO         | Monroe Capital Mml Clo XII Ltd                                               | CUSIP: 61034VAA1<br>LEI: 549300015LLKJVT5UL74 | Long             | ABS-CBDO         | CORP              | KY        |   3372000 | PA      | $3368139.06   | 0.49%             | 2033-09-14      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2020-NQM                                 | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663186 | PA      | $636872.59    | 0.09%             | 2060-05-24      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust       | Octane Receivables Trust 2021-2                                              | CUSIP: 67578AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1164239 | PA      | $1112647.81   | 0.16%             | 2028-09-20      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC            | Oportun Issuance Trust 2021-C                                                | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1779782.00   | 0.26%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd               | Owl Rock CLO I Ltd                                                           | CUSIP: 69122DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2978445.00   | 0.43%             | 2031-05-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2020-3                                        | CUSIP: 69546TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1982520.00   | 0.29%             | 2027-05-17      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-1                                        | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1687155 | PA      | $1671054.65   | 0.24%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC       | Prime Security Services Borrower LLC / Prime Finance Inc                     | CUSIP: 74166MAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3466505.00   | 0.50%             | 2024-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T | Ready Capital Mortgage Financing 2021-FL6 LLC                                | CUSIP: 75575TAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1950000 | PA      | $1817372.70   | 0.26%             | 2036-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Resimac                        | RESIMAC Bastille Trust Series 2018-1NC                                       | CUSIP: 76118VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     21830 | PA      | $21872.23     | 0.00%             | 2059-12-05      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus | Residential Mortgage Loan Trust 2020-1                                       | CUSIP: 76119CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599143 | PA      | $574319.66    | 0.08%             | 2060-01-26      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus | Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 76119DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294464 | PA      | $286873.13    | 0.04%             | 2059-05-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd              | Elevation CLO 2021-14 Ltd                                                    | CUSIP: 28623RAA6<br>LEI: 549300JPI8D017HI2768 | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2748776.25   | 0.40%             | 2034-10-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH                                         | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1366669 | PA      | $1328049.77   | 0.19%             | 2038-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006         | FMG Resources August 2006 Pty Ltd                                            | CUSIP: 30251GAW7<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    500000 | PA      | $497130.00    | 0.07%             | 2024-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-1               | FHF Trust 2021-1                                                             | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1965567 | PA      | $1893521.58   | 0.27%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust       | FWDSecuritization Trust 2019-INV1                                            | CUSIP: 302980AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580762 | PA      | $549855.35    | 0.08%             | 2049-06-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2               | FHF Trust 2021-2                                                             | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1533779 | PA      | $1473835.79   | 0.21%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                            | CUSIP: 3136AXYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772654 | PA      | $737332.34    | 0.11%             | 2046-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B7MZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1599114 | PA      | $1583240.87   | 0.23%             | 2023-10-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137BWVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1198546 | PA      | $1197017.95   | 0.17%             | 2024-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                           | CUSIP: 3137F4R46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553690 | PA      | $542968.28    | 0.08%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F72L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511034 | PA      | $500287.87    | 0.07%             | 2030-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F73C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1469007 | PA      | $1446047.55   | 0.21%             | 2027-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137F8RQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528473 | PA      | $513559.68    | 0.07%             | 2030-11-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FHX40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2131922 | PA      | $2124378.90   | 0.31%             | 2025-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FL7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1184460 | PA      | $1182381.08   | 0.17%             | 2026-02-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| PBF LOGISTICS LP/FINANCE       | PBF Logistics LP / PBF Logistics Finance Corp                                | CUSIP: 69318UAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $550584.72    | 0.08%             | 2023-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust        | PNMAC FMSR ISSUER TRUST 2018-FT1                                             | CUSIP: 69346MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4991130.00   | 0.72%             | 2023-04-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-3 LLC                                                              | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106035 | PA      | $99658.97     | 0.01%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-5 LLC                                                              | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110129 | PA      | $102092.15    | 0.01%             | 2026-06-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-6 LLC                                                              | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3212171 | PA      | $2997758.64   | 0.43%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-9 LLC                                                              | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2180256 | PA      | $2040187.47   | 0.29%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM LLC                                                                     | CUSIP: 69378KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430567 | PA      | $2278119.58   | 0.33%             | 2067-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Trust 2022-1                                                  | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4417390 | PA      | $4284223.34   | 0.62%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Trust 2022-1                                                  | CUSIP: 69546MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499669 | PA      | $2286297.64   | 0.33%             | 2029-10-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST  | Skopos Auto Receivables Trust 2019-1                                         | CUSIP: 83085DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3945572 | PA      | $3930863.23   | 0.57%             | 2025-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program 2022-1S Trust                                     | CUSIP: 83406QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1340061 | PA      | $1344334.56   | 0.19%             | 2031-04-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Angel Oak Ultrashort Income ET | Angel Oak Ultrashort Income ETF                                              | CUSIP: 03463K752<br>LEI: 549300AEKI5OUZTQ9F54 | Long             | EC               | RF                | US        |     96500 | NS      | $4880005.00   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec | Arivo Acceptance Auto Loan Receivables Trust 2021-1                          | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459788 | PA      | $446899.23    | 0.06%             | 2027-01-15      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec | Arivo Acceptance Auto Loan Receivables Trust 2021-1                          | CUSIP: 04047AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $135383.40    | 0.02%             | 2027-03-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec | Arivo Acceptance Auto Loan Receivables Trust 2022-1                          | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1255545 | PA      | $1224655.14   | 0.18%             | 2028-05-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur | BHG Securitization Trust 2022-B                                              | CUSIP: 05553DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1639074 | PA      | $1621389.84   | 0.23%             | 2035-06-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VOLT                                       | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1937554.00   | 0.28%             | 2036-09-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2020-NQM1                                    | CUSIP: 105699AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    824600 | PA      | $794734.63    | 0.11%             | 2060-05-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2020-NQM1                                    | CUSIP: 105699AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571166 | PA      | $545096.50    | 0.08%             | 2060-05-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Tr | Bunker Hill Loan Depositary Trust 2019-3                                     | CUSIP: 12062BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1427018 | PA      | $1367329.87   | 0.20%             | 2059-11-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BXP Trust 2017-CQHP                                                          | CUSIP: 12433QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990036.00    | 0.14%             | 2034-11-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding 2015-III Ltd                                                    | CUSIP: 12550MAJ9<br>LEI: 549300UDPJ30BQP2HX62 | Long             | ABS-CBDO         | CORP              | KY        |   4362822 | PA      | $4329228.29   | 0.62%             | 2029-04-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV2                                                          | CUSIP: 12554TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203437 | PA      | $190780.36    | 0.03%             | 2049-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2021-NR2                                                           | CUSIP: 12565CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2887779 | PA      | $2616030.35   | 0.38%             | 2059-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2017-PFHP                                                         | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $618419.00    | 0.09%             | 2030-12-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                 | CPS Auto Receivables Trust 2019-C                                            | CUSIP: 12596UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58422 | PA      | $58393.76     | 0.01%             | 2025-06-16      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2019-AFC1 Trust                                                         | CUSIP: 12596XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762079 | PA      | $727695.97    | 0.10%             | 2049-07-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-AFC1 Trust                                                         | CUSIP: 12597MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493091 | PA      | $471359.61    | 0.07%             | 2050-02-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-33 | CUSIP: 21055LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812830 | PA      | $756830.71    | 0.11%             | 2044-10-17      | Variable      | 11.53%                | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-2                                  | CUSIP: 24381WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925735 | PA      | $751273.76    | 0.11%             | 2066-04-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd              | Elevation Clo 2021-13 Ltd                                                    | CUSIP: 28622EAA6<br>LEI: 549300YZ3RIOTSOP0V95 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999176.00   | 0.29%             | 2034-07-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Automobile Receivables Trust 2020-1                        | CUSIP: 35105FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1376083.80   | 0.20%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Automobile Receivables Trust 2019-1                        | CUSIP: 35105RAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2598164.40   | 0.37%             | 2026-11-16      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Automobile Receivables Trust 2021-2                        | CUSIP: 35105UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2858343.00   | 0.41%             | 2027-07-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA1                                      | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873577 | PA      | $860893.04    | 0.12%             | 2042-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-NQM4 Trust                                                         | CUSIP: 36170HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629685 | PA      | $605630.56    | 0.09%             | 2067-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| General Motors                 | GMF Floorplan Owner Revolving Trust                                          | CUSIP: 361886CM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $583143.60    | 0.08%             | 2025-10-15      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-GR2                                 | CUSIP: 36250BAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2167446 | PA      | $2145166.34   | 0.31%             | 2044-07-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR                                   | CUSIP: 36251SAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $747173.63    | 0.11%             | 2031-07-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2019-1                                     | CUSIP: 36256DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5875000 | PA      | $5852974.63   | 0.84%             | 2025-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortage-Backed Securities Trust 2020-PJ1                                  | CUSIP: 36258FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210961 | PA      | $192471.95    | 0.03%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2019-4                                     | CUSIP: 36258HAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1702435.00   | 0.25%             | 2026-08-17      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2020-1                                     | CUSIP: 36258XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $434334.60    | 0.06%             | 2026-11-16      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-HART                                       | CUSIP: 36259DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $667545.08    | 0.10%             | 2031-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-NQM1                                | CUSIP: 36259WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446848 | PA      | $422484.31    | 0.06%             | 2060-09-27      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2020-PJ2                            | CUSIP: 36262DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247170 | PA      | $224029.35    | 0.03%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ10                                | CUSIP: 36262PAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4371708 | PA      | $3787866.46   | 0.55%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-07

**Name of Applicant:** Angel Oak Funds Trust

**Signature:** /s/ Daniel Fazioli

**Name of Signer:** Angel Oak Funds Trust

**Title:** Principal Financial Officer