# EDGAR Filing Document

**Accession Number:** 0000939934
**File Stem:** 0001752724-23-016946
**Filing Date:** 2023-1
**Character Count:** 357663
**Document Hash:** 8c63c707a980cfd85e2e1500c7eff164
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016946.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016946

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI INSTITUTIONAL INVESTMENTS TRUST
- **CENTRAL INDEX KEY:** 0000939934
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07257
- **FILM NUMBER:** 23564331

**BUSINESS ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456
- **BUSINESS PHONE:** 610 676-3097

**MAIL ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456

## Series and Classes Contracts Data

### SIIT Opportunistic Income Fund (Series ID: S000014581)

| Class ID   | Class Name                               | Ticker Symbol   |
|:---|:---|:---|
| C000039813 | SIIT Opportunistic Income Fund - Class A | ENIAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI INSTITUTIONAL INVESTMENTS TRUST

- **b. Investment Company Act file number:** 811-07257

- **c. CIK number of Registrant:** 0000939934

- **d. LEI of Registrant:** 0N2JSH1PTH72JCCP2A88

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

  - **Street Address 1:** ONE FREEDOM VALLEY DRIVE

  - **City:** OAKS

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19456

  - **Telephone number:** 8003425734

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

- **a. Name of Series:** SIIT OPPORTUNISTIC INCOME FUND

- **b. EDGAR series identifier (if any):** S000014581

- **c. LEI of Series:** QITQ3ENZHD0VPXRH4978

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $597880204.34

**Total Liabilities:** $16406123.79

**Net Assets:** $581474080.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1203.40554799 | **1-Year:** -18938.25489526 | **5-Year:** -25824.13237413 | **10-Year:** -10557.74895671 | **30-Year:** -597.75106143

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

- **3-Month:** -498.85203046 | **1-Year:** -33854.95060644 | **5-Year:** -38734.86463593 | **10-Year:** -4718.62681015 | **30-Year:** -455.86795150

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000039813 | 0.65%                | 0.08%                | -1.14%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-753589.56              | $2087360.13                                |
| Month 2  | $-1207821.71             | $-892149.79                                |
| Month 3  | $-603868.00              | $-9524006.75                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| USI INC (FKA COMPASS INVESTORS INC.)                                         | USI INC (FKA COMPASS INVESTORS INC.) 5/16/2024                          | CUSIP: 90351NAE5<br>LEI: N/A                  | Long             | LON              |  | US        |    728089 | PA      | $726043.08    | 0.12%             | 2024-05-16      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP VARIABLE RATE 02/04/2025                           | CUSIP: 06051GKF5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    195000 | PA      | $191594.16    | 0.03%             | 2025-02-04      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                       | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3 SDART 2021-3 B            | CUSIP: 80287EAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    122693 | PA      | $121434.75    | 0.02%             | 2025-12-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES HOLDINGS, INC.                                             | SS&C TECHNOLOGIES HOLDINGS, INC. 3/22/2029                              | CUSIP: 78466DBG8<br>LEI: N/A                  | Long             | LON              |  | US        |    214500 | PA      | $210049.13    | 0.04%             | 2029-03-22      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| MISSOURI HIGHER ED LN AUTH STUDENT LN REV                                    | MISSOURI HIGHER EDUCATION LOAN AUTHORITY MHELA 2021-1 A1B               | CUSIP: 606072LD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    924731 | PA      | $893270.45    | 0.15%             | 2061-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                          | BANC OF AMERICA MORTGAGE 2005-A TRUST BOAMS 2005-A 2A1                  | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     10044 | PA      | $9496.50      | 0.00%             | 2035-02-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                                    | MFA 2021-NQM1 TRUST MFRA 2021-NQM1 A1                                   | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    790773 | PA      | $682812.32    | 0.12%             | 2065-04-25      | Floating      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A                         | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80164 | PA      | $71332.99     | 0.01%             | 2065-01-26      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| PUG LLC                                                                      | PUG LLC 2/12/2027                                                       | CUSIP: 74530DAG0<br>LEI: N/A                  | Long             | LON              |  | US        |         0 | PA      | $0.01         | 0.00%             | 2027-02-12      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2474                                               | CUSIP: 31418BXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    283759 | PA      | $272818.83    | 0.05%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RADNOR RE/ESSENT                                                             | RADNOR RE 2019-2 LTD RMIR 2019-2 M1B                                    | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    139858 | PA      | $139604.05    | 0.02%             | 2029-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL E                       | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1062500 | PA      | $1024395.98   | 0.18%             | 2036-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| DBCG                                                                         | DBCG 2017-BBG MORTGAGE TRUST DBCG 2017-BBG C                            | CUSIP: 233062AJ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1100000 | PA      | $1056338.03   | 0.18%             | 2034-06-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER, INC.                                                         | CP ATLAS BUYER INC 144A 7.000000% 12/01/2028                            | CUSIP: 12597YAA7<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |    710000 | PA      | $519436.00    | 0.09%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| QUIRCH FOODS HOLDINGS, LLC                                                   | QUIRCH FOODS HOLDINGS, LLC 27-Oct-2027                                  | CUSIP: 74880TAG1<br>LEI: N/A                  | Long             | LON              |  | US        |   2613310 | PA      | $2423845.10   | 0.42%             | 2027-10-27      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE, INC.                                                        | IVANTI SOFTWARE, INC. 12/1/2028                                         | CUSIP: 46583HAC4<br>LEI: N/A                  | Long             | LON              |  | US        |    992857 | PA      | $589091.93    | 0.10%             | 2028-12-01      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                    | MASTR ALTERNATIVE LOAN TRUST 2003-5 MALT 2003-5 4A1                     | CUSIP: 576434FF6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    759238 | PA      | $720596.49    | 0.12%             | 2033-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE-ACES FNA 2017-M13 FA                                         | CUSIP: 3136AYP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56807 | PA      | $56300.99     | 0.01%             | 2024-10-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                 | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2004-1 2A1      | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    518641 | PA      | $475411.99    | 0.08%             | 2034-12-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1         | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260158 | PA      | $215818.73    | 0.04%             | 2056-11-27      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1                                    | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1498744 | PA      | $1154470.26   | 0.20%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE                                                          | ELARA HGV TIMESHARE ISSUER 2017-A LLC EHGVT 2017-A A                    | CUSIP: 28416DAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    361340 | PA      | $345792.17    | 0.06%             | 2030-03-25      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2022-R05 CAS 2022-R05 2M1           | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    411593 | PA      | $406707.02    | 0.07%             | 2042-04-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2021-A SMB 2021-A A2A2                 | CUSIP: 78448YAK7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2212032 | PA      | $2094091.70   | 0.36%             | 2053-01-15      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2019-B SMB 2019-B A2B                  | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    866967 | PA      | $841682.65    | 0.14%             | 2037-06-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NASCAR HOLDINGS, LLC                                                         | NASCAR HOLDINGS, LLC 19-Oct-2026                                        | CUSIP: 63108EAB4<br>LEI: N/A                  | Long             | LON              |  | US        |   2273528 | PA      | $2258613.56   | 0.39%             | 2026-10-19      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| DCG ACQUISITION CORP.                                                        | DCG ACQUISITION CORP. 9/30/2026                                         | CUSIP: 23308UAG9<br>LEI: N/A                  | Long             | LON              |  | US        |   1409943 | PA      | $1353545.74   | 0.23%             | 2026-09-30      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| PACKAGING COORDINATORS MIDCO, INC.                                           | PACKAGING COORDINATORS MIDCO, INC. 30-Nov-2027                          | CUSIP: 69515EAH5<br>LEI: N/A                  | Long             | LON              |  | US        |    450600 | PA      | $433513.44    | 0.07%             | 2027-11-30      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOLDING CORP.                                                    | RENAISSANCE HOLDING CORP. 3/30/2029                                     | CUSIP: 75972JAG9<br>LEI: N/A                  | Long             | LON              |  | US        |    329175 | PA      | $316626.85    | 0.05%             | 2029-03-30      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 892975                                            | CUSIP: 3620E0F27<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    303926 | PA      | $305070.02    | 0.05%             | 2060-09-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                                              | PALMER SQUARE LOAN FUNDING 2021-3 LTD PSTAT 2021-3A A1                  | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    182164 | PA      | $179567.77    | 0.03%             | 2029-07-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                         | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A3              | CUSIP: 24381WAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    576244 | PA      | $459577.70    | 0.08%             | 2066-04-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| CQP HOLDCO LP                                                                | CQP HOLDCO LP 6/5/2028                                                  | CUSIP: 12657QAB9<br>LEI: N/A                  | Long             | LON              |  | US        |   1032407 | PA      | $1017695.23   | 0.18%             | 2028-06-05      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Go Daddy Operating Company LLC 10/22                                         | Go Daddy Operating Company LLC 10/22 10/21/2029                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1146768 | PA      | $1142628.04   | 0.20%             | 2029-10-21      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2003-AR9 1A6    | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    594037 | PA      | $541875.22    | 0.09%             | 2033-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2010-83 BA                                        | CUSIP: 31398TTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    101854 | PA      | $99161.19     | 0.02%             | 2040-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD.                                                        | BLUEMOUNTAIN CLO XXIII LTD BLUEM 2018-23A C                             | CUSIP: 09629LAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $750935.20    | 0.13%             | 2031-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE, INC.                                                | GLOBAL MEDICAL RESPONSE, INC. 10/2/2025                                 | CUSIP: 00169QAF6<br>LEI: N/A                  | Long             | LON              |  | US        |   1111357 | PA      | $878527.99    | 0.15%             | 2025-10-02      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| BRE GRAND ISLANDER TIMESHARE ISSUER LLC                                      | BRE GRAND ISLANDER TIMESHARE ISSUER 2017-A LLC HGVGI 2017-1A A          | CUSIP: 05584AAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1785537 | PA      | $1717989.69   | 0.30%             | 2029-05-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BRE GRAND ISLANDER TIMESHARE ISSUER LLC                                      | BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC HGVGI 2019-A A           | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    793692 | PA      | $746163.13    | 0.13%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ECI MACOLA/MAX HOLDING, LLC                                                  | ECI MACOLA/MAX HOLDING, LLC 11/9/2027                                   | CUSIP: 26825UAK7<br>LEI: N/A                  | Long             | LON              |  | US        |   1684290 | PA      | $1619545.92   | 0.28%             | 2027-11-09      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL0355                                               | CUSIP: 3138EGMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    329963 | PA      | $337468.09    | 0.06%             | 2036-07-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| PROJECT BOOST PURCHASER, LLC                                                 | PROJECT BOOST PURCHASER, LLC 6/1/2026                                   | CUSIP: 74339NAB2<br>LEI: N/A                  | Long             | LON              |  | US        |    481259 | PA      | $464516.31    | 0.08%             | 2026-06-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                                     | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD NEUB 2017-25A AR              | CUSIP: 64131JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $580889.22    | 0.10%             | 2029-10-18      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-SOAR BX 2021-SOAR D                   | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1488723 | PA      | $1395408.30   | 0.24%             | 2038-06-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO LTD                                                      | SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A                               | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    346612 | PA      | $340785.64    | 0.06%             | 2029-10-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4 NRZT 2018-4A B1              | CUSIP: 64828FAN2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1940023 | PA      | $1756923.48   | 0.30%             | 2048-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| ICU Medical 12/21 Cov-Lite TLB                                               | ICU Medical 12/21 Cov-Lite TLB 1/8/2029                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $960000.00    | 0.17%             | 2029-01-08      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)                               | RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A8 RAST 2007-A8 3A1         | CUSIP: 761128AJ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    409989 | PA      | $249272.99    | 0.04%             | 2022-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| PROJECT BOOST PURCHASER                                                      | PROJECT BOOST PURCHASER 6/1/2026                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    550064 | PA      | $529436.98    | 0.09%             | 2026-06-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST                                       | STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-8 SAIL 2004-8 A8            | CUSIP: 86358ELS3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2363457 | PA      | $2241405.92   | 0.39%             | 2034-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2005-A3 JPMMT 2005-A3 6A2                      | CUSIP: 466247QJ5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    194825 | PA      | $188711.02    | 0.03%             | 2035-06-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| DRIVETIME AUTO OWNER TRUST                                                   | DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A B                              | CUSIP: 23345EAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    155000 | PA      | $151059.05    | 0.03%             | 2027-01-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| WARNER MUSIC GROUP                                                           | WARNER MUSIC GROUP 1/20/2028                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1894964 | PA      | $1863374.98   | 0.32%             | 2028-01-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                              | DAE FUNDING LLC MTN 1.550000% 08/01/2024                                | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | AE        |    205000 | PA      | $190827.31    | 0.03%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6 NRZT 2017-6A A1              | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    352333 | PA      | $328473.43    | 0.06%             | 2057-08-27      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -81 | NC      | $-16634109.38 | -2.86%            |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                       | BEAR STEARNS ARM TRUST 2004-2 BSARM 2004-2 12A2                         | CUSIP: 07384MM25<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    717256 | PA      | $644428.82    | 0.11%             | 2034-05-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| ELECTRON BIDCO INC.                                                          | ELECTRON BIDCO INC. 11/1/2028                                           | CUSIP: 28542CAC3<br>LEI: N/A                  | Long             | LON              |  | US        |   1102069 | PA      | $1068224.31   | 0.18%             | 2028-11-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                      | GSR MORTGAGE LOAN TRUST 2005-AR1 GSR 2005-AR1 1A1                       | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45372 | PA      | $40766.26     | 0.01%             | 2035-01-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                   | GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1                                  | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    507837 | PA      | $392096.20    | 0.07%             | 2066-07-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| HYLAND SOFTWARE                                                              | HYLAND SOFTWARE 7/1/2024                                                | CUSIP: 44908XAT5<br>LEI: N/A                  | Long             | LON              |  | US        |   1690081 | PA      | $1663682.35   | 0.29%             | 2024-07-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-171 IO                | CUSIP: 38379K6Q6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  10363866 | PA      | $318352.05    | 0.05%             | 2055-11-16      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| PACKERS HOLDINGS, LLC                                                        | PACKERS HOLDINGS, LLC 3/9/2028                                          | CUSIP: 69519UAF9<br>LEI: N/A                  | Long             | LON              |  | US        |    262923 | PA      | $228742.68    | 0.04%             | 2028-03-09      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                   | FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B                         | CUSIP: 33844WAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    215000 | PA      | $203483.98    | 0.03%             | 2027-06-15      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| HIGHTOWER HOLDING, LLC                                                       | HIGHTOWER HOLDING, LLC 4/21/2028                                        | CUSIP: 43117LAG8<br>LEI: N/A                  | Long             | LON              |  | US        |   1174207 | PA      | $1094948.13   | 0.19%             | 2028-04-21      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | TRIPARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET                     | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |   1000000 | PA      | $1000000.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| KNOT WORLDWIDE INC., THE                                                     | KNOT WORLDWIDE INC., THE 19-Dec-2025                                    | CUSIP: 94847DAG6<br>LEI: N/A                  | Long             | LON              |  | US        |    700981 | PA      | $685209.23    | 0.12%             | 2025-12-19      | Floating      | 8.33%                 | No            |                  3 | On Loan: No      |
| VS BUYER, LLC                                                                | VS BUYER, LLC 2/28/2027                                                 | CUSIP: 91834WAC4<br>LEI: N/A                  | Long             | LON              |  | US        |    695000 | PA      | $681100.00    | 0.12%             | 2027-02-28      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| MFA LLC                                                                      | MFA 2021-INV1 TRUST MFRA 2021-INV1 A1                                   | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     88495 | PA      | $76003.28     | 0.01%             | 2056-01-25      | Floating      | 0.85%                 | Yes           |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST                                          | THORNBURG MORTGAGE SECURITIES TRUST 2004-3 TMST 2004-3 A                | CUSIP: 885220FS7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1691397 | PA      | $1523825.40   | 0.26%             | 2034-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ONEDIGITAL BORROWER LLC                                                      | ONEDIGITAL BORROWER LLC 16-Nov-2027                                     | CUSIP: 68277FAE9<br>LEI: N/A                  | Long             | LON              |  | US        |   1496423 | PA      | $1417861.13   | 0.24%             | 2027-11-16      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| GLOBAL SC FINANCE II SRL                                                     | GLOBAL SC FINANCE II SRL SEACO 2014-1A A2                               | CUSIP: 37952UAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | BB        |    376634 | PA      | $364138.81    | 0.06%             | 2029-07-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| QUEST SOFTWARE US HOLDINGS INC.                                              | QUEST SOFTWARE US HOLDINGS INC. 2/1/2029                                | CUSIP: 74834YAN2<br>LEI: N/A                  | Long             | LON              |  | US        |   1702504 | PA      | $1286990.81   | 0.22%             | 2029-02-01      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| BELRON FINANCE US LLC                                                        | BELRON FINANCE US LLC 11/13/2025                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    740060 | PA      | $733125.52    | 0.13%             | 2025-11-13      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HOME RE LIMITED                                                              | HOME RE 2021-2 LTD HMIR 2021-2 M1A                                      | CUSIP: 43730VAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |   1367131 | PA      | $1361826.88   | 0.23%             | 2034-01-25      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT E                   | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1860896.40   | 0.32%             | 2036-09-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                                       | AMUR EQUIPMENT FINANCE RECEIVABLES VII LLC AXIS 2019-1A B               | CUSIP: 03237MAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1500000 | PA      | $1487829.90   | 0.26%             | 2025-03-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST                                          | THORNBURG MORTGAGE SECURITIES TRUST 2005-1 TMST 2005-1 A3               | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    757341 | PA      | $699099.42    | 0.12%             | 2045-04-25      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2004-AR1 A      | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1192071 | PA      | $1154580.00   | 0.20%             | 2034-03-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| SBA SENIOR FINANCE II LLC                                                    | SBA SENIOR FINANCE II LLC 4/11/2025                                     | CUSIP: 78404XAH8<br>LEI: N/A                  | Long             | LON              |  | US        |    331003 | PA      | $328685.63    | 0.06%             | 2025-04-11      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS, INC.                                                  | TRITON WATER HOLDINGS, INC. 3/31/2028                                   | CUSIP: 89678QAB2<br>LEI: N/A                  | Long             | LON              |  | US        |    639315 | PA      | $588169.73    | 0.10%             | 2028-03-31      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| STAR TRUST                                                                   | STAR 2021-SFR2 TRUST STAR 2021-SFR2 C                                   | CUSIP: 78474LAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2899717.20   | 0.50%             | 2024-01-17      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 10 SEMT 10 1A                                    | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    849264 | PA      | $811455.91    | 0.14%             | 2027-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1                          | CUSIP: 03464RAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     14589 | PA      | $13614.00     | 0.00%             | 2059-12-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                          | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1               | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    162432 | PA      | $129942.27    | 0.02%             | 2056-06-25      | Floating      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                              | ALLEGRO CLO II-S LTD ALLEG 2014-1RA A1                                  | CUSIP: 01751EAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1670238 | PA      | $1646953.15   | 0.28%             | 2028-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                                | SG RESIDENTIAL MORTGAGE TRUST 2019-3 SGR 2019-3 A3                      | CUSIP: 78432BAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2245092 | PA      | $2149965.62   | 0.37%             | 2059-09-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT, LLC                                                  | FERTITTA ENTERTAINMENT, LLC 1/27/2029                                   | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              |  | US        |    654090 | PA      | $622870.40    | 0.11%             | 2029-01-27      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE, INC.                                                | GLOBAL MEDICAL RESPONSE INC 144A 6.500000% 10/01/2025                   | CUSIP: 37960BAA3<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |    462000 | PA      | $347691.96    | 0.06%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST                                                           | AQUA FINANCE TRUST 2021-A AQFIT 2021-A A                                | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    128144 | PA      | $117033.26    | 0.02%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| CHARTER NEXT GENERATION, INC.                                                | CHARTER NEXT GENERATION, INC. 12/1/2027                                 | CUSIP: 16125TAJ1<br>LEI: N/A                  | Long             | LON              |  | US        |    721329 | PA      | $701831.58    | 0.12%             | 2027-12-01      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM NRZT 2020-NQM2 A1          | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     34026 | PA      | $31012.22     | 0.01%             | 2060-05-24      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                  | ASURION LLC 7/31/2027                                                   | CUSIP: 04649VAY6<br>LEI: N/A                  | Long             | LON              |  | US        |    524500 | PA      | $453561.49    | 0.08%             | 2027-07-31      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLII, LTD                                               | ATRIUM XIII ATRM 13A B                                                  | CUSIP: 04966HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $673926.40    | 0.12%             | 2030-11-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2014-CR14 MORTGAGE TRUST COMM 2014-CR14 XA                         | CUSIP: 12630DAZ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  24485739 | PA      | $103981.14    | 0.02%             | 2047-02-10      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| ION TRADING FINANCE LIMITED                                                  | ION TRADING FINANCE LIMITED 4/1/2028                                    | CUSIP: L5582BAV9<br>LEI: N/A                  | Long             | LON              |  | US        |   1543972 | PA      | $1474492.82   | 0.25%             | 2028-04-01      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2019-6 AOMT 2019-6 A2                          | CUSIP: 03464VAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    249189 | PA      | $234570.96    | 0.04%             | 2059-11-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-HQA4 STACR 2021-HQA4 M1              | CUSIP: 35564KNK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2882276 | PA      | $2701202.67   | 0.46%             | 2041-12-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| RADNET MANAGEMENT INC                                                        | RADNET MANAGEMENT INC 4/23/2028                                         | CUSIP: 75049EAM6<br>LEI: N/A                  | Long             | LON              |  | US        |   1583005 | PA      | $1540960.75   | 0.27%             | 2028-04-23      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 9 SEMT 9 1A                                      | CUSIP: 81743SAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    292452 | PA      | $269368.18    | 0.05%             | 2032-09-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 701225                                               | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     98943 | PA      | $97048.68     | 0.02%             | 2033-04-01      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC.                                                               | TRANSDIGM INC. 12/9/2025                                                | CUSIP: 89364MBR4<br>LEI: N/A                  | Long             | LON              |  | US        |    318363 | PA      | $313288.46    | 0.05%             | 2025-12-09      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MILANO ACQUISITION                                                           | MILANO ACQUISITION 10/1/2027                                            | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              |  | US        |   1650816 | PA      | $1607894.70   | 0.28%             | 2027-10-01      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2020-VKNG BX 2020-VKNG C                   | CUSIP: 12433YAJ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    770000 | PA      | $730534.65    | 0.13%             | 2037-10-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Iridium Communications 7/21 Cov-Lite                                         | Iridium Communications 7/21 Cov-Lite 11/4/2026                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1660000 | PA      | $1644097.20   | 0.28%             | 2026-11-04      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST                                                 | METLIFE SECURITIZATION TRUST MST 2017-1A A                              | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    136797 | PA      | $127298.17    | 0.02%             | 2055-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| DEXT ABS LLC                                                                 | DEXT ABS 2021-1 LLC DEXT 2021-1 A                                       | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100424 | PA      | $95740.19     | 0.02%             | 2028-02-15      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS, INC.                                            | CONSOLIDATED COMMUNICATIONS, INC. 10/2/2027                             | CUSIP: 20903EBB0<br>LEI: N/A                  | Long             | LON              |  | US        |         0 | PA      | $0.02         | 0.00%             | 2027-10-02      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 847789                                               | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    296063 | PA      | $297477.17    | 0.05%             | 2035-10-01      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 1L0080                                     | CUSIP: 3128Q2CR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    349214 | PA      | $354508.46    | 0.06%             | 2035-06-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1                     | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    902542 | PA      | $817821.66    | 0.14%             | 2064-02-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2022-LP2 BX 2022-LP2 A                     | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1867650 | PA      | $1791646.04   | 0.31%             | 2039-02-15      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                            | AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A               | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    110811 | PA      | $107468.73    | 0.02%             | 2025-08-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| PROOFPOINT INC.                                                              | PROOFPOINT INC. 8/31/2028                                               | CUSIP: 74345HAB7<br>LEI: N/A                  | Long             | LON              |  | US        |    517882 | PA      | $497653.74    | 0.09%             | 2028-08-31      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST                                               | ADJUSTABLE RATE MORTGAGE TRUST 2005-1 ARMT 2005-1 5M1                   | CUSIP: 007036FX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1442340 | PA      | $1344517.42   | 0.23%             | 2035-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM2R NRZT 2021-NQ2R A1        | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     62698 | PA      | $54277.83     | 0.01%             | 2058-10-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| PETVET CARE CENTERS, LLC                                                     | PETVET CARE CENTERS, LLC 2/14/2025                                      | CUSIP: 70476XAK1<br>LEI: N/A                  | Long             | LON              |  | US        |    401733 | PA      | $371100.68    | 0.06%             | 2025-02-14      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1                          | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    101597 | PA      | $92333.51     | 0.02%             | 2065-04-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB SMB 2020-PTB A2B              | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2233915 | PA      | $2148223.35   | 0.37%             | 2054-09-15      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORPORATION                                                  | EPICOR SOFTWARE CORPORATION 7/30/2027                                   | CUSIP: 29426NAN4<br>LEI: N/A                  | Long             | LON              |  | US        |     65675 | PA      | $63349.13     | 0.01%             | 2027-07-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG (New York Branch)                                           | DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/08/2023                   | CUSIP: 251526CL1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    400000 | PA      | $397020.00    | 0.07%             | 2023-11-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO, LTD.                                                      | KKR CLO 12 LTD KKR 12 AR2A                                              | CUSIP: 48250RBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493138.00    | 0.08%             | 2030-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                         | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1 DRMT 2021-1 A1              | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     44792 | PA      | $39751.64     | 0.01%             | 2065-05-25      | Floating      | 0.71%                 | Yes           |                  2 | On Loan: No      |
| ORGANON & CO                                                                 | ORGANON & CO 6/2/2028                                                   | CUSIP: 68621XAE3<br>LEI: N/A                  | Long             | LON              |  | US        |    666390 | PA      | $659060.04    | 0.11%             | 2028-06-02      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 751582                                               | CUSIP: 31403K6T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     88498 | PA      | $87072.55     | 0.01%             | 2033-10-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -30 | NC      | $-3405000.00  | -0.59%            |  |  |  | No            |                  1 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                          | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1               | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      9127 | PA      | $8732.82      | 0.00%             | 2050-02-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HOLDINGS LLC                                                    | MILEAGE PLUS HOLDINGS LLC 6/21/2027                                     | CUSIP: 59921PAB2<br>LEI: N/A                  | Long             | LON              |  | US        |    859750 | PA      | $883393.13    | 0.15%             | 2027-06-21      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-DNA7 STACR 2021-DNA7 M1              | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2604248 | PA      | $2539141.43   | 0.44%             | 2041-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| TGG TS ACQUISITION COMPANY                                                   | TGG TS ACQUISITION COMPANY 14-Dec-2025                                  | CUSIP: 87242CAB4<br>LEI: N/A                  | Long             | LON              |  | US        |   1094520 | PA      | $1052567.28   | 0.18%             | 2025-12-14      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2015-III LTD CIFC 2015-3A AR                               | CUSIP: 12550MAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    830177 | PA      | $814994.27    | 0.14%             | 2029-04-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                | MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1              | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     93972 | PA      | $86439.00     | 0.01%             | 2060-11-25      | Floating      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| CAST & CREW LLC                                                              | CAST & CREW LLC 29-Dec-2028                                             | CUSIP: 14835JAQ3<br>LEI: N/A                  | Long             | LON              |  | US        |    176010 | PA      | $172856.13    | 0.03%             | 2028-12-29      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| PRETIUM PKG HOLDINGS, INC.                                                   | PRETIUM PKG HOLDINGS, INC. 10/1/2029                                    | CUSIP: 74142KAH2<br>LEI: N/A                  | Long             | LON              |  | US        |   1685000 | PA      | $1312615.00   | 0.23%             | 2029-10-01      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 889946                                               | CUSIP: 31410KWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    112040 | PA      | $113458.19    | 0.02%             | 2035-05-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1              | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    131414 | PA      | $124591.50    | 0.02%             | 2057-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| SAFE FLEET HOLDINGS LLC                                                      | SAFE FLEET HOLDINGS LLC 2/23/2029                                       | CUSIP: 78638JAK0<br>LEI: N/A                  | Long             | LON              |  | US        |    681575 | PA      | $657719.88    | 0.11%             | 2029-02-23      | Floating      | 7.87%                 | No            |                  3 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2               | CUSIP: 30711XAR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     58598 | PA      | $59174.66     | 0.01%             | 2024-11-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                                     | CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A A1R2       | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |         0 | PA      | $0.01         | 0.00%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-CIP BX 2021-CIP C                     | CUSIP: 12434FAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1879720.20   | 0.32%             | 2038-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC.                                                      | ATHENAHEALTH GROUP INC. 2/15/2029                                       | CUSIP: 74049LAQ4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              |  | US        |    240008 | PA      | $-21360.67    | -0.00%            | 2029-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR TRUST 2019-FTR2 STACR 2019-FTR2 M1                    | CUSIP: 35564WAA1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    919124 | PA      | $907349.91    | 0.16%             | 2048-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BW HOLDING, INC.                                                             | BW HOLDING, INC. 14-Dec-2028                                            | CUSIP: 58985XAB0<br>LEI: N/A                  | Long             | LON              |  | US        |    803937 | PA      | $720865.76    | 0.12%             | 2028-12-14      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSUER TRUST                                                | MIDCAP FINANCIAL ISSUER TRUST 144A 5.625000% 01/15/2030                 | CUSIP: 59590AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $279622.36    | 0.05%             | 2030-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET SECURITIES CORPORATION                                          | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUS NAA 2004-AR3 M1      | CUSIP: 65535VFM5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    590542 | PA      | $578175.50    | 0.10%             | 2034-11-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| ARM MASTER TRUST, LLC                                                        | ARM MASTER TRUST LLC SERIES 2022-T1 AGRICULTURAL L CROP 2022-T1 A       | CUSIP: 04206RAE4<br>LEI: 549300C15CTYUOJ8UB79 | Long             | ABS-MBS          |  | US        |   1640000 | PA      | $1634410.06   | 0.28%             | 2025-06-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MAMBA PURCHASER                                                              | MAMBA PURCHASER 9/29/2028                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    653171 | PA      | $623778.39    | 0.11%             | 2028-09-29      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I INC                                     | MORGAN STANLEY MORTGAGE LOAN TRUST 2004-10AR MSM 2004-10AR 1A           | CUSIP: 61748HFC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    581980 | PA      | $529017.39    | 0.09%             | 2034-11-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                 | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2005-A A1       | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    674982 | PA      | $613547.22    | 0.11%             | 2030-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| VC GB HOLDINGS I CORP                                                        | VC GB HOLDINGS I CORP 7/23/2029                                         | CUSIP: 91823JAE2<br>LEI: N/A                  | Long             | LON              |  | US        |   1474395 | PA      | $1255078.40   | 0.22%             | 2029-07-23      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                               | CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A                  | CUSIP: 14687DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    113154 | PA      | $105864.53    | 0.02%             | 2028-01-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS THEME PARKS INC                                                    | SIX FLAGS THEME PARKS INC 4/17/2026                                     | CUSIP: 83002CAJ6<br>LEI: N/A                  | Long             | LON              |  | US        |    340525 | PA      | $329543.39    | 0.06%             | 2026-04-17      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K028 X1         | CUSIP: 3137B2HP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        | 132355435 | PA      | $10813.44     | 0.00%             | 2023-02-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST                                               | BAYVIEW COMMERCIAL ASSET TRUST 2004-3 BAYC 2004-3 A1                    | CUSIP: 07324SAX0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1320917 | PA      | $1314056.15   | 0.23%             | 2035-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CAMBREX CORPORATION                                                          | CAMBREX CORPORATION 12/4/2026                                           | CUSIP: 13201FAU0<br>LEI: N/A                  | Long             | LON              |  | US        |   1266692 | PA      | $1227500.97   | 0.21%             | 2026-12-04      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE                                                          | ELARA HGV TIMESHARE ISSUER 2019-A LLC EHGVT 2019-A A                    | CUSIP: 28416TAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1084608 | PA      | $1004971.90   | 0.17%             | 2034-01-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2003-AR10 A7    | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    589986 | PA      | $543221.15    | 0.09%             | 2033-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BANK                                                                         | BANK 2018-BNK12 BANK 2018-BN12 A2                                       | CUSIP: 06541KAX6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    600000 | PA      | $593806.38    | 0.10%             | 2061-05-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                     | PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1                                    | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     89245 | PA      | $79054.98     | 0.01%             | 2051-07-25      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| VICTORY BUYER LLC                                                            | VICTORY BUYER LLC 19-Nov-2028                                           | CUSIP: 92643PAB0<br>LEI: N/A                  | Long             | LON              |  | US        |    696500 | PA      | $586801.25    | 0.10%             | 2028-11-19      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                          | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1               | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     53579 | PA      | $49362.93     | 0.01%             | 2065-05-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| CROSS FINANCIAL CORP.                                                        | CROSS FINANCIAL CORP. 9/15/2027                                         | CUSIP: 22750JAD6<br>LEI: N/A                  | Long             | LON              |  | US        |   1412351 | PA      | $1392338.21   | 0.24%             | 2027-09-15      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| AVERY POINT CLO, LIMITED                                                     | AVERY POINT IV CLO LTD AVERY 2014-1A CR                                 | CUSIP: 05363UAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8838 | PA      | $8796.81      | 0.00%             | 2026-04-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                   | GCAT 2020-NQM2 TRUST GCAT 2020-NQM2 A1                                  | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     48381 | PA      | $43135.87     | 0.01%             | 2065-04-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LTD.                                             | LSTAR SECURITIES INVESTMENT LTD 2019-4 LSTRZ 2019-4 A1                  | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    151702 | PA      | $147083.94    | 0.03%             | 2024-05-01      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| UNITED TALENT AGENCY, LLC                                                    | UNITED TALENT AGENCY, LLC 7/7/2028                                      | CUSIP: 91301QAH0<br>LEI: N/A                  | Long             | LON              |  | US        |    542261 | PA      | $527349.12    | 0.09%             | 2028-07-07      | Floating      | 8.13%                 | No            |                  3 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST                                            | CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 CAALT 2021-3A A                | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    250000 | PA      | $235791.25    | 0.04%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                                             | FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A C                 | CUSIP: 32059FAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    610000 | PA      | $575051.33    | 0.10%             | 2027-03-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                        | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A B            | CUSIP: 96043FAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    230000 | PA      | $225759.61    | 0.04%             | 2026-03-16      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST                                       | STRUCTURED ASSET INVESTMENT LOAN TRUST SAIL 2003-BC12 2A                | CUSIP: 86358EFK7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1662704 | PA      | $1526596.28   | 0.26%             | 2033-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| AMMC CLO LIMITED                                                             | AMMC CLO XI LTD AMMC 2012-11A BR2                                       | CUSIP: 00176ABB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $968492.00    | 0.17%             | 2031-04-30      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| NETSMART, INC.                                                               | NETSMART, INC. 10/1/2027                                                | CUSIP: 64119DAM7<br>LEI: N/A                  | Long             | LON              |  | US        |   1711385 | PA      | $1641868.22   | 0.28%             | 2027-10-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1                       | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     27190 | PA      | $24269.04     | 0.00%             | 2065-05-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION, LLC                                                         | LBM ACQUISITION, LLC 17-Dec-2027                                        | CUSIP: 50179JAB4<br>LEI: N/A                  | Long             | LON              |  | US        |    910864 | PA      | $781685.47    | 0.13%             | 2027-12-17      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| EW Scripps 12/19 Cov-Lite                                                    | EW Scripps 12/19 Cov-Lite 5/1/2026                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    379023 | PA      | $368031.47    | 0.06%             | 2026-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST                                                     | BEAR STEARNS ALT-A TRUST 2003-5 BALTA 2003-5 2A1                        | CUSIP: 07386HDL2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    583967 | PA      | $546874.35    | 0.09%             | 2033-12-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                                                   | MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2                         | CUSIP: 55818YBN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    247814 | PA      | $243112.07    | 0.04%             | 2030-07-21      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORPORATION                                              | ENVISION HEALTHCARE CORPORATION 10-Oct-2025                             | CUSIP: 29373UAC5<br>LEI: N/A                  | Long             | LON              |  | US        |    450794 | PA      | $125207.98    | 0.02%             | 2025-10-10      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                                                  | BXHPP TRUST 2021-FILM BXHPP 2021-FILM C                                 | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2530000 | PA      | $2308523.29   | 0.40%             | 2036-08-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2020-R1 AOMT 2020-R1 A1                        | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     74601 | PA      | $69370.97     | 0.01%             | 2053-04-25      | Floating      | 0.99%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1            | CUSIP: 105690AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    152177 | PA      | $136496.66    | 0.02%             | 2060-04-25      | Floating      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| HPLY TRUST 2019-HIT                                                          | HPLY TRUST 2019-HIT HPLY 2019-HIT B                                     | CUSIP: 40443RAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    382841 | PA      | $365509.43    | 0.06%             | 2036-11-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST                                     | GS MORTGAGE SECURITIES CORP TRUST 2021-STAR GSMS 2021-STAR B            | CUSIP: 36264LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1902022.00   | 0.33%             | 2036-12-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORPORATION                                           | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 CHASE 2007-A1 7A1           | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    121350 | PA      | $118045.71    | 0.02%             | 2037-02-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2               | CUSIP: 30711XCT9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    133793 | PA      | $138977.81    | 0.02%             | 2028-10-25      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                                     | BHG SECURITIZATION TRUST 2022-A BHG 2022-A A                            | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    295143 | PA      | $275031.35    | 0.05%             | 2035-02-20      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| MA FINANCECO., LLC                                                           | MA FINANCECO., LLC 6/5/2025                                             | CUSIP: 55280FAL5<br>LEI: N/A                  | Long             | LON              |  | US        |    787000 | PA      | $781097.30    | 0.13%             | 2025-06-05      | Floating      | 7.42%                 | No            |                  3 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST                                               | HARBORVIEW MORTGAGE LOAN TRUST 2004-6 HVMLT 2004-6 4A                   | CUSIP: 41161PFU2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    856701 | PA      | $830957.44    | 0.14%             | 2034-08-19      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FCI FUNDING LIMITED                                                          | FCI FUNDING 2021-1 LLC FCITL 2021-1A A                                  | CUSIP: 30260GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     52627 | PA      | $51323.67     | 0.01%             | 2033-04-15      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| Amaya 9/22                                                                   | Amaya 9/22 9/16/2028                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    294416 | PA      | $292042.58    | 0.05%             | 2028-09-16      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1                | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     94956 | PA      | $73835.07     | 0.01%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO LTD                                              | BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R                    | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    425000 | PA      | $417299.85    | 0.07%             | 2030-10-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| SUMMER (BC) BIDCO B LLC                                                      | SUMMER (BC) BIDCO B LLC 12/4/2026                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1222299 | PA      | $1122608.29   | 0.19%             | 2026-12-04      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| APTTUS CORPORATION                                                           | APTTUS CORPORATION 5/8/2028                                             | CUSIP: 03835XAC6<br>LEI: N/A                  | Long             | LON              |  | US        |    955917 | PA      | $892185.95    | 0.15%             | 2028-05-08      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2019-HY1 TPMT 2019-HY1 A1                     | CUSIP: 89177EAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    479724 | PA      | $473035.80    | 0.08%             | 2048-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST                               | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SARM 2004-9XS A          | CUSIP: 86359BVG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1008210 | PA      | $981768.07    | 0.17%             | 2034-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER, LP                                                         | MEDLINE BORROWER, LP 23-Oct-2028                                        | CUSIP: 58503UAC7<br>LEI: N/A                  | Long             | LON              |  | US        |    841233 | PA      | $798001.78    | 0.14%             | 2028-10-23      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2007-A1 JPMMT 2007-A1 1A1                      | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    361091 | PA      | $337317.09    | 0.06%             | 2035-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LLC                                           | NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD NEUB 2019-31A AR              | CUSIP: 64132JAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $976151.00    | 0.17%             | 2031-04-20      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| STAR TRUST                                                                   | STAR 2021-SFR1 TRUST STAR 2021-SFR1 D                                   | CUSIP: 85521DAG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $941358.40    | 0.16%             | 2038-04-17      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| SERVICE LOGIC ACQUISITION, INC.                                              | SERVICE LOGIC ACQUISITION, INC. 29-Oct-2027                             | CUSIP: 81759AAC4<br>LEI: N/A                  | Long             | LON              |  | US        |   2369461 | PA      | $2262834.91   | 0.39%             | 2027-10-29      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| DYNASTY ACQUISITION CO., INC.                                                | DYNASTY ACQUISITION CO., INC. 4/6/2026                                  | CUSIP: 26812CAE6<br>LEI: N/A                  | Long             | LON              |  | US        |    993422 | PA      | $953476.08    | 0.16%             | 2026-04-06      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD. (DELA AIR LINES, INC.)                                      | SKYMILES IP LTD. (DELA AIR LINES, INC.) 20-Oct-2027                     | CUSIP: 24736CBS2<br>LEI: N/A                  | Long             | LON              |  | US        |   1175000 | PA      | $1190568.75   | 0.20%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                                             | DOMINO'S PIZZA MASTER ISSUER LLC DPABS 2017-1A A23                      | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1166812 | PA      | $1069933.22   | 0.18%             | 2047-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HOLDINGS INC.                                                      | SCIH SALT HOLDINGS INC. 3/16/2027                                       | CUSIP: 78397GAF8<br>LEI: N/A                  | Long             | LON              |  | US        |   1005688 | PA      | $966094.37    | 0.17%             | 2027-03-16      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP VARIABLE RATE 12/06/2024                     | CUSIP: 14040HCL7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    275000 | PA      | $268881.25    | 0.05%             | 2024-12-06      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| METRONET INFRASTRUCTURE ISSUER LLC                                           | METRONET INFRASTRUCTURE ISSUER LLC MNET 2022-1A B                       | CUSIP: 59170JAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $381058.84    | 0.07%             | 2052-10-20      | Fixed         | 7.46%                 | Yes           |                  2 | On Loan: No      |
| LIFE TIME, INC.                                                              | LIFE TIME, INC. 16-Dec-2024                                             | CUSIP: 50218KAG3<br>LEI: N/A                  | Long             | LON              |  | US        |    556382 | PA      | $552348.16    | 0.09%             | 2024-12-16      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A                       | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    226628 | PA      | $222634.82    | 0.04%             | 2036-10-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                                                   | NAVIENT STUDENT LOAN TRUST 2021-1 NAVSL 2021-1A A1B                     | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1169181 | PA      | $1130283.92   | 0.19%             | 2069-12-26      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| ITP Aero 1/22                                                                | ITP Aero 1/22 2/10/2029                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1250000 | PA      | $1210937.50   | 0.21%             | 2029-02-10      | Floating      | 7.18%                 | No            |                  3 | On Loan: No      |
| FLEXSYS HOLDINGS, INC.                                                       | FLEXSYS HOLDINGS, INC. 11/1/2028                                        | CUSIP: 33939NAC0<br>LEI: N/A                  | Long             | LON              |  | US        |    456053 | PA      | $352300.99    | 0.06%             | 2028-11-01      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 M2                     | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2807306.70   | 0.48%             | 2058-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MH SUB I, LLC                                                                | MH SUB I, LLC 9/13/2024                                                 | CUSIP: 45567YAJ4<br>LEI: N/A                  | Long             | LON              |  | US        |    259634 | PA      | $252384.53    | 0.04%             | 2024-09-13      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                | ENBRIDGE INC VARIABLE RATE 02/16/2024                                   | CUSIP: 29250NBM6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | NUSS              | CA        |    250000 | PA      | $247557.53    | 0.04%             | 2024-02-16      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2016-SC01 FWLS 2016-SC01 M2     | CUSIP: 3137G1AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    417041 | PA      | $391574.00    | 0.07%             | 2046-07-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A                   | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240000 | PA      | $229768.51    | 0.04%             | 2038-05-15      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                              | SBA TOWER TRUST 144A 6.599000% 01/15/2028                               | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $301332.36    | 0.05%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| XPO LOGISTICS 2/18 COV-LITE TLB                                              | XPO LOGISTICS 2/18 COV-LITE TLB 2/24/2025                               | CUSIP: 98379EAE6<br>LEI: N/A                  | Long             | LON              |  | US        |    670000 | PA      | $665182.70    | 0.11%             | 2025-02-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2004-AR9 A7     | CUSIP: 92922FWL8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1471767 | PA      | $1362876.03   | 0.23%             | 2034-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC.                                                               | TRANSDIGM INC. 8/22/2024                                                | CUSIP: 89364MBS2<br>LEI: N/A                  | Long             | LON              |  | US        |    645864 | PA      | $642693.20    | 0.11%             | 2024-08-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I INC                                     | MORGAN STANLEY MORTGAGE LOAN TRUST 2004-5AR MSM 2004-5AR 3A1            | CUSIP: 61748HAR2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    283093 | PA      | $261625.07    | 0.04%             | 2034-07-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 BRAVO 2021-NQM1 A1            | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     79987 | PA      | $66412.34     | 0.01%             | 2049-02-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| HYLAND SOFTWARE, INC.                                                        | HYLAND SOFTWARE, INC. 7/7/2025                                          | CUSIP: 44908XAV0<br>LEI: N/A                  | Long             | LON              |  | US        |   1135600 | PA      | $1071018.43   | 0.18%             | 2025-07-07      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                                     | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1 AMCAR 2020-1 C          | CUSIP: 03067DAF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    475000 | PA      | $455981.29    | 0.08%             | 2025-10-20      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST                                               | ACCREDITED MORTGAGE LOAN TRUST 2004-4 ACCR 2004-4 A1A                   | CUSIP: 004375CA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     16460 | PA      | $16231.26     | 0.00%             | 2035-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD/LLC                                                              | KKR CLO 20 LTD KKR 20 B                                                 | CUSIP: 48251TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    636000 | PA      | $617133.06    | 0.11%             | 2030-10-16      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1                       | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    920326 | PA      | $745809.30    | 0.13%             | 2066-01-25      | Floating      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| APIDOS CLO                                                                   | APIDOS CLO XII APID 2013-12A AR                                         | CUSIP: 03764DAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $714997.18    | 0.12%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| INTOWN MORTGAGE TRUST                                                        | INTOWN 2022-STAY MORTGAGE TRUST TOWN 2022-STAY A                        | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1500000 | PA      | $1484963.55   | 0.26%             | 2039-08-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT, INC                                               | LIVE NATION ENTERTAINMENT, INC 10/19/2026                               | CUSIP: 53803HAM2<br>LEI: N/A                  | Long             | LON              |  | US        |    827866 | PA      | $809860.23    | 0.14%             | 2026-10-19      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FREEPORT LNG 11/21                                                           | FREEPORT LNG 11/21 11/16/2026                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    763602 | PA      | $720970.30    | 0.12%             | 2026-11-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 144A VARIABLE RATE 03/15/2024                  | CUSIP: 55903VAA1<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    165000 | PA      | $164443.05    | 0.03%             | 2024-03-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO                                                      | BAIN CAPITAL CREDIT CLO 2018-1 BCC 2018-1A A1                           | CUSIP: 05683LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $439999.65    | 0.08%             | 2031-04-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1                | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    797558 | PA      | $627726.90    | 0.11%             | 2066-02-25      | Floating      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| INVITATION HOMES TRUST                                                       | INVITATION HOMES 2018-SFR1 TRUST IHSFR 2018-SFR1 C                      | CUSIP: 46185JAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2199685 | PA      | $2162605.53   | 0.37%             | 2037-03-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM3 CSMC 2021-NQM3 A1                                        | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    257451 | PA      | $209352.97    | 0.04%             | 2066-04-25      | Floating      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                          | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1               | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    462534 | PA      | $436754.38    | 0.08%             | 2065-04-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                    | CIM TRUST 2017-7 CIM 2017-7 A                                           | CUSIP: 12553HAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      9269 | PA      | $9234.93      | 0.00%             | 2057-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2020-4 AOMT 2020-4 A1                          | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     43167 | PA      | $38913.17     | 0.01%             | 2065-06-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1                          | CUSIP: 81744FFY8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1579383 | PA      | $1414534.82   | 0.24%             | 2035-01-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA3 M3   | CUSIP: 3137G0GW3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2028-04-25      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                   | FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 A                         | CUSIP: 33844WAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109084 | PA      | $107320.09    | 0.02%             | 2026-12-15      | Fixed         | 0.37%                 | Yes           |                  2 | On Loan: No      |
| LBM ACQUISITION, LLC                                                         | LBM ACQUISITION LLC 144A 6.250000% 01/15/2029                           | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |   1304000 | PA      | $898213.33    | 0.15%             | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2021-2 AOMT 2021-2 A1                          | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    896686 | PA      | $739958.95    | 0.13%             | 2066-04-25      | Floating      | 0.98%                 | Yes           |                  2 | On Loan: No      |
| DUN & BRADSTREET CORPORATION, THE                                            | DUN & BRADSTREET CORPORATION, THE 1/18/2029                             | CUSIP: 26483NAS9<br>LEI: N/A                  | Long             | LON              |  | US        |    960175 | PA      | $944572.16    | 0.16%             | 2029-01-18      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2017-5 TPMT 2017-5 A1                         | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    611233 | PA      | $601336.93    | 0.10%             | 2057-02-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST I LLC 2018-3 AOMT 2018-3 A1                    | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      1487 | PA      | $1478.38      | 0.00%             | 2048-09-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                                   | GLS AUTO RECEIVABLES ISSUER TRUST 2021-3 GCAR 2021-3A A                 | CUSIP: 36263LAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    104263 | PA      | $103520.46    | 0.02%             | 2025-01-15      | Fixed         | 0.42%                 | Yes           |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST                                                        | ARROYO MORTGAGE TRUST 2021-1R ARRW 2021-1R A1                           | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1110390 | PA      | $876265.11    | 0.15%             | 2048-10-25      | Floating      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1                     | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    114384 | PA      | $99415.70     | 0.02%             | 2063-10-25      | Floating      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                                 | IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1               | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    150350 | PA      | $121104.16    | 0.02%             | 2056-11-25      | Floating      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| STAR US BIDCO LLC                                                            | STAR US BIDCO LLC 3/17/2027                                             | CUSIP: 85519WAC8<br>LEI: N/A                  | Long             | LON              |  | US        |   2110691 | PA      | $1984049.93   | 0.34%             | 2027-03-17      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA3 STACR 2022-DNA3 M1A             | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1402515 | PA      | $1384374.86   | 0.24%             | 2042-04-25      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| LIFE MORTGAGE TRUST                                                          | LIFE 2021-BMR MORTGAGE TRUST LIFE 2021-BMR D                            | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    982970 | PA      | $923801.05    | 0.16%             | 2038-03-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1                        | CUSIP: 12656GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     40699 | PA      | $35941.94     | 0.01%             | 2065-10-26      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| SPX FLOW, INC.                                                               | SPX FLOW, INC. 4/5/2029                                                 | CUSIP: 78470DAT5<br>LEI: N/A                  | Long             | LON              |  | US        |    728476 | PA      | $681125.22    | 0.12%             | 2029-04-05      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CLO LTD.                                                            | TRIMARAN CAVU 2019-1 LTD CAVU 2019-1A D                                 | CUSIP: 89624CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $543862.80    | 0.09%             | 2032-07-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST                                                | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP ELP 2021-ELP A                   | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    350000 | PA      | $333881.94    | 0.06%             | 2038-11-15      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| NORDSTROM, INC.                                                              | NORDSTROM INC 2.300000% 04/08/2024                                      | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    160000 | PA      | $150496.00    | 0.03%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT 11/22                                                              | OPEN TEXT 11/22 11/16/2029                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1040000 | PA      | $1009236.80   | 0.17%             | 2029-11-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO, LIMITED                                                       | MAGNETITE XVIII LTD MAGNE 2016-18A BR                                   | CUSIP: 55953TAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $969219.00    | 0.17%             | 2028-11-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                       | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-2 SDART 2020-2 C            | CUSIP: 80285RAF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    339507 | PA      | $338033.36    | 0.06%             | 2025-09-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| KNDL KNSQ MORTGAGE TRUST                                                     | KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019-KNSQ A                          | CUSIP: 482598AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    150000 | PA      | $147916.76    | 0.03%             | 2036-05-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2006-C4 CGCMT 2006-C4 C             | CUSIP: 17309DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     94692 | PA      | $94095.67     | 0.02%             | 2049-03-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                                    | MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1                                   | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    663286 | PA      | $626400.30    | 0.11%             | 2065-03-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1                        | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     59550 | PA      | $52287.86     | 0.01%             | 2054-07-27      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                                   | GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 GCAR 2021-2A B                 | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    232537 | PA      | $229226.33    | 0.04%             | 2025-09-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                               | CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B                  | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     52335 | PA      | $47976.70     | 0.01%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES, LLC                                                         | ARTERA SERVICES LLC 144A 9.033000% 12/04/2025                           | CUSIP: 73939VAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |    700000 | PA      | $582358.00    | 0.10%             | 2025-12-04      | Fixed         | 9.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                                 | UPSTART SECURITIZATION TRUST 2021-2 UPST 2021-2 A                       | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     88350 | PA      | $86461.85     | 0.01%             | 2031-06-20      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| PRO MACH GROUP, INC.                                                         | PRO MACH GROUP, INC. 8/31/2028                                          | CUSIP: 74273JAE3<br>LEI: N/A                  | Long             | LON              |  | US        |       937 | PA      | $913.89       | 0.00%             | 2028-08-31      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                         | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D NAVSL 2019-D A2B       | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2648025 | PA      | $2559023.59   | 0.44%             | 2059-12-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1                          | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     26989 | PA      | $25322.95     | 0.00%             | 2065-04-27      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                          | BANC OF AMERICA MORTGAGE 2004-A TRUST BOAMS 2004-A 2A2                  | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    527206 | PA      | $507124.82    | 0.09%             | 2034-02-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GATES GLOBAL 11/22                                                           | GATES GLOBAL 11/22 11/9/2029                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    650000 | PA      | $638300.00    | 0.11%             | 2029-11-09      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                          | STAR 2021-1 TRUST STAR 2021-1 A1                                        | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    107592 | PA      | $98899.44     | 0.02%             | 2065-05-25      | Floating      | 1.22%                 | Yes           |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2020-NNN XAFX  | CUSIP: 46652BBA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  12500000 | PA      | $359318.75    | 0.06%             | 2037-01-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1                          | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195401 | PA      | $153189.24    | 0.03%             | 2066-01-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM XXIV LTD LCM 24A AR                                                 | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    272383 | PA      | $266926.54    | 0.05%             | 2030-03-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED                                | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI MLMI 2005-A2 A2      | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1357235 | PA      | $1254452.16   | 0.22%             | 2035-02-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL 1/21 COV-LITE                                              | HUB INTERNATIONAL 1/21 COV-LITE 4/25/2025                               | CUSIP: 44332EAU0<br>LEI: N/A                  | Long             | LON              |  | US        |    531783 | PA      | $522630.71    | 0.09%             | 2025-04-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2017-V LTD CIFC 2017-5A B                                  | CUSIP: 12551MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $472809.00    | 0.08%             | 2030-11-16      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                                 | IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1               | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    209887 | PA      | $174197.55    | 0.03%             | 2056-06-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2018-1 TRUST OBX 2018-1 A2                                          | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    822866 | PA      | $772340.99    | 0.13%             | 2057-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                   | GCAT 2021-CM1 TRUST GCAT 2021-CM1 A                                     | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    201677 | PA      | $190459.09    | 0.03%             | 2065-04-25      | Floating      | 1.47%                 | Yes           |                  2 | On Loan: No      |
| BLERIOT US BIDCO INC.                                                        | BLERIOT US BIDCO INC. 30-Oct-2026                                       | CUSIP: 09353TAG5<br>LEI: N/A                  | Long             | LON              |  | US        |   1715890 | PA      | $1690872.78   | 0.29%             | 2026-10-30      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 810320                                               | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    224078 | PA      | $227885.14    | 0.04%             | 2034-04-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD                                                                 | ARES XXXIIR CLO LTD ARES 2014-32RA A1B                                  | CUSIP: 04017EAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $702323.45    | 0.12%             | 2030-05-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                       | MARLETTE FUNDING TRUST 2022-1 MFT 2022-1A A                             | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    223256 | PA      | $218289.59    | 0.04%             | 2032-04-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                                       | AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2               | CUSIP: 03237KAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    160089 | PA      | $153618.16    | 0.03%             | 2026-11-20      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| TECOSTAR HOLDINGS, INC.                                                      | TECOSTAR HOLDINGS, INC. 5/1/2024                                        | CUSIP: 87876HAC4<br>LEI: N/A                  | Long             | LON              |  | US        |   1399002 | PA      | $1171076.85   | 0.20%             | 2024-05-01      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORPORATION                                              | ENVISION HEALTHCARE CORPORATION 10-Oct-2025                             | CUSIP: 29373UAD3<br>LEI: N/A                  | Long             | LON              |  | US        |    335272 | PA      | $98905.18     | 0.02%             | 2025-10-10      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED                                | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2007-1 2A1      | CUSIP: 59023HAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    455015 | PA      | $441387.99    | 0.08%             | 2037-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                               | BLACKSTONE PRIVATE CREDIT FUND 2.350000% 11/22/2024                     | CUSIP: 09261HAH0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    235000 | PA      | $216588.14    | 0.04%             | 2024-11-22      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                       | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SER CSFB 2004-AR5 6A1    | CUSIP: 22541SJE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1072929 | PA      | $1023149.97   | 0.18%             | 2034-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST                                       | STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-BNC1 SAIL 2004-BNC1 A4      | CUSIP: 86358EKX3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    731566 | PA      | $692143.15    | 0.12%             | 2034-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                              | ALLEGRO CLO V LTD ALLEG 2017-1A AR                                      | CUSIP: 01748RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980305.00    | 0.17%             | 2030-10-16      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                       | GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024                | CUSIP: 37045XDN3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    600000 | PA      | $582252.68    | 0.10%             | 2024-10-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG (New York Branch)                                           | DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/16/2027                   | CUSIP: 251526CN7<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    325000 | PA      | $283757.23    | 0.05%             | 2027-11-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST                                 | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-2 B        | CUSIP: 025291AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     28985 | PA      | $28941.28     | 0.00%             | 2025-05-13      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                                         | BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MTN VARIABLE RATE 04/12/2024       | CUSIP: 10921U2B3<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    315000 | PA      | $311417.08    | 0.05%             | 2024-04-12      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD                                        | GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD GLM 2017-2A AR                  | CUSIP: 38136MAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    275000 | PA      | $270531.53    | 0.05%             | 2030-11-20      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| ARTERA SERVICES, LLC                                                         | ARTERA SERVICES, LLC 3/6/2025                                           | CUSIP: 73937UAK4<br>LEI: N/A                  | Long             | LON              |  | US        |    772116 | PA      | $630433.02    | 0.11%             | 2025-03-06      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS                                                         | ALIGNED DATA CENTERS ISSUER LLC ADC 2021-1A A2                          | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    700000 | PA      | $592288.20    | 0.10%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                       | BEAR STEARNS ARM TRUST 2004-1 BSARM 2004-1 21A1                         | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    175775 | PA      | $167082.66    | 0.03%             | 2034-04-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL F                       | CUSIP: 056054AJ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    425000 | PA      | $407887.12    | 0.07%             | 2036-10-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| BRIGHTVIEW LANDSCAPES, LLC                                                   | BRIGHTVIEW LANDSCAPES, LLC 4/20/2029                                    | CUSIP: 10801XAH0<br>LEI: N/A                  | Long             | LON              |  | US        |    801990 | PA      | $770576.05    | 0.13%             | 2029-04-20      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| TRINITY RAIL LEASING LLC                                                     | TRINITY RAIL LEASING 2021 LLC TRL 2021-1A A                             | CUSIP: 89656GAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    473174 | PA      | $392450.80    | 0.07%             | 2051-07-19      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS, INC.                                                   | TEAM HEALTH HOLDINGS, INC. 3/2/2027                                     | CUSIP: 87817JAG3<br>LEI: N/A                  | Long             | LON              |  | US        |    740200 | PA      | $510738.32    | 0.09%             | 2027-03-02      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| FIVE GUYS FUNDING LLC                                                        | FIVE GUYS FUNDING LLC GUYS 2017-1A A2                                   | CUSIP: 33830JAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    763338 | PA      | $717967.77    | 0.12%             | 2047-07-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                          | SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026                       | CUSIP: 83368RBF8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | NUSS              | FR        |    275000 | PA      | $263560.00    | 0.05%             | 2026-01-21      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LLC                                                     | MADISON PARK FUNDING XLI LTD ATRM 12A DR                                | CUSIP: 04965CAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $469136.50    | 0.08%             | 2027-04-22      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1                         | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    161098 | PA      | $153126.33    | 0.03%             | 2057-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| CONFLUENT MEDICAL TECHNOLOGIES, INC.                                         | CONFLUENT MEDICAL TECHNOLOGIES, INC. 2/16/2029                          | CUSIP: 20717RAB8<br>LEI: N/A                  | Long             | LON              |  | US        |    975100 | PA      | $919031.75    | 0.16%             | 2029-02-16      | Floating      | 7.30%                 | No            |                  3 | On Loan: No      |
| TAL ADVANTAGE LLC                                                            | TAL ADVANTAGE VII LLC TAL 2020-1A A                                     | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    772500 | PA      | $672359.51    | 0.12%             | 2045-09-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A1                          | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    342569 | PA      | $278588.06    | 0.05%             | 2066-10-25      | Floating      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                                   | CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A                          | CUSIP: 12659WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     94973 | PA      | $93270.47     | 0.02%             | 2029-04-16      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORPORATION                                          | BANC OF AMERICA FUNDING 2006-D TRUST BAFC 2006-D 3A1                    | CUSIP: 058933AG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     29789 | PA      | $25237.26     | 0.00%             | 2036-05-20      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST                                                    | ASHFORD HOSPITALITY TRUST 2018-ASHF AHT1 2018-ASHF B                    | CUSIP: 04410RAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    500000 | PA      | $474752.20    | 0.08%             | 2035-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                            | AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A               | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    104975 | PA      | $100206.12    | 0.02%             | 2026-11-16      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SMB 2020-PTA A2B             | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1655526 | PA      | $1583103.65   | 0.27%             | 2054-09-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX 2021-MFM1 BX 2021-MFM1 C                                             | CUSIP: 05608VAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $946246.00    | 0.16%             | 2034-01-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO RECEIVABLES TRUST                                      | SECURITIZED TERM AUTO LOAN RECEIVABLES TRUST 2019- SSTRT 2019-CRTA D    | CUSIP: 81379MAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |    184109 | PA      | $181085.73    | 0.03%             | 2026-03-25      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES HOLDINGS, INC.                                             | SS&C TECHNOLOGIES HOLDINGS, INC. 3/22/2029                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    302881 | PA      | $296596.10    | 0.05%             | 2029-03-22      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC VARIABLE RATE 05/01/2025                                  | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294400.80    | 0.05%             | 2025-05-01      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| QUEST SOFTWARE US HOLDINGS INC.                                              | QUEST SOFTWARE US HOLDINGS INC. 2/1/2030                                | CUSIP: G7314UAB8<br>LEI: N/A                  | Long             | LON              |  | US        |    819699 | PA      | $493188.59    | 0.08%             | 2030-02-01      | Floating      | 11.59%                | No            |                  2 | On Loan: No      |
| ACURIS FINANCE US, INC.                                                      | ACURIS FINANCE US, INC. 2/16/2028                                       | CUSIP: 00510DAB0<br>LEI: N/A                  | Long             | LON              |  | US        |    630000 | PA      | $617847.30    | 0.11%             | 2028-02-16      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Trust                                            | AVID AUTOMOBILE RECEIVABLES TRUST 2021-1 AVID 2021-1 A                  | CUSIP: 05369LAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     19787 | PA      | $19687.26     | 0.00%             | 2025-01-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                                                    | ANCHORAGE CAPITAL CLO 5-R LTD ANCHC 2014-5RA A                          | CUSIP: 03329AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1170565 | PA      | $1157421.42   | 0.20%             | 2030-01-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FRONERI INTERNATIONAL LIMITED                                                | FRONERI INTERNATIONAL LIMITED 1/29/2027                                 | CUSIP: G3679YAC6<br>LEI: N/A                  | Long             | LON              |  | US        |    609317 | PA      | $591470.03    | 0.10%             | 2027-01-29      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2019-1 BRAVO 2019-1 A1C                 | CUSIP: 10568GAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1130911 | PA      | $1098448.09   | 0.19%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1                          | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2584176 | PA      | $2096870.04   | 0.36%             | 2066-08-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1                          | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    163981 | PA      | $127634.70    | 0.02%             | 2066-05-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                                      | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 A           | CUSIP: 90944DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45944 | PA      | $45665.01     | 0.01%             | 2024-07-10      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-HQA1 STACR 2022-HQA1 M1A             | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1699771 | PA      | $1676129.72   | 0.29%             | 2042-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                           | TRICOLOR AUTO SECURITIZATION TRUST 2021-1 TAST 2021-1A A                | CUSIP: 89615BAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     11697 | PA      | $11674.93     | 0.00%             | 2024-04-15      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST                                                          | BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1                         | CUSIP: 05604FAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     92914 | PA      | $88858.67     | 0.02%             | 2033-03-10      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                 | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2003-E A1       | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    347094 | PA      | $319473.53    | 0.05%             | 2028-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2017-PANW MORTGAGE TRUST COMM 2017-PANW A                          | CUSIP: 12595HAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    700000 | PA      | $652600.41    | 0.11%             | 2029-10-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| CENT CLO LIMITED                                                             | CENT CLO 21 LTD CECLO 2014-21A A1R3                                     | CUSIP: 15137EBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1991903 | PA      | $1955670.75   | 0.34%             | 2030-07-27      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| LAKESHORE LEARNING MATERIALS                                                 | LAKESHORE LEARNING MATERIALS 9/29/2028                                  | CUSIP: 51207KAB5<br>LEI: N/A                  | Long             | LON              |  | US        |   1695743 | PA      | $1649109.80   | 0.28%             | 2028-09-29      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST                               | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-1 A2       | CUSIP: 35105JAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     64860 | PA      | $63523.01     | 0.01%             | 2025-09-15      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Formula One 11/22                                                            | Formula One 11/22 1/15/2030                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   3312000 | PA      | $3294413.28   | 0.57%             | 2030-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AUDIO VISUAL SERVICES 12/20 COV-LITE                                         | AUDIO VISUAL SERVICES 12/20 COV-LITE 3/3/2025                           | CUSIP: 00241YAT1<br>LEI: N/A                  | Long             | LON              |  | US        |   2425057 | PA      | $2176488.83   | 0.37%             | 2025-03-03      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR TRUST 2018-DNA2 STACR 2018-DNA2 M2AS                  | CUSIP: 35563TAK7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1849699 | PA      | $1825971.37   | 0.31%             | 2030-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                                       | AMUR EQUIPMENT FINANCE RECEIVABLES VIII LLC AXIS 2020-1A B              | CUSIP: 03237PAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    212227 | PA      | $209306.14    | 0.04%             | 2026-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW HAMPSHIRE HIGHER EDUCATION LOAN CORPORATION                              | NEW HAMPSHIRE HIGHER EDUCATION LOAN CORP NHHEL 2020-1 A1B               | CUSIP: 644622AC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    759080 | PA      | $742383.10    | 0.13%             | 2060-09-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED                                | MERRILL LYNCH MORTGAGE INVESTORS TRUST MLMI SERIES MLMI 2005-A4 1A      | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    251192 | PA      | $134073.14    | 0.02%             | 2035-07-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| ICON PUBLIC LIMITED COMPANY                                                  | ICON PUBLIC LIMITED COMPANY 7/3/2028                                    | CUSIP: L5000DAC1<br>LEI: N/A                  | Long             | LON              |  | US        |   1112710 | PA      | $1106512.41   | 0.19%             | 2028-07-03      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GROUPE SOLMAX INC.                                                           | GROUPE SOLMAX INC. 5/29/2028                                            | CUSIP: C4127PAB7<br>LEI: N/A                  | Long             | LON              |  | US        |       139 | PA      | $110.05       | 0.00%             | 2028-05-29      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| CFMT TRUST                                                                   | CFMT 2021-AL1 LLC CFMT 2021-AL1 B                                       | CUSIP: 12529UAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    271033 | PA      | $255345.26    | 0.04%             | 2031-09-22      | Fixed         | 1.39%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A2                          | CUSIP: 19688GAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1712843 | PA      | $1376758.55   | 0.24%             | 2066-10-25      | Floating      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1                          | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    310380 | PA      | $242890.36    | 0.04%             | 2066-07-25      | Floating      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| PRETIUM PKG HOLDINGS, INC.                                                   | PRETIUM PKG HOLDINGS, INC. 10/2/2028                                    | CUSIP: 74142KAF6<br>LEI: N/A                  | Long             | LON              |  | US        |    596875 | PA      | $499387.13    | 0.09%             | 2028-10-02      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                          | BANC OF AMERICA MORTGAGE 2003-K TRUST BOAMS 2003-K 2A1                  | CUSIP: 05948XZG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    546281 | PA      | $507092.31    | 0.09%             | 2033-12-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CATSKILL PARK CLO LTD                                                        | CATSKILL PARK CLO LTD CATSK 2017-1A A1B                                 | CUSIP: 149420AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $976425.00    | 0.17%             | 2029-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM4 CSMC 2021-NQM4 A1                                        | CUSIP: 12659PAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    179925 | PA      | $146014.49    | 0.03%             | 2066-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| PROOFPOINT INC.                                                              | PROOFPOINT INC. 8/31/2029                                               | CUSIP: 74345HAD3<br>LEI: N/A                  | Long             | LON              |  | US        |    863119 | PA      | $824278.46    | 0.14%             | 2029-08-31      | Floating      | 9.32%                 | No            |                  3 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 01/26/2023                                      | CUSIP: 912796S34<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $844638.39    | 0.15%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KOBE US MIDCO 2, INC.                                                        | KOBE US MIDCO 2 INC 144A 9.250000% 11/01/2026                           | CUSIP: 499894AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    816000 | PA      | $587520.00    | 0.10%             | 2026-11-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| GEMS MENASA (CAYMAN) LIMITED                                                 | GEMS MENASA CAYMAN LTD / GEMS EDUCATION DELAWARE L 7.125000% 07/31/2026 | CUSIP: 36166LAA5<br>LEI: 213800KB2HCLUSOQ2G49 | Long             | DBT              | NUSS              | AE        |    587000 | PA      | $560348.36    | 0.10%             | 2026-07-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2018-IV LTD CIFC 2018-4A A1                                | CUSIP: 17181TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $682092.60    | 0.12%             | 2031-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                                     | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 AMCAR 2020-2 C          | CUSIP: 03066EAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    550000 | PA      | $522634.42    | 0.09%             | 2026-02-18      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                              | IMPAC CMB TRUST SERIES 2004-6 IMM 2004-6 1A2                            | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    625834 | PA      | $593154.29    | 0.10%             | 2034-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Tibco Software/Citrix 9/22 2nd Lien Bridge                                   | Tibco Software/Citrix 9/22 2nd Lien Bridge 9/20/2029                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    384736 | PA      | $327025.60    | 0.06%             | 2029-09-20      | Floating      | 10.65%                | No            |                  3 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2021-R02 2M1               | CUSIP: 20754KAA9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1164091 | PA      | $1142167.01   | 0.20%             | 2041-11-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                              | MADISON IAQ LLC 6/21/2028                                               | CUSIP: 55759VAB4<br>LEI: N/A                  | Long             | LON              |  | US        |   1622404 | PA      | $1538249.64   | 0.26%             | 2028-06-21      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING, INC.                                                        | AVANTOR FUNDING INC 144A 3.875000% 11/01/2029                           | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    525000 | PA      | $450187.50    | 0.08%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST                                                   | KEYCORP STUDENT LOAN TRUST 2000-B KSLT 2000-B A2                        | CUSIP: 493268AY2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    118623 | PA      | $118267.65    | 0.02%             | 2029-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                            | AFFIRM ASSET SECURITIZATION TRUST 2021-B AFFRM 2021-B A                 | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260000 | PA      | $245055.36    | 0.04%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| PRODIGY FINANCE LTD                                                          | PRODIGY FINANCE CM2021-1 DAC PRDGY 2021-1A A                            | CUSIP: 742855AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | IE        |   1307219 | PA      | $1258884.76   | 0.22%             | 2051-07-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AA3518                                               | CUSIP: 31416L4C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    254869 | PA      | $256119.40    | 0.04%             | 2037-05-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| SERVICE LOGIC ACQUISITION, INC.                                              | SERVICE LOGIC ACQUISITION, INC. 29-Oct-2027                             | CUSIP: 03306UAD0<br>LEI: N/A                  | Long             | LON              |  | US        |     47042 | PA      | $-2116.89     | -0.00%            | 2027-10-29      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                                   | MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A3                       | CUSIP: 60700KAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1919746.20   | 0.33%             | 2025-08-14      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1B             | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    825000 | PA      | $753899.27    | 0.13%             | 2042-01-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-3 VERUS 2021-3 A1                       | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2564810 | PA      | $2067075.79   | 0.36%             | 2066-06-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Tibco Software/Citrix 9/22                                                   | Tibco Software/Citrix 9/22 12/31/2049                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1038508 | PA      | $941335.12    | 0.16%             | 2049-12-31      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                   | GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1                                  | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    151242 | PA      | $121446.45    | 0.02%             | 2066-05-25      | Floating      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST                                                | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC D                   | CUSIP: 55316VAG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1500000 | PA      | $1413575.85   | 0.24%             | 2038-04-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| TRIDENT TPI HLDNGS, INC.                                                     | TRIDENT TPI HLDNGS, INC. 9/15/2028                                      | CUSIP: 00216EAE9<br>LEI: N/A                  | Long             | LON              |  | US        |         0 | PA      | $0.02         | 0.00%             | 2028-09-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                                 | IMPERIAL FUND MORTGAGE TRUST 2022-NQM5 IMPRL 2022-NQM5 A3               | CUSIP: 45276QAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    389601 | PA      | $372579.39    | 0.06%             | 2067-08-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1                                  | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    233625 | PA      | $214587.56    | 0.04%             | 2049-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-4 VERUS 2021-4 A1                       | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    139381 | PA      | $106947.40    | 0.02%             | 2066-07-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORPORATION                                          | BANC OF AMERICA FUNDING 2006-I TRUST BAFC 2006-I 1A1                    | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1084115 | PA      | $1036375.94   | 0.18%             | 2036-12-20      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                 | WELLS FARGO MORTGAGE BACKED SECURITIES 2004-U TRUS WFMBS 2004-U A1      | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    599458 | PA      | $556739.00    | 0.10%             | 2034-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                            | AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A               | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     46337 | PA      | $44959.37     | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FC COMPASSUS, LLC                                                            | FC COMPASSUS, LLC 31-Dec-2026                                           | CUSIP: 20452RAD3<br>LEI: N/A                  | Long             | LON              |  | US        |         0 | PA      | $0.01         | 0.00%             | 2026-12-31      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 892978                                            | CUSIP: 3620E0GM2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    817321 | PA      | $817359.15    | 0.14%             | 2060-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK, N.A.                                                         | SANTANDER BANK NA - SBCLN SBCLN 2021-1A B                               | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    333113 | PA      | $319661.27    | 0.05%             | 2031-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORPORATION                                           | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A2 CHASE 2007-A2 2A3           | CUSIP: 16163LAF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    274514 | PA      | $261569.96    | 0.04%             | 2035-06-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST                                                | ECMC GROUP STUDENT LOAN TRUST 2020-3 ECMC 2020-3A A1B                   | CUSIP: 26833BAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    671314 | PA      | $663421.05    | 0.11%             | 2070-01-27      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| TRUCK HERO, INC.                                                             | TRUCK HERO, INC. 1/31/2028                                              | CUSIP: 89778PAG2<br>LEI: N/A                  | Long             | LON              |  | US        |    880397 | PA      | $742174.64    | 0.13%             | 2028-01-31      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LIMITED                                                    | HUB INTERNATIONAL LIMITED 4/25/2025                                     | CUSIP: 44332EAP1<br>LEI: N/A                  | Long             | LON              |  | US        |   1268070 | PA      | $1243075.91   | 0.21%             | 2025-04-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| HILTON ORLANDO TRUST                                                         | HILTON ORLANDO TRUST 2018-ORL HILT 2018-ORL B                           | CUSIP: 432885AG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $959744.20    | 0.17%             | 2034-12-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD                                                           | CARLYLE US CLO 2017-2 LTD CGMS 2017-2A A1R                              | CUSIP: 14315JAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1424203.05   | 0.24%             | 2031-07-20      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| LEARNING CARE GROUP (US) NO. 2 INC.                                          | LEARNING CARE GROUP (US) NO. 2 INC. 3/13/2025                           | CUSIP: 52201CAC5<br>LEI: N/A                  | Long             | LON              |  | US        |    856268 | PA      | $796868.37    | 0.14%             | 2025-03-13      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                                              | PALMER SQUARE LOAN FUNDING 2021-4 LTD PSTAT 2021-4A A1                  | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    505878 | PA      | $498469.13    | 0.09%             | 2029-10-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| KNDL KNSQ MORTGAGE TRUST                                                     | KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019-KNSQ E                          | CUSIP: 482598AN9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1250000 | PA      | $1208997.50   | 0.21%             | 2036-05-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD.                                                           | BELLEMEADE RE LTD BMIR 2021-2A M1A                                      | CUSIP: 07876AAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    755705 | PA      | $742833.27    | 0.13%             | 2031-06-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CULLIGAN 7/21 COV-LITE                                                       | CULLIGAN 7/21 COV-LITE 7/31/2028                                        | CUSIP: 00132UAG9<br>LEI: N/A                  | Long             | LON              |  | US        |   2154188 | PA      | $2042881.43   | 0.35%             | 2028-07-31      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LIMITED                                                      | MACQUARIE GROUP LTD MTN VARIABLE RATE 10/14/2025                        | CUSIP: 55608JBB3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | NUSS              | AU        |    300000 | PA      | $291258.09    | 0.05%             | 2025-10-14      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| DYNASTY ACQUISITION CO., INC.                                                | DYNASTY ACQUISITION CO., INC. 4/6/2026                                  | CUSIP: 26812CAF3<br>LEI: N/A                  | Long             | LON              |  | US        |    534098 | PA      | $512621.55    | 0.09%             | 2026-04-06      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                | MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1                    | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    108465 | PA      | $104536.43    | 0.02%             | 2061-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST                                                       | INVITATION HOMES 2018-SFR1 TRUST IHSFR 2018-SFR1 B                      | CUSIP: 46185JAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1499785 | PA      | $1468215.47   | 0.25%             | 2037-03-17      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                              | ALLEGRO CLO VII LTD ALLEG 2018-1A D                                     | CUSIP: 01750CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $355371.20    | 0.06%             | 2031-06-13      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                                                   | MADISON PARK FUNDING XIX LTD MDPK 2015-19A A2R2                         | CUSIP: 55819QBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $584827.20    | 0.10%             | 2028-01-22      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA), INC.                                         | UNITED RENTALS NORTH AMERICA INC 144A 6.000000% 12/15/2029              | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    390000 | PA      | $391950.00    | 0.07%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2015-CCRE23 MORTGAGE TRUST COMM 2015-CR23 C                        | CUSIP: 12593ABE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    500000 | PA      | $460001.80    | 0.08%             | 2048-05-10      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| R1 RCM 5/22 TLB                                                              | R1 RCM 5/22 TLB 6/21/2029                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    570185 | PA      | $559733.18    | 0.10%             | 2029-06-21      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO                                                              | SOUND POINT CLO XXIII SNDPT 2019-2A X                                   | CUSIP: 83614BAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $797381.60    | 0.14%             | 2034-07-15      | Floating      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| RADNOR RE/ESSENT                                                             | RADNOR RE 2020-1 LTD RMIR 2020-1 M1A                                    | CUSIP: 750493AA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    943674 | PA      | $941869.40    | 0.16%             | 2030-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED                                | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI MLMI 2005-A2 A5      | CUSIP: 59020USM8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    278543 | PA      | $257449.22    | 0.04%             | 2035-02-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| VIASAT, INC.                                                                 | VIASAT, INC. 3/2/2029                                                   | CUSIP: 92555WAD7<br>LEI: N/A                  | Long             | LON              |  | US        |    846662 | PA      | $820559.90    | 0.14%             | 2029-03-02      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| WMRK COMMERCIAL MORTGAGE TRUST                                               | WMRK COMMERCIAL MORTGAGE TRUST 2022-WMRK WMRK 2022-WMRK A               | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $994981.80    | 0.17%             | 2027-11-15      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| WINGSTOP FUNDING                                                             | WINGSTOP FUNDING LLC WSTOP 2020-1A A2                                   | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    694750 | PA      | $591311.45    | 0.10%             | 2050-12-05      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                            | AFFIRM ASSET SECURITIZATION TRUST 2020-Z1 AFFRM 2020-Z1 A               | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     16897 | PA      | $16735.12     | 0.00%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| MSCCG TRUST                                                                  | MSCG TRUST 2018-SELF MSCCG 2018-SELF A                                  | CUSIP: 55358PAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1329683 | PA      | $1295447.32   | 0.22%             | 2037-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2021-DNA2 M1   | CUSIP: 35564KCU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    342466 | PA      | $341448.92    | 0.06%             | 2033-08-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                       | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SDART 2021-2 B            | CUSIP: 80286XAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     68452 | PA      | $68144.54     | 0.01%             | 2025-09-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2022-R04 CAS 2022-R04 1M1           | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    815724 | PA      | $805548.57    | 0.14%             | 2042-03-25      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                         | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H NAVSL 2020-IA A1B      | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1184944 | PA      | $1139937.75   | 0.20%             | 2069-04-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                       | MARLETTE FUNDING TRUST 2021-2 MFT 2021-2A A                             | CUSIP: 57108TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      6148 | PA      | $6130.19      | 0.00%             | 2031-09-15      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| AADVANTAGE LOYALITY IP LTD.                                                  | AADVANTAGE LOYALITY IP LTD. 4/20/2028                                   | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              |  | US        |   1519231 | PA      | $1508656.92   | 0.26%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| SABRE TLB NEW                                                                | SABRE TLB NEW 12/17/2027                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18851 | PA      | $17354.99     | 0.00%             | 2027-12-17      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| WCG PURCHASER CORP.                                                          | WCG PURCHASER CORP. 1/8/2027                                            | CUSIP: 23343FAB0<br>LEI: N/A                  | Long             | LON              |  | US        |   1748111 | PA      | $1638853.82   | 0.28%             | 2027-01-08      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS                                                           | ENERGIZER HOLDINGS 22-Dec-2027                                          | CUSIP: 29267YAS1<br>LEI: N/A                  | Long             | LON              |  | US        |   1010157 | PA      | $988266.43    | 0.17%             | 2027-12-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                          | BANC OF AMERICA MORTGAGE 2004-D TRUST BOAMS 2004-D 2A1                  | CUSIP: 05949ADF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    213188 | PA      | $197219.69    | 0.03%             | 2034-05-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2003-AR7 A7     | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    604204 | PA      | $546410.47    | 0.09%             | 2033-08-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                            | CEDAR FUNDING X CLO LTD CEDF 2019-10A CR                                | CUSIP: 15033XAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $424170.00    | 0.07%             | 2032-10-20      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORPORATION                                          | BANC OF AMERICA FUNDING 2005-F TRUST BAFC 2005-F 4A1                    | CUSIP: 05946XYZ0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     28790 | PA      | $22589.39     | 0.00%             | 2035-09-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Sycamore/Sanderson Farms 9/21                                                | Sycamore/Sanderson Farms 9/21 7/23/2029                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1631226 | PA      | $1604310.66   | 0.28%             | 2029-07-23      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGE TRUST                                         | MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-6 MARM 2005-6 5A1            | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     19320 | PA      | $16417.34     | 0.00%             | 2035-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY SUPPORT SERVICES LLC                                              | UNIVERSITY SUPPORT SERVICES LLC 2/10/2029                               | CUSIP: 78957LAF9<br>LEI: N/A                  | Long             | LON              |  | US        |   2008948 | PA      | $1949944.97   | 0.34%             | 2029-02-10      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                | VISTRA OPERATIONS COMPANY LLC 31-Dec-2025                               | CUSIP: 88233FAK6<br>LEI: N/A                  | Long             | LON              |  | US        |   1003135 | PA      | $994246.88    | 0.17%             | 2025-12-31      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 372390                                               | CUSIP: 31377BUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1724 | PA      | $1712.31      | 0.00%             | 2024-10-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                       | BEAR STEARNS ARM TRUST 2004-3 BSARM 2004-3 2A                           | CUSIP: 07384MQ88<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    623853 | PA      | $574260.94    | 0.10%             | 2034-07-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4 NRZT 2018-4A A1S             | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1976573 | PA      | $1892731.21   | 0.33%             | 2048-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC.                                                              | SABRE GLBL INC. 2/22/2024                                               | CUSIP: 78571YBB5<br>LEI: N/A                  | Long             | LON              |  | US        |   1102394 | PA      | $1097796.78   | 0.19%             | 2024-02-22      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| TMK HAWK PARENT, CORP.                                                       | TMK HAWK PARENT, CORP. 5/30/2024                                        | CUSIP: 87258WAK1<br>LEI: N/A                  | Long             | LON              |  | US        |    729454 | PA      | $663802.92    | 0.11%             | 2024-05-30      | Floating      | 12.57%                | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD.                                                           | BELLEMEADE RE 2018-3 LTD BMIR 2018-3A M1B                               | CUSIP: 07877TAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    339224 | PA      | $338777.45    | 0.06%             | 2028-10-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| EQUINOX HOLDINGS INC.                                                        | EQUINOX HOLDINGS INC. 3/8/2024                                          | CUSIP: 29446CAR5<br>LEI: N/A                  | Long             | LON              |  | US        |    747788 | PA      | $587013.19    | 0.10%             | 2024-03-08      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2021-R01 CAS 2021-R01 1M1           | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    227725 | PA      | $225495.06    | 0.04%             | 2041-10-25      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                            | AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A               | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    150426 | PA      | $145975.06    | 0.03%             | 2027-02-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                      | GSR MORTGAGE LOAN TRUST 2005-AR2 GSR 2005-AR2 1A2                       | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    160953 | PA      | $144907.96    | 0.02%             | 2035-04-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A                   | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195000 | PA      | $186629.25    | 0.03%             | 2036-09-15      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-HQA3 STACR 2021-HQA3 M1              | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2230720 | PA      | $2127727.57   | 0.37%             | 2041-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MF1 LTD                                                                      | MF1 2022-FL8 LTD MF1 2022-FL8 A                                         | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239115.50    | 0.04%             | 2037-02-19      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST                                 | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 B        | CUSIP: 025286AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    157980 | PA      | $157160.70    | 0.03%             | 2026-02-13      | Fixed         | 0.66%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-HE1 BRAVO 2021-HE1 A1              | CUSIP: 10569QAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1956887 | PA      | $1920729.59   | 0.33%             | 2070-01-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| PointClickCare 2/22 Incremental                                              | PointClickCare 2/22 Incremental 29-Dec-2027                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    686550 | PA      | $677968.13    | 0.12%             | 2027-12-29      | Floating      | 7.55%                 | No            |                  3 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS, LLC                                                | FOCUS FINANCIAL PARTNERS, LLC 6/30/2028                                 | CUSIP: 34416DAU2<br>LEI: N/A                  | Long             | LON              |  | US        |    591246 | PA      | $572876.10    | 0.10%             | 2028-06-30      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| SABRE TLB                                                                    | SABRE TLB 12/17/2027                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30050 | PA      | $27664.89     | 0.00%             | 2027-12-17      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2018-3 EART 2018-3A D               | CUSIP: 30166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     33166 | PA      | $33107.03     | 0.01%             | 2024-06-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2014-UBS6 MORTGAGE TRUST COMM 2014-UBS6 B                          | CUSIP: 12592PBJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $371808.28    | 0.06%             | 2047-12-10      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                                               | JPMORGAN CHASE BANK NA - CACLN CACLN 2021-2 C                           | CUSIP: 48128U2N8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    458260 | PA      | $438364.53    | 0.08%             | 2028-12-26      | Fixed         | 0.97%                 | Yes           |                  2 | On Loan: No      |
| ALTERRA MOUNTAIN COMPANY                                                     | ALTERRA MOUNTAIN COMPANY 7/31/2024                                      | CUSIP: 46124CAB3<br>LEI: N/A                  | Long             | LON              |  | US        |    280982 | PA      | $279664.32    | 0.05%             | 2024-07-31      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC.                                                | UNIVISION COMMUNICATIONS INC. 3/15/2024                                 | CUSIP: 914908AX6<br>LEI: N/A                  | Long             | LON              |  | US        |    751603 | PA      | $749724.15    | 0.13%             | 2024-03-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO LTD                                                            | ELEVATION CLO 2014-2 LTD AWPT 2014-2A A1R                               | CUSIP: 28622QAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840302 | PA      | $830786.33    | 0.14%             | 2029-10-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1 EART 2021-2A B               | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    152896 | PA      | $151493.57    | 0.03%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| Ultra Electronics 11/21 (USD) TL                                             | Ultra Electronics 11/21 (USD) TL 8/3/2029                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1400000 | PA      | $1354500.00   | 0.23%             | 2029-08-03      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1                | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    545246 | PA      | $482780.19    | 0.08%             | 2065-10-25      | Floating      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| Pike 1/21 Incremental                                                        | Pike 1/21 Incremental 1/21/2028                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    485797 | PA      | $475852.28    | 0.08%             | 2028-01-21      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                                          | PFS FINANCING CORP PFSFC 2020-E A                                       | CUSIP: 69335PDT9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $957368.80    | 0.16%             | 2025-10-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC.                                                    | TEAM HEALTH HOLDINGS INC. 2/6/2024                                      | CUSIP: 87817JAE8<br>LEI: N/A                  | Long             | LON              |  | US        |    515906 | PA      | $427835.28    | 0.07%             | 2024-02-06      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| SOPHIA, L.P.                                                                 | SOPHIA, L.P. 10/7/2027                                                  | CUSIP: 83578BAN3<br>LEI: N/A                  | Long             | LON              |  | US        |   1335173 | PA      | $1284770.66   | 0.22%             | 2027-10-07      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST                                                                  | VISIO TRUST VISIO 2021-1R A1                                            | CUSIP: 92837UAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1193519 | PA      | $1088343.25   | 0.19%             | 2056-05-25      | Fixed         | 1.28%                 | Yes           |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                                             | FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A                 | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    158344 | PA      | $156282.18    | 0.03%             | 2026-03-16      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST                                               | CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE CAMB 2019-LIFE E               | CUSIP: 12482HAN4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1904728.60   | 0.33%             | 2037-12-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                               | CARVANA AUTO RECEIVABLES TRUST 2021-P3 CRVNA 2021-P3 A2                 | CUSIP: 14687JAD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     83629 | PA      | $82654.41     | 0.01%             | 2025-01-10      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC.                                                        | SRS DISTRIBUTION INC. 6/2/2028                                          | CUSIP: 78466YAN8<br>LEI: N/A                  | Long             | LON              |  | US        |    242071 | PA      | $232085.93    | 0.04%             | 2028-06-02      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| TRANS UNION LLC                                                              | TRANS UNION LLC 12/1/2028                                               | CUSIP: 89334GAZ7<br>LEI: N/A                  | Long             | LON              |  | US        |    516618 | PA      | $507447.64    | 0.09%             | 2028-12-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| PING IDENTITY CORPORATION                                                    | PING IDENTITY CORPORATION 22-Nov-2028                                   | CUSIP: 72341KAH5<br>LEI: N/A                  | Long             | LON              |  | US        |    696500 | PA      | $693017.50    | 0.12%             | 2028-11-22      | Floating      | 6.88%                 | No            |                  3 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                                 | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1               | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    159194 | PA      | $122158.05    | 0.02%             | 2056-09-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| STAR TRUST                                                                   | STAR 2021-SFR1 TRUST STAR 2021-SFR1 C                                   | CUSIP: 85521DAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $946974.30    | 0.16%             | 2038-04-17      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2020-5 VERUS 2020-5 A1                       | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    694629 | PA      | $631052.00    | 0.11%             | 2065-05-25      | Fixed         | 1.22%                 | Yes           |                  2 | On Loan: No      |
| DENALI CAPITAL CLO LTD.                                                      | DENALI CAPITAL CLO XI LTD DEN11 2015-1A A2RR                            | CUSIP: 24823DAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $984098.00    | 0.17%             | 2028-10-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 793029                                               | CUSIP: 31405MA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     77205 | PA      | $78429.98     | 0.01%             | 2034-07-01      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| BPR TRUST                                                                    | BPR TRUST 2022-OANA BPR 2022-OANA A                                     | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    595000 | PA      | $578967.49    | 0.10%             | 2037-04-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC.                                                      | ATHENAHEALTH GROUP INC. 2/15/2029                                       | CUSIP: 04686RAB9<br>LEI: N/A                  | Long             | LON              |  | US        |   1412504 | PA      | $1286791.28   | 0.22%             | 2029-02-15      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| SUNSHINE LUXEMBOURG VII S.A R.L.                                             | SUNSHINE LUXEMBOURG VII S.A R.L. 10/1/2026                              | CUSIP: L8908YAE8<br>LEI: N/A                  | Long             | LON              |  | US        |   1179680 | PA      | $1118855.53   | 0.19%             | 2026-10-01      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH, INC.                                                     | OPTION CARE HEALTH, INC. 27-Oct-2028                                    | CUSIP: 68404YAB0<br>LEI: N/A                  | Long             | LON              |  | US        |   1157722 | PA      | $1149999.51   | 0.20%             | 2028-10-27      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                                     | VOYA CLO 2016-3 LTD VOYA 2016-3A A2R                                    | CUSIP: 92915HAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    818182 | PA      | $793390.27    | 0.14%             | 2031-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1                       | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     22689 | PA      | $21503.04     | 0.00%             | 2059-11-25      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1                      | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    342354 | PA      | $275770.74    | 0.05%             | 2066-10-25      | Floating      | 1.11%                 | Yes           |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST                                                       | TESLA AUTO LEASE TRUST 2020-A TESLA 2020-A B                            | CUSIP: 88167HAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $987125.40    | 0.17%             | 2024-01-22      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| TRAVERSE MIDSTREAM PARTNERS LLC                                              | TRAVERSE MIDSTREAM PARTNERS LLC 9/27/2024                               | CUSIP: 89435TAB0<br>LEI: N/A                  | Long             | LON              |  | US        |   1346525 | PA      | $1336425.93   | 0.23%             | 2024-09-27      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-1RMORTGAGE PASS-THROUGH CERTIFICATES COLT 2021-1R A1          | CUSIP: 19688BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    117720 | PA      | $95750.21     | 0.02%             | 2065-05-25      | Floating      | 0.86%                 | Yes           |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST                               | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A3       | CUSIP: 35105UAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100000 | PA      | $96736.76     | 0.02%             | 2026-05-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| MITCHELL INTERNATIONAL, INC.                                                 | MITCHELL INTERNATIONAL, INC. 15-Oct-2028                                | CUSIP: 60662WAS1<br>LEI: N/A                  | Long             | LON              |  | US        |    509943 | PA      | $475985.61    | 0.08%             | 2028-10-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| MISSOURI HIGHER ED LN AUTH STUDENT LN REV                                    | MISSOURI HIGHER EDUCATION LOAN AUTHORITY MHELA 2021-2 A1B               | CUSIP: 606072LG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2810607 | PA      | $2709196.88   | 0.47%             | 2061-03-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                        | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B            | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140000 | PA      | $135487.72    | 0.02%             | 2026-07-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| BARINGS CLO LTD                                                              | BARINGS CLO LTD 2013-I BABSN 2013-IA AR                                 | CUSIP: 06760EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2633531 | PA      | $2605007.26   | 0.45%             | 2028-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1                 | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     35042 | PA      | $32882.14     | 0.01%             | 2059-11-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| WILLIAM MORRIS ENDEAVOR ENTERTAINMENT, LLC                                   | WILLIAM MORRIS ENDEAVOR ENTERTAINMENT, LLC 5/18/2025                    | CUSIP: 96925HAF9<br>LEI: N/A                  | Long             | LON              |  | US        |   1654660 | PA      | $1608262.96   | 0.28%             | 2025-05-18      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                                     | BHG SECURITIZATION TRUST 2022-B BHG 2022-B A                            | CUSIP: 05553DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    248894 | PA      | $244934.40    | 0.04%             | 2035-06-18      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| INVITATION HOMES TRUST                                                       | INVITATION HOMES 2018-SFR4 TRUST IHSFR 2018-SFR4 A                      | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2665735 | PA      | $2624880.40   | 0.45%             | 2038-01-17      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST                                     | GS MORTGAGE SECURITIES CORP TRUST 2020-DUNE GSMS 2020-DUNE B            | CUSIP: 36258BAL2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    500000 | PA      | $482578.95    | 0.08%             | 2036-12-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VASA TRUST                                                                   | VASA TRUST 2021-VASA VASA 2021-VASA B                                   | CUSIP: 92230AAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1840214.40   | 0.32%             | 2039-07-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MISSISSIPPI POWER COMPANY                                                    | MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024                           | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    195000 | PA      | $190552.80    | 0.03%             | 2024-06-28      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-HQA3 STACR 2022-HQA3 M1A             | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    502491 | PA      | $496939.51    | 0.09%             | 2042-08-25      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                       | MARLETTE FUNDING TRUST 2021-3 MFT 2021-3A A                             | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     50854 | PA      | $50081.55     | 0.01%             | 2031-12-15      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2019-MFP B     | CUSIP: 46651MAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1934420.80   | 0.33%             | 2036-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST                                                          | DBGS 2018-BIOD MORTGAGE TRUST DBGS 2018-BIOD A                          | CUSIP: 23306GAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2741288 | PA      | $2679227.78   | 0.46%             | 2035-05-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD                                                               | OAKTOWN RE VII LTD OMIR 2021-2 M1A                                      | CUSIP: 67389JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |   1000000 | PA      | $961241.10    | 0.17%             | 2034-04-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| SPECIALTY BUILDING PRODUCTS HOLDINGS, LLC                                    | SPECIALTY BUILDING PRODUCTS HOLDINGS, LLC 15-Oct-2028                   | CUSIP: 84748EAF7<br>LEI: N/A                  | Long             | LON              |  | US        |    790397 | PA      | $696782.59    | 0.12%             | 2028-10-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2013-300P MORTGAGE TRUST COMM 2013-300P E                          | CUSIP: 12625XAN7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    800000 | PA      | $724158.96    | 0.12%             | 2030-08-10      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                               | MORGAN STANLEY CAPITAL I TRUST 2018-SUN MSC 2018-SUN A                  | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2909514.60   | 0.50%             | 2035-07-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MH SUB I, LLC (MICRO HOLDING CORP.)                                          | MH SUB I, LLC (MICRO HOLDING CORP.) 9/13/2024                           | CUSIP: 45567YAL9<br>LEI: N/A                  | Long             | LON              |  | US        |    719513 | PA      | $699279.85    | 0.12%             | 2024-09-13      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CCC Information 9/21 Cov-Lite TLB                                            | CCC Information 9/21 Cov-Lite TLB 9/15/2028                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    724136 | PA      | $711825.37    | 0.12%             | 2028-09-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-HQA2 STACR 2021-HQA2 M1              | CUSIP: 35564KFN4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    454458 | PA      | $449913.50    | 0.08%             | 2033-12-25      | Floating      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT FUNDING LLC COLT 2021-3R A1                                        | CUSIP: 19688DAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    103013 | PA      | $85208.75     | 0.01%             | 2064-12-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| INVITATION HOMES TRUST                                                       | INVITATION HOMES 2018-SFR1 TRUST IHSFR 2018-SFR1 A                      | CUSIP: 46185JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1661860 | PA      | $1632240.03   | 0.28%             | 2037-03-17      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SEI Daily Income Trust: Government Fund; Class F Shares                      | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                            | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  33665292 | NS      | $33665291.97  | 5.79%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR CGCMT 2018-TBR A           | CUSIP: 17326MAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4000000 | PA      | $3864025.20   | 0.66%             | 2036-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1                         | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     71252 | PA      | $69904.17     | 0.01%             | 2056-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| KENTUCKY HIGHER ED STUDENT LN CORP STUDENT LN REV                            | KENTUCKY HIGHER EDUCATION STUDENT LOAN CORP KHESL 2020-1 A1B            | CUSIP: 49130NEZ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1506713 | PA      | $1495152.74   | 0.26%             | 2050-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-5 NRZT 2017-5A A1              | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1111742 | PA      | $1084646.07   | 0.19%             | 2057-06-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| PREGIS TOPCO LLC                                                             | PREGIS TOPCO LLC 7/31/2026                                              | CUSIP: 74045BAC1<br>LEI: N/A                  | Long             | LON              |  | US        |   1158688 | PA      | $1112340.13   | 0.19%             | 2026-07-31      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AE0825                                               | CUSIP: 31419A4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    198886 | PA      | $208608.45    | 0.04%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 879906                                               | CUSIP: 31409VR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    103399 | PA      | $104842.66    | 0.02%             | 2033-10-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2004-3 SEMT 2004-3 A                             | CUSIP: 81744FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    245070 | PA      | $242778.85    | 0.04%             | 2034-05-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BAUSCH AND LAMB TL                                                           | BAUSCH AND LAMB TL 5/10/2027                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    935000 | PA      | $884977.50    | 0.15%             | 2027-05-10      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO, LTD.                                                      | KKR CLO 21 LTD KKR 21 A                                                 | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $569830.86    | 0.10%             | 2031-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1 NRZT 2020-NQM1 A1         | CUSIP: 64830VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     75979 | PA      | $68169.38     | 0.01%             | 2060-01-26      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| CLUBCORP HOLDINGS INC.                                                       | CLUBCORP HOLDINGS INC. 9/18/2024                                        | CUSIP: 18948TAB9<br>LEI: N/A                  | Long             | LON              |  | US        |    809373 | PA      | $727626.41    | 0.13%             | 2024-09-18      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST                                                        | ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2                            | CUSIP: 00217FAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63413 | PA      | $62130.31     | 0.01%             | 2030-03-15      | Fixed         | 0.37%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I INC                                     | MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 200 MSDWC 2002-HE2 A1    | CUSIP: 61746WRV4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    133259 | PA      | $133070.94    | 0.02%             | 2032-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2022-7 MORTGAGE LOAN TRUST COLT 2022-7 A1                          | CUSIP: 12663GAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    962556 | PA      | $929999.12    | 0.16%             | 2067-04-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| MFA TRUST                                                                    | MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1                                   | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     44826 | PA      | $40921.96     | 0.01%             | 2065-01-26      | Floating      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                       | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES COR CSFB 2005-5 3A2      | CUSIP: 225458TY4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    282402 | PA      | $279649.28    | 0.05%             | 2035-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST                                                        | ARROYO MORTGAGE TRUST 2019-1 ARRW 2019-1 A1                             | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1009829 | PA      | $927960.46    | 0.16%             | 2049-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                                     | VIRGIN MEDIA BRISTOL LLC 1/31/2028                                      | CUSIP: G9368PBC7<br>LEI: N/A                  | Long             | LON              |  | US        |   1371680 | PA      | $1335454.28   | 0.23%             | 2028-01-31      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| PHOENIX NEWCO, INC.                                                          | PHOENIX NEWCO, INC. 15-Nov-2028                                         | CUSIP: 71911KAC8<br>LEI: N/A                  | Long             | LON              |  | US        |   1621626 | PA      | $1557377.51   | 0.27%             | 2028-11-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2004-AR14 A1    | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1022786 | PA      | $925131.78    | 0.16%             | 2035-01-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| TUTOR PERINI                                                                 | TUTOR PERINI 8/18/2027                                                  | CUSIP: 90110FAM6<br>LEI: N/A                  | Long             | LON              |  | US        |    705775 | PA      | $663428.49    | 0.11%             | 2027-08-18      | Floating      | 8.50%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-DNA3 STACR 2021-DNA3 M1              | CUSIP: 35564KED7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    682879 | PA      | $674554.96    | 0.12%             | 2033-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 CAS 2022-R03 1M1           | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    816597 | PA      | $806903.97    | 0.14%             | 2042-03-25      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| SOPHIA, L.P.                                                                 | SOPHIA, L.P. 10/9/2028                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $992500.00    | 0.17%             | 2028-10-09      | Floating      | 11.67%                | No            |                  3 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2004-5 SEMT 2004-5 A1                            | CUSIP: 81744FBS5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    845286 | PA      | $748734.76    | 0.13%             | 2034-06-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST                                                     | BEAR STEARNS ALT-A TRUST 2004-7 BALTA 2004-7 2A1                        | CUSIP: 07386HKK6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    966307 | PA      | $910748.31    | 0.16%             | 2034-08-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| OPG TRUST                                                                    | OPG TRUST 2021-PORT OPG 2021-PORT D                                     | CUSIP: 67118AAL9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    685374 | PA      | $632125.29    | 0.11%             | 2036-10-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2020-INV1 TRUST OBX 2020-INV1 A11                                   | CUSIP: 67113CAL0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    354512 | PA      | $326203.62    | 0.06%             | 2049-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                         | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H NAVSL 2020-HA A        | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    783270 | PA      | $702773.48    | 0.12%             | 2069-01-15      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-1 NRZT 2018-1A A1A             | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    508095 | PA      | $476741.62    | 0.08%             | 2057-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST                                                   | LAD AUTO RECEIVABLES TRUST 2021-1 LADAR 2021-1A A                       | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    223997 | PA      | $216882.25    | 0.04%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| CLEAN HARBORS TL 1L B                                                        | CLEAN HARBORS TL 1L B 9/21/2028                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1115000 | PA      | $1108733.70   | 0.19%             | 2028-09-21      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| GLOBAL IID PARENT LLC                                                        | GLOBAL IID PARENT LLC 16-Dec-2028                                       | CUSIP: 37960YAC9<br>LEI: N/A                  | Long             | LON              |  | US        |    829798 | PA      | $784159.08    | 0.13%             | 2028-12-16      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2007-A1 JPMMT 2007-A1 5A2                      | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    299695 | PA      | $288239.06    | 0.05%             | 2035-07-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR MIDCO GMBH                                                       | TK ELEVATOR MIDCO GMBH 7/30/2027                                        | CUSIP: D9000BAD4<br>LEI: N/A                  | Long             | LON              |  | US        |     80431 | PA      | $77012.41     | 0.01%             | 2027-07-30      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                    | BAXTER INTERNATIONAL INC 144A VARIABLE RATE 11/29/2024                  | CUSIP: 071813CZ0<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    275000 | PA      | $268422.80    | 0.05%             | 2024-11-29      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| THE CHEMOURS COMPANY                                                         | CHEMOURS CO/THE 144A 4.625000% 11/15/2029                               | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    640000 | PA      | $515200.00    | 0.09%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2021-SJ2 TPMT 2021-SJ2 A1A                    | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1325933 | PA      | $1214968.08   | 0.21%             | 2061-12-25      | Floating      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED                                | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI MLMI 2005-A2 A3      | CUSIP: 59020USK2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    375175 | PA      | $335110.50    | 0.06%             | 2035-02-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2014-CCRE15 MORTGAGE TRUST COMM 2014-CR15 D                        | CUSIP: 12591RAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    700000 | PA      | $662356.80    | 0.11%             | 2047-02-10      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                      | CARMAX AUTO OWNER TRUST 2021-3 CARMX 2021-3 A2A                         | CUSIP: 14317DAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     53750 | PA      | $53422.79     | 0.01%             | 2024-09-16      | Fixed         | 0.29%                 | No            |                  2 | On Loan: No      |
| USI. INC.                                                                    | USI. INC. 12/2/2026                                                     | CUSIP: 90351NAF2<br>LEI: N/A                  | Long             | LON              |  | US        |   1702555 | PA      | $1673066.35   | 0.29%             | 2026-12-02      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1A             | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1799652 | PA      | $1739704.09   | 0.30%             | 2042-01-25      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                   | CHL MORTGAGE PASS-THROUGH TRUST 2004-8 CWHL 2004-8 2A1                  | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      5830 | PA      | $3493.74      | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICON PUBLIC LIMITED COMPANY                                                  | ICON PUBLIC LIMITED COMPANY 7/3/2028                                    | CUSIP: L5000DAD9<br>LEI: N/A                  | Long             | LON              |  | US        |    277232 | PA      | $275688.27    | 0.05%             | 2028-07-03      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MOTUS GROUP, LLC                                                             | MOTUS GROUP, LLC 11-Dec-2028                                            | CUSIP: 62014TAB6<br>LEI: N/A                  | Long             | LON              |  | US        |    845750 | PA      | $796062.19    | 0.14%             | 2028-12-11      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST                               | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SARM 2005-7 1A3          | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    589144 | PA      | $540665.59    | 0.09%             | 2035-04-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CORPORATION                                       | MELLON RESIDENTIAL FUNDING COR MOR PAS THR TR SER MRFC 1999-TBC3 A2     | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109920 | PA      | $106077.98    | 0.02%             | 2029-10-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST                                                        | ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1                             | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     35333 | PA      | $32312.78     | 0.01%             | 2048-10-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| COLD STORAGE TRUST                                                           | COLD STORAGE TRUST 2020-ICE5 COLD 2020-ICE5 D                           | CUSIP: 193051AN9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1474486 | PA      | $1415695.23   | 0.24%             | 2037-11-15      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| ENSEMBLE RCM, LLC                                                            | ENSEMBLE RCM, LLC 8/3/2026                                              | CUSIP: 29359BAB7<br>LEI: N/A                  | Long             | LON              |  | US        |    680534 | PA      | $659552.76    | 0.11%             | 2026-08-03      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                            | HSBC HOLDINGS PLC VARIABLE RATE 11/22/2024                              | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |    275000 | PA      | $268116.20    | 0.05%             | 2024-11-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| HYPERION INSURANCE/HOWDEN 2/21 COV-LITE TLB                                  | HYPERION INSURANCE/HOWDEN 2/21 COV-LITE TLB 12-Nov-2027                 | CUSIP: G4712JAR3<br>LEI: N/A                  | Long             | LON              |  | US        |   1793330 | PA      | $1745932.66   | 0.30%             | 2027-11-12      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| SHARP MIDCO LLC                                                              | SHARP MIDCO LLC 31-Dec-2028                                             | CUSIP: 81989LAC2<br>LEI: N/A                  | Long             | LON              |  | US        |    776100 | PA      | $741175.50    | 0.13%             | 2028-12-31      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| SOPHIA, L.P.                                                                 | SOPHIA, L.P. 10/7/2027                                                  | CUSIP: 83578BAP8<br>LEI: N/A                  | Long             | LON              |  | US        |    780488 | PA      | $757073.17    | 0.13%             | 2027-10-07      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST                                                             | MORTGAGEIT TRUST 2005-1 MHL 2005-1 2A                                   | CUSIP: 61913PAR3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    224591 | PA      | $212248.35    | 0.04%             | 2035-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                                       | GSK CONSUMER HEALTHCARE CAPITAL US LLC VARIABLE RATE 03/24/2024         | CUSIP: 36264FAJ0<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248878.30    | 0.04%             | 2024-03-24      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                           | TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A                | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80747 | PA      | $79694.42     | 0.01%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| MFA TRUST                                                                    | MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1                                   | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1236046 | PA      | $990225.55    | 0.17%             | 2064-11-25      | Floating      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT HE TRUST                                                          | TOWD POINT HE TRUST 2021- HE1 TPHT 2021-HE1 A1                          | CUSIP: 89180DAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    973208 | PA      | $907506.04    | 0.16%             | 2063-02-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| Golden Entertainment 8/17 TL                                                 | Golden Entertainment 8/17 TL 8/15/2024                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    450000 | PA      | $445500.00    | 0.08%             | 2024-08-15      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| TRIDENT TPI HOLDINGS, INC.                                                   | TRIDENT TPI HOLDINGS, INC. 17-Oct-2024                                  | CUSIP: 00216EAB5<br>LEI: N/A                  | Long             | LON              |  | US        |   1877009 | PA      | $1858539.64   | 0.32%             | 2024-10-17      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC                                                 | HILTON WORLDWIDE FINANCE LLC 6/22/2026                                  | CUSIP: 43289DAH6<br>LEI: N/A                  | Long             | LON              |  | US        |   1364214 | PA      | $1353163.56   | 0.23%             | 2026-06-22      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHF TRUST                                                                    | FHF TRUST 2021-2 FHF 2021-2A A                                          | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     98952 | PA      | $93712.48     | 0.02%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| DTI HOLDCO, INC.                                                             | DTI HOLDCO, INC. 4/26/2029                                              | CUSIP: 23358EAF6<br>LEI: N/A                  | Long             | LON              |  | US        |    810000 | PA      | $746722.80    | 0.13%             | 2029-04-26      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| Covanta 11/21 TLB                                                            | Covanta 11/21 TLB 11/30/2028                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    263388 | PA      | $257901.81    | 0.04%             | 2028-11-30      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC.                                                    | ELANCO ANIMAL HEALTH INC. 8/1/2027                                      | CUSIP: 28414BAF3<br>LEI: N/A                  | Long             | LON              |  | US        |    777356 | PA      | $751245.08    | 0.13%             | 2027-08-01      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS AND ELECTRIC CO 3.250000% 02/16/2024                        | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193939.93    | 0.03%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Greatbatch/Integer 8/21 Cov-Lite TLB                                         | Greatbatch/Integer 8/21 Cov-Lite TLB 9/2/2028                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    819694 | PA      | $804734.15    | 0.14%             | 2028-09-02      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST                                   | ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES ACE 2005-SD1 M2       | CUSIP: 004421KL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    616290 | PA      | $625101.47    | 0.11%             | 2050-11-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI US CLO LTD                                                 | BLUEMOUNTAIN FUJI US CLO II LTD BLUEM 2017-2A C                         | CUSIP: 09629EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $333087.20    | 0.06%             | 2030-10-20      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2 EFMT 2019-2 A2                | CUSIP: 31573TAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    424368 | PA      | $397417.95    | 0.07%             | 2059-11-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| ASURION, LLC                                                                 | ASURION, LLC 23-Dec-2026                                                | CUSIP: 04649VAX8<br>LEI: N/A                  | Long             | LON              |  | US        |    697575 | PA      | $609213.17    | 0.10%             | 2026-12-23      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| SkyMiles IP Ltd.                                                             | DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.500000% 10/20/2025         | CUSIP: 830867AA5<br>LEI: 2549008L7P4I8VB90936 | Long             | DBT              | NUSS              | US        |    225000 | PA      | $219195.66    | 0.04%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA TOPCO, INC.                                                            | DELTA TOPCO, INC. 12/1/2028                                             | CUSIP: 24780DAE7<br>LEI: N/A                  | Long             | LON              |  | US        |    988559 | PA      | $837191.04    | 0.14%             | 2028-12-01      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2013-CCRE10 MORTGAGE TRUST COMM 2013-CR10 XA                       | CUSIP: 12626BAF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  29837526 | PA      | $71821.91     | 0.01%             | 2046-08-10      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                   | FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A                         | CUSIP: 33846QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    104110 | PA      | $100499.41    | 0.02%             | 2027-07-15      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                                     | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3 AMCAR 2020-3 C          | CUSIP: 03066PAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    300000 | PA      | $280392.87    | 0.05%             | 2026-08-18      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP.                                                                 | MCAFEE CORP. 3/1/2029                                                   | CUSIP: 57906HAD9<br>LEI: N/A                  | Long             | LON              |  | US        |   1849344 | PA      | $1753418.47   | 0.30%             | 2029-03-01      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD.                                                           | BELLEMEADE RE 2022-1 LTD BMIR 2022-1 M1A                                | CUSIP: 078774AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |   1000000 | PA      | $984394.40    | 0.17%             | 2032-01-26      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP, LLC                                                    | DIAMOND SPORTS GROUP, LLC 8/24/2026                                     | CUSIP: 25277BAG3<br>LEI: N/A                  | Long             | LON              |  | US        |    986889 | PA      | $156056.70    | 0.03%             | 2026-08-24      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| ALLIANCE LAUNDRY SYSTEMS LLC                                                 | ALLIANCE LAUNDRY SYSTEMS LLC 10/8/2027                                  | CUSIP: 01862LAW8<br>LEI: N/A                  | Long             | LON              |  | US        |    780982 | PA      | $761652.39    | 0.13%             | 2027-10-08      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2006-A2 JPMMT 2006-A2 5A3                      | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     78925 | PA      | $74688.23     | 0.01%             | 2033-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| VSE VOI MORTGAGE LLC                                                         | VSE 2017-A VOI MORTGAGE LLC VSTNA 2017-A A                              | CUSIP: 918288AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    472893 | PA      | $451129.28    | 0.08%             | 2035-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 735172                                               | CUSIP: 31402QW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    273697 | PA      | $274835.91    | 0.05%             | 2033-10-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| SYNEOS HEALTH, INC.                                                          | SYNEOS HEALTH INC 144A 3.625000% 01/15/2029                             | CUSIP: 87166BAA0<br>LEI: 549300F1ZGKDS8P6GU13 | Long             | DBT              | CORP              | US        |    181000 | PA      | $143102.22    | 0.02%             | 2029-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM1 CSMC 2021-NQM1 A1                                        | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    145888 | PA      | $129417.07    | 0.02%             | 2065-05-25      | Floating      | 0.81%                 | Yes           |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING                                               | DIAMOND INFRASTRUCTURE FUNDING LLC DNFRA 2021-1A C                      | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $310206.44    | 0.05%             | 2049-04-15      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| UNITED PF HOLDINGS, LLC                                                      | UNITED PF HOLDINGS, LLC 30-Dec-2026                                     | CUSIP: 91132UAG8<br>LEI: N/A                  | Long             | LON              |  | US        |   1233343 | PA      | $1045258.61   | 0.18%             | 2026-12-30      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                                   | MMAF EQUIPMENT FINANCE LLC 2018-A MMAF 2018-A A4                        | CUSIP: 60700DAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    437826 | PA      | $435908.51    | 0.07%             | 2025-01-10      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Covanta 11/21 TLC                                                            | Covanta 11/21 TLC 11/30/2028                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19829 | PA      | $19415.56     | 0.00%             | 2028-11-30      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX COMMERCIAL MORTGAGE TRUST 2021-ACNT BX 2021-ACNT B                   | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1899994.40   | 0.33%             | 2038-11-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2                       | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    188258 | PA      | $149528.27    | 0.03%             | 2066-01-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                        | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A E            | CUSIP: 96041LAG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    355000 | PA      | $352627.68    | 0.06%             | 2025-04-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA6 STACR 2022-DNA6 M1A             | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    465526 | PA      | $462608.78    | 0.08%             | 2042-09-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING LLC                                                   | OXFORD FINANCE FUNDING 2019-1 LLC OXFIN 2019-1A A2                      | CUSIP: 69145AAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    202804 | PA      | $200851.15    | 0.03%             | 2027-02-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AD0213                                               | CUSIP: 31418MGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     12201 | PA      | $12837.63     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING LLC                                                   | OXFORD FINANCE FUNDING 2020-1 LLC OXFIN 2020-1A A2                      | CUSIP: 69144AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    755171 | PA      | $746103.23    | 0.13%             | 2028-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2021-SDMF BX 2021-SDMF B                                       | CUSIP: 12434CAG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $934829.20    | 0.16%             | 2034-09-15      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| CP ATLAS BUYER, INC.                                                         | CP ATLAS BUYER, INC. 23-Nov-2027                                        | CUSIP: 12658HAG7<br>LEI: N/A                  | Long             | LON              |  | US        |   1717649 | PA      | $1509384.38   | 0.26%             | 2027-11-23      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                                          | PFS FINANCING CORP PFSFC 2021-B A                                       | CUSIP: 69335PED3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $916428.80    | 0.16%             | 2026-08-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| EXTENET SYSTEMS                                                              | EXTENET LLC 2019-1 EXTNT 2019-1A A2                                     | CUSIP: 30227XAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1873784.40   | 0.32%             | 2049-07-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ENSONO/ACXIOM 5/21 COV-LITE                                                  | ENSONO/ACXIOM 5/21 COV-LITE 5/26/2028                                   | CUSIP: 29359DAB3<br>LEI: N/A                  | Long             | LON              |  | US        |   1670328 | PA      | $1500171.69   | 0.26%             | 2028-05-26      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2018-3 TPMT 2018-3 A1                         | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    731749 | PA      | $689333.53    | 0.12%             | 2058-05-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2                   | CUSIP: 46650AAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     85082 | PA      | $81395.08     | 0.01%             | 2046-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1            | CUSIP: 105699AA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     47703 | PA      | $45572.65     | 0.01%             | 2060-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| EQUINOX FITNESS CLUBS                                                        | EQUINOX FITNESS CLUBS 3/8/2024                                          | CUSIP: 29446CAP9<br>LEI: N/A                  | Long             | LON              |  | US        |   2484052 | PA      | $1838198.59   | 0.32%             | 2024-03-08      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1                     | CUSIP: 92538EAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     90861 | PA      | $78346.00     | 0.01%             | 2064-04-25      | Floating      | 1.02%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                        | ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024                     | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    450000 | PA      | $441341.63    | 0.08%             | 2024-05-24      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BEACON CONTAINER FINANCE LLC                                                 | BEACON CONTAINER FINANCE II LLC BEACN 2021-1A A                         | CUSIP: 07359BAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    713333 | PA      | $602640.27    | 0.10%             | 2046-10-22      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                         | NAVIENT PRIVATE EDUCATION LOAN TRUST 2015-A NAVSL 2015-AA A2A           | CUSIP: 63939EAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    731085 | PA      | $723076.26    | 0.12%             | 2028-12-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESDEC SOLAR GROUP B.V.                                                       | ESDEC SOLAR GROUP B.V. 8/30/2028                                        | CUSIP: N3066KAM7<br>LEI: N/A                  | Long             | LON              |  | US        |    666954 | PA      | $643610.37    | 0.11%             | 2028-08-30      | Floating      | 8.92%                 | No            |                  3 | On Loan: No      |
| KODIAK BP, LLC                                                               | KODIAK BP, LLC 3/12/2028                                                | CUSIP: 50011JAB6<br>LEI: N/A                  | Long             | LON              |  | US        |   1607406 | PA      | $1516314.04   | 0.26%             | 2028-03-12      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| TIBCO SOFTWARE INC.                                                          | CLOUD SOFTWARE GROUP HOLDINGS INC 144A 6.500000% 03/31/2029             | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     54000 | PA      | $47163.12     | 0.01%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST                               | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A2       | CUSIP: 35105UAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     16585 | PA      | $16541.13     | 0.00%             | 2025-04-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| TRANSDIGM INC.                                                               | TRANSDIGM INC 144A 6.250000% 03/15/2026                                 | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    350000 | PA      | $348299.00    | 0.06%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2022-HQA2 M1A  | CUSIP: 35564KB24<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    216896 | PA      | $215542.83    | 0.04%             | 2042-07-25      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-4 VERUS 2021-4 A2                       | CUSIP: 92538HAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    714812 | PA      | $538219.07    | 0.09%             | 2066-07-25      | Floating      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| TIF FUNDING II LLC                                                           | TIF FUNDING II LLC TIF 2021-1A A                                        | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    857917 | PA      | $693210.40    | 0.12%             | 2046-02-20      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| AIR MEDICAL GROUP HOLDINGS INC.                                              | AIR MEDICAL GROUP HOLDINGS INC. 3/14/2025                               | CUSIP: 00169QAD1<br>LEI: N/A                  | Long             | LON              |  | US        |    515976 | PA      | $408911.37    | 0.07%             | 2025-03-14      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE, INC.                                                        | IVANTI SOFTWARE, INC. 12/1/2027                                         | CUSIP: 46583DAG4<br>LEI: N/A                  | Long             | LON              |  | US        |    827327 | PA      | $633426.26    | 0.11%             | 2027-12-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2018-4 TPMT 2018-4 A1                         | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    934964 | PA      | $850070.81    | 0.15%             | 2058-06-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTERRA MOUNTAIN COMPANY                                                     | ALTERRA MOUNTAIN COMPANY 8/17/2028                                      | CUSIP: 46124CAJ6<br>LEI: N/A                  | Long             | LON              |  | US        |   1571417 | PA      | $1547845.61   | 0.27%             | 2028-08-17      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST                                                | CORPORATE CMO LENDBUZZ SECURITISATION TRUST                             | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    275786 | PA      | $261967.09    | 0.05%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING LLC                                                    | SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2                       | CUSIP: 784033AC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    322775 | PA      | $311707.49    | 0.05%             | 2028-02-22      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                                                   | NAVIENT STUDENT LOAN TRUST 2021-2 NAVSL 2021-2A A1B                     | CUSIP: 63942QAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1640798 | PA      | $1587257.09   | 0.27%             | 2070-02-25      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| DUN & BRADSTREET CORPORATION                                                 | DUN & BRADSTREET CORPORATION 2/6/2026                                   | CUSIP: 26483NAN0<br>LEI: N/A                  | Long             | LON              |  | US        |    123138 | PA      | $121352.91    | 0.02%             | 2026-02-06      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST                                                 | HILTON GRAND VACATIONS TRUST 2017-A HGVT 2017-AA A                      | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    416799 | PA      | $409008.97    | 0.07%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2011-GC3 GSMS 2011-GC3 X                   | CUSIP: 36248FAJ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    965563 | PA      | $9.66         | 0.00%             | 2044-03-10      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-5 MORTGAGE LOAN TRUST COLT 2021-5 A1                          | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    885814 | PA      | $723174.15    | 0.12%             | 2066-11-26      | Floating      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Belron 10/19 (USD) TLB                                                       | Belron 10/19 (USD) TLB 10/30/2026                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    238331 | PA      | $235649.93    | 0.04%             | 2026-10-30      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                  | ASURION LLC 11/3/2024                                                   | CUSIP: 04649VAW0<br>LEI: N/A                  | Long             | LON              |  | US        |    605293 | PA      | $579441.28    | 0.10%             | 2024-11-03      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| TGP HOLDINGS III LLC                                                         | TGP HOLDINGS III LLC 6/29/2028                                          | CUSIP: 87251RAL7<br>LEI: 549300LURVM6CQ1MNO41 | Long             | LON              |  | US        |      2921 | PA      | $-583.06      | -0.00%            | 2028-06-29      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                 | WELLS FARGO MORTGAGE BACKED SECURITIES 2004-K TRUS WFMBS 2004-K 1A2     | CUSIP: 94981VAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    134348 | PA      | $136908.28    | 0.02%             | 2034-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST                                            | BUNKER HILL LOAN DEPOSITARY TRUST 2020-1 BHLD 2020-1 A1                 | CUSIP: 12062RAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45311 | PA      | $43072.32     | 0.01%             | 2055-02-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD WEC HOLDINGS INC.                                                 | BROOKFIELD WEC HOLDINGS INC. 8/1/2025                                   | CUSIP: 11284EAM5<br>LEI: N/A                  | Long             | LON              |  | US        |   1135620 | PA      | $1113497.78   | 0.19%             | 2025-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 729190                                               | CUSIP: 31402HC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    453062 | PA      | $462436.48    | 0.08%             | 2034-08-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SWEETWATER BORROWER, LLC                                                     | SWEETWATER BORROWER, LLC 8/7/2028                                       | CUSIP: 87168EAB0<br>LEI: N/A                  | Long             | LON              |  | US        |    683501 | PA      | $632238.76    | 0.11%             | 2028-08-07      | Floating      | 8.06%                 | No            |                  3 | On Loan: No      |
| Sabre 8/22                                                                   | Sabre 8/22 6/30/2028                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    495000 | PA      | $462825.00    | 0.08%             | 2028-06-30      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                                 | UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A                       | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    171206 | PA      | $165220.59    | 0.03%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| SPECIALTY BUILDING PRODUCTS HOLDINGS, LLC                                    | SPECIALTY BUILDING PRODUCTS HOLDINGS LLC / SBP FIN 6.375000% 09/30/2026 | CUSIP: 84749AAA5<br>LEI: 549300ICFD46O3KMJC06 | Long             | DBT              | CORP              | US        |    525000 | PA      | $433731.52    | 0.07%             | 2026-09-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LTD                                                        | MOUNTAIN VIEW CLO 2017-1 LLC MVEW 2017-1A AR                            | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1027600 | PA      | $1008895.61   | 0.17%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                       | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2020-1 VCC 2020-1 AFX            | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    783234 | PA      | $726116.00    | 0.12%             | 2050-02-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                         | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A1              | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    360152 | PA      | $299492.00    | 0.05%             | 2066-04-25      | Floating      | 0.90%                 | Yes           |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                                | SG RESIDENTIAL MORTGAGE TRUST 2021-2 SGR 2021-2 A1                      | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1757844 | PA      | $1426723.76   | 0.25%             | 2061-12-25      | Floating      | 1.74%                 | Yes           |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST                                               | CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE CAMB 2019-LIFE B               | CUSIP: 12482HAG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2902188.60   | 0.50%             | 2037-12-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| M6 Midstream 8/22                                                            | M6 Midstream 8/22 8/10/2029                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    284766 | PA      | $284589.76    | 0.05%             | 2029-08-10      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| EAGLE PARENT CORP.                                                           | EAGLE PARENT CORP. 4/2/2029                                             | CUSIP: 26972CAC6<br>LEI: N/A                  | Long             | LON              |  | US        |   1695437 | PA      | $1663647.59   | 0.29%             | 2029-04-02      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                                   | MMAF EQUIPMENT FINANCE LLC 2022-B MMAF 2022-B A2                        | CUSIP: 606940AB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $1000367.30   | 0.17%             | 2025-09-09      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                              | RESIDENTIAL MORTGAGE LOAN TRUST 2020-1 RMLT 2020-1 A1                   | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     25985 | PA      | $24179.73     | 0.00%             | 2060-01-26      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 892990                                            | CUSIP: 3620E0G26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    303490 | PA      | $304927.40    | 0.05%             | 2060-11-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2007-A4 JPMMT 2007-A4 1A1                      | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     26595 | PA      | $20806.49     | 0.00%             | 2037-06-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA TL B3                                                        | CATALENT PHARMA TL B3 2/22/2028                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    625787 | PA      | $617576.91    | 0.11%             | 2028-02-22      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING COMPANY                                                         | BWAY HOLDING COMPANY 4/3/2024                                           | CUSIP: 05604XAP1<br>LEI: N/A                  | Long             | LON              |  | US        |   2028166 | PA      | $1966063.18   | 0.34%             | 2024-04-03      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| IMPRIVATA, INC.                                                              | IMPRIVATA, INC. 12/1/2027                                               | CUSIP: 45323KAD2<br>LEI: N/A                  | Long             | LON              |  | US        |    578550 | PA      | $551433.36    | 0.09%             | 2027-12-01      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| PKHL COMMERCIAL MORTGAGE TRUST                                               | PKHL COMMERCIAL MORTGAGE TRUST 2021-MF PKHL 2021-MF F                   | CUSIP: 69356GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $358531.40    | 0.06%             | 2038-07-15      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Corporation Service Company/CSC 8/22                                         | Corporation Service Company/CSC 8/22 8/31/2029                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    680000 | PA      | $668950.00    | 0.12%             | 2029-08-31      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC.                                       | HILTON DOMESTIC OPERATING CO INC 144A 4.000000% 05/01/2031              | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    549000 | PA      | $461800.11    | 0.08%             | 2031-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL                                                            | GFL ENVIRONMENTAL 5/30/2025                                             | CUSIP: C7052BAH7<br>LEI: N/A                  | Long             | LON              |  | US        |    540669 | PA      | $539316.85    | 0.09%             | 2025-05-30      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-HE2 BRAVO 2021-HE2 A3              | CUSIP: 10569CAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1131597 | PA      | $1114475.69   | 0.19%             | 2069-11-25      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2022-VAMF BX 2022-VAMF D                                       | CUSIP: 05609TAG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $934822.30    | 0.16%             | 2039-01-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1                       | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     13322 | PA      | $12511.11     | 0.00%             | 2060-01-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES | 280 PARK AVENUE 2017-280P MORTGAGE TRUST PRK 2017-280P D                | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2814104.70   | 0.48%             | 2034-09-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FUNDING 2                                                 | DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2                        | CUSIP: 257812AD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |         0 | PA      | $0.01         | 0.00%             | 2034-12-11      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                                               | JPMORGAN CHASE BANK NA - CACLN CACLN 2021-3 D                           | CUSIP: 46591HCF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1047293 | PA      | $978697.89    | 0.17%             | 2029-02-26      | Fixed         | 1.01%                 | Yes           |                  2 | On Loan: No      |
| RADIAN GUARANTY INC AND EAGLE RE LTD                                         | EAGLE RE 2021-2 LTD EMIR 2021-2 M1A                                     | CUSIP: 26982AAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |   3000000 | PA      | $2979500.70   | 0.51%             | 2034-04-25      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| VOYA CLO                                                                     | VOYA CLO 2014-2 LTD VOYA 2014-2A A1RR                                   | CUSIP: 92912VAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    284465 | PA      | $279789.42    | 0.05%             | 2030-04-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Service Logic 10/20 Delayed TL                                               | Service Logic 10/20 Delayed TL 10/29/2027                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    117726 | PA      | $112428.23    | 0.02%             | 2027-10-29      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| TCI-FLATIRON CLO LTD                                                         | TCI-FLATIRON CLO 2017-1 LTD TFLAT 2017-1A B                             | CUSIP: 87231BAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $483041.50    | 0.08%             | 2030-11-18      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ECI ACQUIROR LP                                                      | PRAIRIE ECI ACQUIROR LP 3/11/2026                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    399255 | PA      | $385844.38    | 0.07%             | 2026-03-11      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS, INC.                                                    | ZAYO GROUP HOLDINGS, INC. 3/9/2027                                      | CUSIP: 98919XAB7<br>LEI: N/A                  | Long             | LON              |  | US        |    990000 | PA      | $743965.20    | 0.13%             | 2027-03-09      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| AVERY POINT CLO, LIMITED                                                     | AVERY POINT IV CLO LTD AVERY 2014-1A D                                  | CUSIP: 05363UAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $794688.80    | 0.14%             | 2026-04-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2018-C SMB 2018-C A2B                  | CUSIP: 78449QAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1513060 | PA      | $1464923.52   | 0.25%             | 2035-11-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2020-ACE A     | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $924265.00    | 0.16%             | 2037-01-10      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                       | VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2021-1 VCC 2021-1 A              | CUSIP: 92259TAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    770347 | PA      | $626191.81    | 0.11%             | 2051-05-25      | Floating      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2022-LBA6 BX 2022-LBA6 A                                       | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    210000 | PA      | $201042.18    | 0.03%             | 2039-01-15      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| ASSUREDPARTNERS, INC.                                                        | ASSUREDPARTNERS, INC. 2/12/2027                                         | CUSIP: 04621HAS2<br>LEI: N/A                  | Long             | LON              |  | US        |    965452 | PA      | $926110.11    | 0.16%             | 2027-02-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| ATALAYA EQUIPMENT LEASING TRUST LLC.                                         | ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2                    | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    110858 | PA      | $107420.65    | 0.02%             | 2026-05-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST                                                       | CROSSROADS ASSET TRUST 2021-A XROAD 2021-A A2                           | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     43545 | PA      | $43138.81     | 0.01%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                                                | MHP 2022-MHIL MHP 2022-MHIL A                                           | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    131174 | PA      | $125007.72    | 0.02%             | 2027-01-15      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| TMK HAWK PARENT, CORP.                                                       | TMK HAWK PARENT, CORP. 8/28/2024                                        | CUSIP: 87258WAL9<br>LEI: N/A                  | Long             | LON              |  | US        |    938820 | PA      | $469409.86    | 0.08%             | 2024-08-28      | Floating      | 6.57%                 | No            |                  3 | On Loan: No      |
| MATRIX PARENT INC                                                            | MATRIX PARENT INC 3/1/2029                                              | CUSIP: 57684TAC3<br>LEI: N/A                  | Long             | LON              |  | US        |    597495 | PA      | $536748.02    | 0.09%             | 2029-03-01      | Floating      | 8.10%                 | No            |                  3 | On Loan: No      |
| LEARNING CARE GROUP (US) NO. 2 INC.                                          | LEARNING CARE GROUP (US) NO. 2 INC. 3/13/2025                           | CUSIP: 52201CAF8<br>LEI: N/A                  | Long             | LON              |  | US        |    513188 | PA      | $495225.93    | 0.09%             | 2025-03-13      | Floating      | 12.73%                | No            |                  2 | On Loan: No      |
| LHS BORROWER, LLC                                                            | LHS BORROWER, LLC 2/16/2029                                             | CUSIP: 50204EAB4<br>LEI: N/A                  | Long             | LON              |  | US        |    449485 | PA      | $362397.32    | 0.06%             | 2029-02-16      | Floating      | 8.58%                 | No            |                  3 | On Loan: No      |
| BELLEMEADE RE LTD.                                                           | BELLEMEADE RE 2019-3 LTD BMIR 2019-3A M1B                               | CUSIP: 07877GAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    510508 | PA      | $510082.78    | 0.09%             | 2029-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 04/13/2023                                      | CUSIP: 912796YU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250000 | PA      | $1230239.34   | 0.21%             | 2023-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MORTGAGE CORP                                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2004-AR2 A      | CUSIP: 92922FNW4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1418200 | PA      | $1344718.87   | 0.23%             | 2044-04-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| VERDE CDO                                                                    | VERDE CLO LTD VERDE 2019-1A XR                                          | CUSIP: 92338BAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    162500 | PA      | $162496.10    | 0.03%             | 2032-04-15      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| RENAISSANCE HOLDING CORP.                                                    | RENAISSANCE HOLDING CORP. 5/29/2026                                     | CUSIP: 75972JAE4<br>LEI: N/A                  | Long             | LON              |  | US        |    662778 | PA      | $627982.49    | 0.11%             | 2026-05-29      | Floating      | 10.75%                | No            |                  2 | On Loan: No      |
| FREEPORT LNG 11/21                                                           | FREEPORT LNG 11/21 12/21/2028                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    355675 | PA      | $336852.67    | 0.06%             | 2028-12-21      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                               | CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B                  | CUSIP: 14687GAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    142700 | PA      | $131760.54    | 0.02%             | 2028-06-12      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST 2020-5 AOMT 2020-5 A1                          | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    406537 | PA      | $359397.11    | 0.06%             | 2065-05-25      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| WESTGATE RESORTS LLC                                                         | WESTGATE RESORTS 2020-1 LLC WESTR 2020-1A A                             | CUSIP: 96034LAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    710429 | PA      | $690656.46    | 0.12%             | 2034-03-20      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| ASPLUNDH TREE EXPERT, LLC                                                    | ASPLUNDH TREE EXPERT, LLC 9/7/2027                                      | CUSIP: 04538FAD1<br>LEI: N/A                  | Long             | LON              |  | US        |     90947 | PA      | $89615.92     | 0.02%             | 2027-09-07      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                 | ACRISURE LLC 2/15/2027                                                  | CUSIP: 00488PAL9<br>LEI: N/A                  | Long             | LON              |  | US        |   1318398 | PA      | $1231990.46   | 0.21%             | 2027-02-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| ERESEARCHTECHNOLOGY, INC.                                                    | ERESEARCHTECHNOLOGY, INC. 2/4/2027                                      | CUSIP: 29481PAH4<br>LEI: N/A                  | Long             | LON              |  | US        |         0 | PA      | $0.02         | 0.00%             | 2027-02-04      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                       | BEAR STEARNS ARM TRUST 2003-8 BSARM 2003-8 4A1                          | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1230472 | PA      | $1181846.63   | 0.20%             | 2034-01-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2005-A4 JPMMT 2005-A4 4A2                      | CUSIP: 466247RV7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    404981 | PA      | $373295.94    | 0.06%             | 2035-07-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| PARTICLE LUXEMBOURG S.A.R.L.                                                 | PARTICLE LUXEMBOURG S.A.R.L. 2/18/2027                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1392513 | PA      | $1343774.77   | 0.23%             | 2027-02-18      | Floating      | 8.92%                 | No            |                  3 | On Loan: No      |
| DUNKIN BRANDS                                                                | DB MASTER FINANCE LLC DNKN 2019-1A A2II                                 | CUSIP: 233046AK7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    362812 | PA      | $335200.65    | 0.06%             | 2049-05-20      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2004-AR11 A     | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    412786 | PA      | $367966.33    | 0.06%             | 2034-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AE0643                                               | CUSIP: 31419AWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      8830 | PA      | $9268.54      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                                     | CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A AR3        | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    306830 | PA      | $301448.97    | 0.05%             | 2031-07-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| SOTERA HEALTH HOLDINGS, LLC                                                  | SOTERA HEALTH HOLDINGS, LLC 11-Dec-2026                                 | CUSIP: 83600VAE1<br>LEI: N/A                  | Long             | LON              |  | US        |   1165000 | PA      | $1081993.70   | 0.19%             | 2026-12-11      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST                                                       | INVITATION HOMES 2018-SFR4 TRUST IHSFR 2018-SFR4 C                      | CUSIP: 46187XAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1999908 | PA      | $1967422.62   | 0.34%             | 2038-01-17      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 821976                                               | CUSIP: 31406WFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     46703 | PA      | $45404.77     | 0.01%             | 2035-06-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                   | TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2026                  | CUSIP: 89114TZH8<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    300000 | PA      | $289988.70    | 0.05%             | 2026-09-10      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST                                 | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-4 A        | CUSIP: 02530TAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     91617 | PA      | $91258.17     | 0.02%             | 2025-09-15      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                                     | NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR              | CUSIP: 64131QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $392576.00    | 0.07%             | 2030-10-18      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                                                   | MADISON PARK FUNDING XXX LTD MDPK 2018-30A A                            | CUSIP: 55821TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |         0 | PA      | $0.01         | 0.00%             | 2029-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Marlink/Venga 11/21 (USD) TL                                                 | Marlink/Venga 11/21 (USD) TL 6/28/2029                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    243782 | PA      | $220623.14    | 0.04%             | 2029-06-28      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| SORENSON COMMUNICATIONS, LLC                                                 | SORENSON COMMUNICATIONS, LLC 3/17/2026                                  | CUSIP: 83583KAH9<br>LEI: N/A                  | Long             | LON              |  | US        |   1156260 | PA      | $1109049.44   | 0.19%             | 2026-03-17      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| II-VI 12/21 TLB                                                              | II-VI 12/21 TLB 7/2/2029                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    596250 | PA      | $589172.51    | 0.10%             | 2029-07-02      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                                 | PERATON CORP 2/1/2028                                                   | CUSIP: 71360HAB3<br>LEI: N/A                  | Long             | LON              |  | US        |   1138024 | PA      | $1109573.71   | 0.19%             | 2028-02-01      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2012-137 UE                                       | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     97901 | PA      | $91035.83     | 0.02%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                                | SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1                      | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    272015 | PA      | $221234.54    | 0.04%             | 2061-07-25      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| VIBRANT CLO LTD                                                              | VIBRANT CLO VI LTD VIBR 2017-6A AR                                      | CUSIP: 92558EAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    169073 | PA      | $166557.54    | 0.03%             | 2029-06-20      | Floating      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| MARAVAI INTERMEDIATE HOLDINGS, LLC                                           | MARAVAI INTERMEDIATE HOLDINGS, LLC 19-Oct-2027                          | CUSIP: 56589PAJ4<br>LEI: N/A                  | Long             | LON              |  | US        |   1587441 | PA      | $1557676.30   | 0.27%             | 2027-10-19      | Floating      | 6.96%                 | No            |                  3 | On Loan: No      |
| BSPRT ISSUER, LTD.                                                           | BSPRT 2022-FL8 ISSUER LTD BSPRT 2022-FL8 A                              | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    275000 | PA      | $261652.88    | 0.04%             | 2037-02-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| 1011778 B.C. UNLIMITED LIABILITY COMPANY                                     | 1011778 B.C. UNLIMITED LIABILITY COMPANY 19-Nov-2026                    | CUSIP: C6901LAH0<br>LEI: N/A                  | Long             | LON              |  | US        |   2197602 | PA      | $2153650.16   | 0.37%             | 2026-11-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| HRNI HOLDINGS, LLC                                                           | HRNI HOLDINGS, LLC 11-Dec-2028                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    864875 | PA      | $836766.56    | 0.14%             | 2028-12-11      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| WHATABRANDS LLC                                                              | WHATABRANDS LLC 8/3/2028                                                | CUSIP: 96244UAF4<br>LEI: N/A                  | Long             | LON              |  | US        |   1305046 | PA      | $1239584.95   | 0.21%             | 2028-08-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 1B7189                                     | CUSIP: 3128QPLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    483420 | PA      | $483646.96    | 0.08%             | 2036-03-01      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST                                                        | CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2                              | CUSIP: 12510KAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     44578 | PA      | $43016.79     | 0.01%             | 2027-06-14      | Fixed         | 0.30%                 | Yes           |                  2 | On Loan: No      |
| REGIONALCARE HOSPITAL PARTNERS HOLDINGS, INC.                                | REGIONALCARE HOSPITAL PARTNERS HOLDINGS, INC. 16-Nov-2025               | CUSIP: 75915TAD4<br>LEI: N/A                  | Long             | LON              |  | US        |    993068 | PA      | $919958.64    | 0.16%             | 2025-11-16      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| FOUR SEASONS HOLDINGS INC.                                                   | FOUR SEASONS HOLDINGS INC. 30-Nov-2023                                  | CUSIP: 35100DAR7<br>LEI: N/A                  | Long             | LON              |  | US        |   1939570 | PA      | $1935942.81   | 0.33%             | 2023-11-30      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                  | BBCMS 2018-TALL MORTGAGE TRUST BBCMS 2018-TALL C                        | CUSIP: 05548WAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2550000.30   | 0.44%             | 2037-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR METHODS                                                                  | AIR METHODS 4/22/2024                                                   | CUSIP: 00912YAL6<br>LEI: N/A                  | Long             | LON              |  | US        |   1711025 | PA      | $912831.59    | 0.16%             | 2024-04-22      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-DNA5 STACR 2021-DNA5 M2              | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    206967 | PA      | $202527.24    | 0.03%             | 2034-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                   | FLAGSHIP CREDIT AUTO TRUST 2020-3 FCAT 2020-3 A                         | CUSIP: 33844TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      2017 | PA      | $2013.74      | 0.00%             | 2025-04-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1                         | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     59210 | PA      | $58308.77     | 0.01%             | 2057-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| TIDEWATER AUTO RECEIVABLES TRUST                                             | TIDEWATER AUTO RECEIVABLES TRUST 2020-A TMCAT 2020-AA C                 | CUSIP: 88641WAD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1564175 | PA      | $1547887.01   | 0.27%             | 2026-09-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                                    | AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A                    | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195000 | PA      | $184627.27    | 0.03%             | 2030-07-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION, LLC                                               | CAESARS RESORT COLLECTION, LLC 7/21/2025                                | CUSIP: 12769LAD1<br>LEI: N/A                  | Long             | LON              |  | US        |    398157 | PA      | $395055.71    | 0.07%             | 2025-07-21      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TRUST                                   | MERCURY FINANCIAL CREDIT CARD MASTER TRUST MFCC 2021-1A A               | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    355000 | PA      | $336705.00    | 0.06%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A             | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1533846 | PA      | $1505162.46   | 0.26%             | 2042-02-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| UFC HOLDINGS, LLC                                                            | UFC HOLDINGS, LLC 4/29/2026                                             | CUSIP: 90266UAJ2<br>LEI: N/A                  | Long             | LON              |  | US        |      1385 | PA      | $1359.42      | 0.00%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| PREGIS TOPCO LLC                                                             | PREGIS TOPCO LLC 7/31/2026                                              | CUSIP: 74045BAE7<br>LEI: N/A                  | Long             | LON              |  | US        |   1080579 | PA      | $1031952.95   | 0.18%             | 2026-07-31      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| HAYWARD INDUSTRIES INC.                                                      | HAYWARD INDUSTRIES INC. 5/30/2028                                       | CUSIP: 421300AL8<br>LEI: N/A                  | Long             | LON              |  | US        |    525060 | PA      | $508982.87    | 0.09%             | 2028-05-30      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                         | NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A NAVSL 2017-A A2A            | CUSIP: 63939XAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    217944 | PA      | $213504.54    | 0.04%             | 2058-12-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE                                                    | COREVEST AMERICAN FINANCE 2018-1 TRUST CAFL 2018-1 A                    | CUSIP: 21872BAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    160736 | PA      | $160207.87    | 0.03%             | 2051-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NYCTL 2021-A TRUST NYCTL 2021-A A                                       | CUSIP: 62955UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    261599 | PA      | $249007.54    | 0.04%             | 2034-11-10      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                                                | MHP 2022-MHIL MHP 2022-MHIL B                                           | CUSIP: 55293DAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1943317 | PA      | $1836135.56   | 0.32%             | 2027-01-15      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| PRECISION MEDICINE GROUP, LLC                                                | PRECISION MEDICINE GROUP, LLC 18-Nov-2027                               | CUSIP: 74028HAE5<br>LEI: N/A                  | Long             | LON              |  | US        |      2108 | PA      | $2007.42      | 0.00%             | 2027-11-18      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| RADNOR RE/ESSENT                                                             | RADNOR RE 2021-1 LTD RMIR 2021-1 M1B                                    | CUSIP: 75279YAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |   2000000 | PA      | $1952438.20   | 0.34%             | 2033-12-27      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC                                                | CAESARS RESORT COLLECTION LLC 23-Dec-2024                               | CUSIP: 12769LAB5<br>LEI: N/A                  | Long             | LON              |  | US        |   1236228 | PA      | $1226844.80   | 0.21%             | 2024-12-23      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST                                                  | TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 E                   | CUSIP: 89613FAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1500000 | PA      | $1449138.00   | 0.25%             | 2036-01-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 793599                                               | CUSIP: 31405MUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    314071 | PA      | $309188.07    | 0.05%             | 2034-09-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1            | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     86249 | PA      | $80682.01     | 0.01%             | 2060-03-25      | Floating      | 0.97%                 | Yes           |                  2 | On Loan: No      |
| TITAN ACQUISITION LIMITED                                                    | TITAN ACQUISITION LIMITED 3/28/2025                                     | CUSIP: C8856UAB4<br>LEI: N/A                  | Long             | LON              |  | GB        |   1232226 | PA      | $1156173.32   | 0.20%             | 2025-03-28      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FCG ACQUISITIONS, INC.                                                       | FCG ACQUISITIONS, INC. 3/31/2028                                        | CUSIP: 30260UAC9<br>LEI: N/A                  | Long             | LON              |  | US        |         0 | PA      | $0.01         | 0.00%             | 2028-03-31      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL,INC.                                                            | BERRY GLOBAL,INC. 7/1/2026                                              | CUSIP: 08579JBG6<br>LEI: N/A                  | Long             | LON              |  | US        |   2055000 | PA      | $2028285.00   | 0.35%             | 2026-07-01      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS AND ELECTRIC CO 1.700000% 11/15/2023                        | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119863.02    | 0.02%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING LLC                                                    | SCF EQUIPMENT LEASING 2021-1 LLC SCFET 2021-1A A2                       | CUSIP: 783897AB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     13269 | PA      | $13240.03     | 0.00%             | 2026-08-20      | Fixed         | 0.42%                 | Yes           |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST                                          | AEGIS ASSET BACKED SECURITIES TRUST MORTGAGE PASS- AABST 2004-3 M1      | CUSIP: 00764MCF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    852913 | PA      | $833331.15    | 0.14%             | 2034-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2022-R07 CAS 2022-R07 1M1           | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1258383 | PA      | $1266937.46   | 0.22%             | 2042-06-25      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT, INC.                                              | LIVE NATION ENTERTAINMENT INC 144A 4.875000% 11/01/2024                 | CUSIP: 538034AK5<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    460000 | PA      | $452810.20    | 0.08%             | 2024-11-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 820598                                               | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    189053 | PA      | $191132.73    | 0.03%             | 2035-03-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| KENTUCKY HIGHER ED STUDENT LN CORP STUDENT LN REV                            | KENTUCKY HIGHER EDUCATION STUDENT LOAN CORP KHESL 2021-1 A1B            | CUSIP: 49130NFC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2857827 | PA      | $2812211.58   | 0.48%             | 2051-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Signature Aviation/BBA Aviation 6/22                                         | Signature Aviation/BBA Aviation 6/22 7/2/2029                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1335000 | PA      | $1324987.50   | 0.23%             | 2029-07-02      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| MAMBA PURCHASER, INC.                                                        | MAMBA PURCHASER, INC. 15-Oct-2029                                       | CUSIP: 56150KAE5<br>LEI: N/A                  | Long             | LON              |  | US        |    780000 | PA      | $702000.00    | 0.12%             | 2029-10-15      | Floating      | 10.52%                | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2019-I LTD CIFC 2019-1A AR                                 | CUSIP: 12553DAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $976238.00    | 0.17%             | 2032-04-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| TRK TRUST                                                                    | TRK 2021-INV1 TRUST TRK 2021-INV1 A1                                    | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1542978 | PA      | $1252814.23   | 0.22%             | 2056-07-25      | Floating      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| ADP 6/22 Cov-Lite                                                            | ADP 6/22 Cov-Lite 7/6/2029                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    938892 | PA      | $926837.00    | 0.16%             | 2029-07-06      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 780998                                               | CUSIP: 31404WUX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    111559 | PA      | $112859.48    | 0.02%             | 2034-05-01      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I INC                                     | MORGAN STANLEY MORTGAGE LOAN TRUST 2004-8AR MSM 2004-8AR 4A2            | CUSIP: 61748HEG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    579393 | PA      | $559190.36    | 0.10%             | 2034-10-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| LIFE MORTGAGE TRUST                                                          | LIFE 2021-BMR MORTGAGE TRUST LIFE 2021-BMR E                            | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1228713 | PA      | $1151671.54   | 0.20%             | 2038-03-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| LIFE MORTGAGE TRUST                                                          | LIFE 2022-BMR MORTGAGE TRUST LIFE 2022-BMR2 A1                          | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1939844.80   | 0.33%             | 2039-05-15      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                               | ENTERPRISE FLEET FINANCING 2020-1 LLC EFF 2020-1 A2                     | CUSIP: 29373KAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     37638 | PA      | $37362.21     | 0.01%             | 2025-12-22      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| LS GROUP OPCO ACQUISITION LLC                                                | LS GROUP OPCO ACQUISITION LLC 11/2/2027                                 | CUSIP: 50220KAB0<br>LEI: N/A                  | Long             | LON              |  | US        |   1471423 | PA      | $1438316.19   | 0.25%             | 2027-11-02      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO LTD                                                      | SYMPHONY STATIC CLO I LTD SSTAT 2021-1A D                               | CUSIP: 87190TAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $469968.00    | 0.08%             | 2029-10-25      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| GREENEDEN U.S. HOLDINGS I, LLC                                               | GREENEDEN U.S. HOLDINGS I, LLC 12/1/2027                                | CUSIP: 39479UAQ6<br>LEI: N/A                  | Long             | LON              |  | US        |   1665022 | PA      | $1614038.97   | 0.28%             | 2027-12-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                        | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A A2A          | CUSIP: 96042RAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     54908 | PA      | $54201.40     | 0.01%             | 2025-04-15      | Fixed         | 0.32%                 | Yes           |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM LLC                                               | SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A                   | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     33048 | PA      | $32136.08     | 0.01%             | 2030-09-25      | Fixed         | 0.49%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 CAS 2022-R02 2M1           | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1472767 | PA      | $1442494.94   | 0.25%             | 2042-01-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| CARLYLE US CLO LTD                                                           | CARLYLE US CLO 2017-3 LTD CGMS 2017-3A BR                               | CUSIP: 14314FAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $466689.00    | 0.08%             | 2029-07-20      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTORS                                          | BEAR STEARNS ARM TRUST 2004-5 BSARM 2004-5 2A                           | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    575134 | PA      | $509455.85    | 0.09%             | 2034-07-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST                                 | ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2021- ARIVO 2021-1A A      | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    315957 | PA      | $304289.06    | 0.05%             | 2027-01-15      | Fixed         | 1.19%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4 NRZT 2018-4A A1M             | CUSIP: 64828FCS9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1222371 | PA      | $1171144.46   | 0.20%             | 2048-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                   | GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1                                  | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    837375 | PA      | $704880.29    | 0.12%             | 2066-01-25      | Floating      | 0.87%                 | Yes           |                  2 | On Loan: No      |
| HOLLEY INC.                                                                  | HOLLEY INC. 11/17/2028                                                  | CUSIP: 43538JAC3<br>LEI: N/A                  | Long             | LON              |  | US        |       102 | PA      | $88.91        | 0.00%             | 2028-11-17      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST I LLC 2019-1 AOMT 2019-1 A1                    | CUSIP: 03464MAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     10012 | PA      | $9950.34      | 0.00%             | 2048-11-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                          | NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024                       | CUSIP: 63906YAC2<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | NUSS              | GB        |    340000 | PA      | $334588.56    | 0.06%             | 2024-08-12      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 GSMBS 2021-NQM1 A2   | CUSIP: 36262EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    846554 | PA      | $693683.79    | 0.12%             | 2061-07-25      | Floating      | 1.28%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1                       | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    111244 | PA      | $91875.34     | 0.02%             | 2066-02-25      | Floating      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| READYCAP LENDING SMALL BUSINESS LOAN TRUST                                   | READYCAP LENDING SMALL BUSINESS LOAN TRUST 2019-2 RCLT 2019-2 A         | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    384057 | PA      | $364266.44    | 0.06%             | 2044-12-27      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO                                                                   | APIDOS CLO XV APID 2013-15A A1RR                                        | CUSIP: 03764QBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $404380.95    | 0.07%             | 2031-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1                         | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    732488 | PA      | $692209.86    | 0.12%             | 2057-06-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                          | STATION CASINOS LLC 2/8/2027                                            | CUSIP: 85769EAZ4<br>LEI: N/A                  | Long             | LON              |  | US        |   1367011 | PA      | $1334544.27   | 0.23%             | 2027-02-08      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP.                                                            | IRB HOLDING CORP. 15-Dec-2027                                           | CUSIP: 44988LAH0<br>LEI: N/A                  | Long             | LON              |  | US        |   1840898 | PA      | $1769102.66   | 0.30%             | 2027-12-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| QORVO, INC.                                                                  | QORVO INC 144A 1.750000% 12/15/2024                                     | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    148000 | PA      | $135635.34    | 0.02%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Aristocrat Leisure 5/22 TLB                                                  | Aristocrat Leisure 5/22 TLB 5/24/2029                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    320000 | PA      | $318800.00    | 0.05%             | 2029-05-24      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST                                                                   | BFLD TRUST 2020-OBRK BFLD 2020-OBRK A                                   | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240000 | PA      | $236685.72    | 0.04%             | 2028-11-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2004-CB2 1A     | CUSIP: 92922FTW8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63055 | PA      | $60966.25     | 0.01%             | 2034-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD.                                                           | BELLEMEADE RE 2021-3 LTD BMIR 2021-3A M1A                               | CUSIP: 078777AB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    887020 | PA      | $874507.07    | 0.15%             | 2031-09-25      | Floating      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| ARAMARK INTERMEDIATE HOLDCO CORPORATION                                      | ARAMARK INTERMEDIATE HOLDCO CORPORATION 3/11/2025                       | CUSIP: 03852JAL5<br>LEI: N/A                  | Long             | LON              |  | US        |   1409631 | PA      | $1386132.92   | 0.24%             | 2025-03-11      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                                                | MHP 2021-STOR MHP 2021-STOR A                                           | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    105000 | PA      | $100393.07    | 0.02%             | 2038-07-15      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| BELLEMEADE RE LTD.                                                           | BELLEMEADE RE LTD BMIR 2021-1A M1A                                      | CUSIP: 07876MAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    261021 | PA      | $259234.62    | 0.04%             | 2031-03-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1                          | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    128053 | PA      | $104310.44    | 0.02%             | 2066-06-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                   | VERUS SECURITIZATION TRUST 2022-5 VERUS 2022-5 A1                       | CUSIP: 924921AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    723961 | PA      | $652262.13    | 0.11%             | 2067-04-25      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO VARIABLE RATE 04/22/2027                            | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    475000 | PA      | $461677.68    | 0.08%             | 2027-04-22      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                     | ANGEL OAK MORTGAGE TRUST I LLC 2019-4 AOMT 2019-4 A1                    | CUSIP: 03463UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      5993 | PA      | $5946.73      | 0.00%             | 2049-07-26      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST                                                              | FREED ABS TRUST 2022-1FP FREED 2022-1FP A                               | CUSIP: 35633KAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     11675 | PA      | $11607.06     | 0.00%             | 2029-03-19      | Fixed         | 0.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1                                  | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    146257 | PA      | $113387.01    | 0.02%             | 2056-03-25      | Floating      | 0.83%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** SEI INSTITUTIONAL INVESTMENTS TRUST

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO