# EDGAR Filing Document

**Accession Number:** 0000909994
**File Stem:** 0001752724-23-073265
**Filing Date:** 2023-3
**Character Count:** 361507
**Document Hash:** 5abc52ae75a1ce62e8c8aa17ef224030
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-073265.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-073265

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** OLD WESTBURY FUNDS INC
- **CENTRAL INDEX KEY:** 0000909994
- **IRS NUMBER:** 232874698
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07912
- **FILM NUMBER:** 23778036

**BUSINESS ADDRESS:**
- **STREET 1:** 103 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 3027914394

**MAIL ADDRESS:**
- **STREET 1:** 103 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### Old Westbury Credit Income Fund (Series ID: S000069572)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000221944 | Old Westbury Credit Income Fund | OWCIX           |

## Nport-Ex

# **OLD WESTBURY FUNDS, INC.**

**CREDIT INCOME FUND**

**PORTFOLIO OF INVESTMENTS**

**January 31, 2023**
**(Unaudited)**

| Shares | Value |
| --- | --- |
| PREFERRED STOCKS -- 0.2% |  |
| UNITED STATES -- 0.2% |  |
| 07,600 MetLife, Inc., Series F, 4.75% . . . . . $ | 633,972 |
| 38,900 Morgan Stanley, Series K, 5.85% . . . | 978,335 |
| 31,500 Public Storage, Series O, 3.90% . . . . | 580,860 |
| 28,500 US Bancorp, Series L, 3.75% . . . . . | 523,830 |
| 122,100 Wells Fargo & Co., Series Z, 4.75% . | 2,592,183 |

| Principal Amount | Value |
| --- | --- |
| CANADA (continued) |  |
| $550,000 Garda World Security Corp., |  |
| 7.75%, 02/15/28(c) . . . . . $ | 557,563 |
| 1,325,000 GFL Environmental, Inc., |  |
| 3.75%, 08/01/25(c) . . . . . | 1,259,081 |
| 1,100,000 goeasy Ltd., |  |

1

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| Principal |  | Principal | 5.38%, 12/01/24(c) | 1,052,898 |
| --- | --- | --- | --- | --- |
| Total Preferred Stocks | Value | Amendment | Hudbay Minerals, Inc., | Value |
| (Cont. 36,547,571) | 5,309,180 | UNITED STATES (Continued) |  | 694,663 |
| ITALY (Continued) |  | $1,525,000 UniCredit SpA, | $500,000 Kaser, Asbestos Holdings, Inc./ |  |
| EXCHANGE-TRADED (UNINDSap-R10.31:00 am NY 5 |  |  | Kilbu, Custom Products, Inc., | $948,377 |
| UNITED STATES - 10.31% |  | 650,000 Advanc. Stocks Marketing, Inc., |  | 479,325 |
| 4,381,817 Invesco, Power 06/2012(b)(c) | $55,129,889 | 500,000 NOVA & Chemical, Inc. |  | 494,000 |
| 1,391,632 iShares JP Morgan USD Emerging | 2,869,963 | 750,000 Albertson, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, Gas, |  | 492,685 |

---

2

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| Principal |  |  |
| --- | --- | --- |
| LUXEMBOURG | - Markets Bond ETF | 122,338,369 |
| Amount |  | 179,727,905 |
| UNITED STATES (Continued) |  |  |
| $1,000,000 | Bath of Benj. Wpks, Inc. | 79,383,617 |
|  | 4.63% 10/01/30(c) | $971,831 |
|  | 4.63% 06/01/28(c) | 452,834 |
| Total 1,000,000 | Trading Brands, Inc. | 432,633,670 |
| (Cost $468,359,803) | 7.00% 01/15/30(c) | 912,782 |
| 1,000,000 | Berry Global, Inc. |  |

| Principal |  |  |
| --- | --- | --- |
| 1,000,000 | New Albertsons LP/Albertsons |  |
| Amount |  |  |
| 1,000,000 | Telesat Canada Telesat LLC, |  |
|  | 4.00% 06/01/27(c) | 489,790 |
|  | UNITED STATES (Continued) | 769,105 |
| $1,125,000 | Albertsons LP/Albertsons, Inc./ | 9,140,671 |
| CAYMAN ISLANDS | New Albertsons LP/Albertsons | $1,356,645 |
| 621,125 | Seacount PDI, Cayman |  |
| 1,070,000 | Charles Schwab Corp. (The), Series H, |  |
|  | 5.00% 12/01/30(c) | 1,746,668 |
| 1,760,950 | Apisani Langle Company Ltd./South, IP |  |

3

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| 4,000,000 | Altice, France Holding - SA. | 982,500 | Principal | 2,000,000 | 1,155,324 |
| --- | --- | --- | --- | --- | --- |
| Principal | 5,000,000 07/15/27(c) | 0,833,187 | Amount | 5,000,000 07/15/27(c) | 1,436,654 |
| 4,000,000 | Blue Racer Midstream LLC/Blue Racer |  | 381,965 | Ambar, Inc. 07/15/27(c) | 555,759 |
| Ambar, Inc. | Connecticut S.R.L/Connect US |  | UNITED STATES | Ambar, Inc. Ltd/Spirit IP | 408,500 |
| UNITED STATES | Connecticut S.R.L/Connect US |  | 555,000 | AMERICA, Inc. Holdings | 869,108 |
| BANK LOANS | U.S.A. | 1,599,609 | $1,025,000 | CHS/Commemorative Systems | 1,242,252 |
| $1,532,000 | Edgewood, Inc. Co. | 1,051,975 | 650,000 | CHS/Commemorative Systems | 687,813 |
| UNITED STATES | U.S.A. | 1,343,319 | 925,000 | American Airlines, Inc./Advantage | 2,360,060 |
| $5,925,000 | Blue Racer Midstream LLC/Blue Racer |  | 525,000 | Hertz, Inc. 07/15/27(c) | 632,482 |
| $5,925,000 | Embassy, Inc. Co. | 4,975,000 | 525,000 | CHS/Commemorative Systems | 429,188 |
| 525,000 | Embassy, Inc. Co. |  | 525,000 | CHS/Commemorative Systems |  |
| 525,000 | Embassy, Inc. Co. |  | 525,000 | CHS/Commemorative Systems |  |

4

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| 1,544,358 | Vaca Media, 04/15/23(c) | 568,528 | Pr | 5.50% | 04/20/26(c) | 906,496 |
| --- | --- | --- | --- | --- | --- | --- |
| 1,544,358 | Bradford, 04/15/23(c) | 1,544,358 | Amount | 1,725,000 | American Airlines, Inc./Advantage | 1,545,200 |
| 1,544,358 | Bradford, 04/15/23(c) | 1,544,358 | Amount | 1,725,000 | American Airlines, Inc./Advantage | 1,545,200 |
| 1,544,358 | Bradford, 04/15/23(c) | 1,544,358 | Amount | 1,725,000 | American Airlines, Inc./Advantage | 1,545,200 |
| 1,544,358 | Bradford, 04/15/23(c) |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15/23(c) |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15/23(c) |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15/23(c) |  |  |  |  |  |
| 1,544,358 | Bradford |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15/23(c) |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15/23(c) |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15 |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15 |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15 |  |  |  |  |  |
| 1,544,358 | Bradford, 04/15 |  |  |  |  |  |
| 1,544,358 |  |  |  |  |  |  |

5

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| AUS | 635,000 | Buckeye Partners LP | 534,301 |
| --- | --- | --- | --- |
|  | 1,175,000 | Erie, Inc. | 1,272,250 |
|  | 1,175,000 | Erie, Inc. | 1,272,250 |
|  | 1,200,000 | Buckeye Partners LP | 1,272,453 |
| UNITED STATES | 635,000 | Erie, Inc. | 1,272,453 |
|  | 1,175,000 | Erie, Inc. | 1,272,453 |
| CANADA | 1,000,000 | Erie, Inc. | 1,032,479 |
|  | 1,000,000 | Caesar, Inc. | 712,250 |
|  | 1,050,000 | Erie, Inc. | 1,272,250 |
|  | 1,675,000 | Pres, Inc. | 1,272,250 |
|  | 801,000 | Caesar, Inc. | 1,272,250 |
|  | 1,000,000 | Erie, Inc. | 1,272,250 |
| UNITED KINGDOM | 775,000 | Prince, Inc. | 1,272,453 |
|  | 1,175,000 | Prince, Inc. | 1,272,453 |
|  | 1,000,000 | Erie, Inc. | 1,272,453 |
|  | 1,000,000 | Erie, Inc. | 1,272,453 |
|  | 1,000,000 | Erie, Inc. | 1,272,453 |

| IRELAND | 0.2% | 6.75% | 03/15/26(c) | 1,522,410 |
| --- | --- | --- | --- | --- |
|  |  | 1,275,000 | 1,275,000 | 1,275,000 |
|  |  | 1,275,000 | 1,275,000 | 1,275,000 |
| UNITED STATES |  |  |  |  |
|  | $1,000,000 | Erie, Inc. | 1,272,250 | 1,272,250 |
|  | 1,000,000 | Erie, Inc. | 1,272,250 | 1,272,250 |
|  | 1,200,000 | Highland, Inc. | 1,272,250 | 1,272,250 |
|  | 1,175,000 | Erie, Inc. | 1,272,250 | 1,272,250 |
|  | 1,000,000 | Erie, Inc. | 1,272,250 | 1,272,250 |
|  | 500,000 | Erie, Inc. | 1,272,250 | 1,272,250 |
|  | 1,000,000 | Erie, Inc. | 1,272,250 | 1,272,250 |

6

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)[{"box_2d": [50, 150, 956, 259], "label": "table", "caption": "

| 1,250,000 | Brooklyn, P. | 442,671 | Principal | 2,993,627 |
| --- | --- | --- | --- | --- |
| 1,250,000 | Brooklyn, P. | 682,388 | ITAB | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 682,388 | ITAB | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 682,388 | ITAB | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 1,251,987 | CAYMAN ISLANDS | 398,200 |
| 1,250,000 | Brooklyn, P. | 951,982 | Collar | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 689,500 | Collar | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |
| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |
| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |
| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

| 1,250,000 | Brooklyn, P. | 1,251,987 | Collar | 1,250,000 |
| --- | --- | --- | --- | --- |

<table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><table><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletabletable><tr><td>1,250,000</td><td>Brooklyn, P.</td><td>1,251,987</td><td>Collar</td><td>1,250,000</td></tr></tabletable

7

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| UNITED STATES | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 750,000 | Real Estate & Real Estate Services 2018-2A | 740,625 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Amended | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| Amended | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| Amended | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| United States | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| Other Asset-Banked | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| Other Asset-Banked | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| $ | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |
| $ | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | 1,456,428 | Real Estate & Real Estate Services 2018-2A | 1,456,428 |

8

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| 1,575,000 | BCB Capital - Corp. USA Holdings | $5,176,515 | 6,000,000 | 6.00% 12/31/20(c) | 637,546 |
| --- | --- | --- | --- | --- | --- |
| 1,575,000 | WBS Capital - Corp. USA Holdings | 833,050 | 1,000,000 | TEGROBANK 2017-2018 | 588,773 |
| 1,000,000 | Bank of America - Capital Group | Value | Amount | Cash and cash equivalents | 1,000,000 |
| 1,000,000 | CCO Capital - Group Holdings | 849,171 | 550,000 | DISH CHINA 2017-2018 | 942,010 |
| 1,000,000 | UNITED STATES Capital - Group Holdings 1997-2 | 844,593 | 1,000,000 | EXCISE FINANCIAL DEBT 2018 | 31,500,000 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 5,857,135 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 1,299,645 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 1,247,160 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 654,343 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 484,000 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 5,281,342 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 5,281,342 |
| 1,000,000 | EXCISE FINANCIAL DEBT 1997-2 | 614,062 | 1,000,000 | Total Assets | 5,281,342 |

9

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| 1,050,000 | H&E Equipment Services, Inc. | $ | 563,613 | 2,000,000 | Funding for the Company and | 3,645,265 |
| --- | --- | --- | --- | --- | --- | --- |
| Principal | Wynn, 1,000,000 |  | 1,000,000 | 1,000,000 | Funding for the Company and | 1,000,000 |
| 1,000,000 | Wynn, 1,000,000 |  | 1,000,000 | 1,000,000 | Funding for the Company and | 1,000,000 |
| 1,000,000 | Wynn, 1,000,000 |  | 1,000,000 | 1,000,000 | Funding for the Company and | 1,000,000 |
| 1,000,000 | Wynn, 1,000,000 |  | 1,000,000 | 1,000,000 | Funding for the Company and | 1,000,000 |
| UNITED STATES | Wynn, 1,000,000 |  | 1,289,858 | 1,000,000 | Funding for the Company and | 2,672,619 |
| Other 1,000,000 | Wynn, 1,000,000 |  | 1,000,000 | 1,000,000 | Funding for the Company and | 413,633 |
| Other 1,000,000 | Wynn, 1,000,000 |  | 1,111,613 | 1,000,000 | Funding for the Company and | 1,421,000 |
| $1,575,000 | Wynn, 1,000,000 |  | 1,111,613 | 1,000,000 | Funding for the Company and | 1,421,000 |
| 1,575,000 | Wynn, 1,000,000 |  | 1,111,613 | 1,000,000 | Funding for the Company and | 763,356 |
| Total 1,575,000 | Wynn, 1,000,000 |  | 1,599,439 | 1,000,000 | Funding for the Company and | 763,356 |
| (Cost $216,427,553) | Wynn, 1,000,000 |  | 1,599,439 | 1,000,000 | Funding for the Company and | 763,356 |
| 1,450,000 | Wynn, 1,000,000 |  | 201,529,568 | 1,000,000 | Funding for the Company and | 513,633 |
| 1,450,000 | Wynn, 1,000,000 |  | 201,529,568 | 1,000,000 | Funding for the Company and | 513,633 |

10

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| Principal | GMAGM, Home Equity Loan Trust | 2,888,808 | Principal | 4,300,217 |
| --- | --- | --- | --- | --- |
| ASSET-BACKED SECURITIES (1,000,000) |  |  | ASSET-BACKED SECURITIES (1,000,000) |  |
| CAVMER, NY, AND NY (1,000,000) |  |  | CAVMER, NY, AND NY (1,000,000) |  |
| UNITED STATES (1,000,000) |  |  | UNITED STATES (1,000,000) |  |
| Collateralized Loan | 1,250,406 | 1,250,406 | Collateralized Loan | 2,646,297 |
| Other Asset-Backed Securities (1,000,000) | 3,558 | 3,558 | Other Asset-Backed Securities (1,000,000) | 1,579,432 |
| $1,000,000 | 8,949,197 | 8,949,197 | $1,000,000 | 4,000,000 |
| Other Asset-Backed Securities (1,000,000) | 759,454 | 759,454 | Other Asset-Backed Securities (1,000,000) | 1,579,432 |
| 2,000,000 | 2,761,519 | 2,761,519 | 2,000,000 | 1,579,432 |
| 2,463,906 | 879,408 | 879,408 | 1,000,000 | 1,528,384 |
| GSAA, NY, AND NY (1,000,000) |  |  | GSAA, NY, AND NY (1,000,000) |  |
|  |  |  | GSAA, NY, AND NY (1,000,000) |  |

11

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| 1,500,000 | Amortization of Capital (USD + 0.030%) | $ | 2,803,631 |
| --- | --- | --- | --- |
| 7,000,000 | Long-term debt (US$ + 0.030%) |  | 2,803,631 |
| 7,000,000 | Long-term debt (US$ + 0.030%) |  | 2,803,631 |
| 7,000,000 | Long-term debt (US$ + 0.030%) |  | 2,803,631 |
| 7,000,000 | Long-term debt (US$ + 0.030%) |  | 2,803,631 |

| 718,444 | Countrywide Investment (USD) | $ | 1,981,617 |
| --- | --- | --- | --- |
| 3,567,014 | Long-term debt (US$ + 0.030%) |  | 890,333 |
| 1,800,222 | Long-term debt (US$ + 0.030%) |  | 1,800,222 |

| Principal | 4.67% (04/15/23) | 250,984 |
| --- | --- | --- |
| 7,000,000 | Amortization of Capital (USD) | 4,457,014 |
| 7,000,000 | Long-term debt (US$ + 0.030%) | 4,457,014 |
| 7,000,000 | Long-term debt (US$ + 0.030%) | 4,457,014 |
| 7,000,000 | Long-term debt (US$ + 0.030%) | 4,457,014 |
| 7,000,000 | Long-term debt (US$ + 0.030%) | 4,457,014 |

| 1,000,000 | Long-term debt (US$ + 0.030%) | 495,127 |
| --- | --- | --- |
| 1,000,000 | Long-term debt (US$ + 0.030%) | 5,319,530 |
| Other Asset-Backed |  |  |
| $11,682,886 | Source: Capital (USD) | 912,234 |
| 7,434,980 | Long-term debt (US$ + 0.030%) | 5,887,068 |
| 4,878,000 | Long-term debt (US$ + 0.030%) | 5,887,068 |
| 4,878,000 | Long-term debt (US$ + 0.030%) | 6,640,715 |
| 4,878,000 | Long-term debt (US$ + 0.030%) | 6,640,715 |

12

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| Principal | Farlog 7205-C - Class 2A | 143,660 |
| --- | --- | --- |
| Amount | Farlog 7205-C - Class 2A | 143,660 |
| 3,565,000 | GSAMF 7205-C - Class 2A | 680,645 |
| NOT FOR SECURITY | Counsel - General Home Equity | 2,607,867 |
| SECURITIES | Counsel - General Home Equity | 2,607,867 |
| COLLATERALIZED | Counsel - General Home Equity | 22,798,295,144 |
| $1,560,000 | Florida - General Home Equity | 3,543,629 |
| 3,336,108 | Home - General Home Equity | 4,356,523 |
| 355,166 | Morgan - General Home Equity | 3,694,686 |
| 299,402 | Adjusted - General Home Equity | 287,718 |
|  | Adjusted - General Home Equity | 1,416,314 |

| 14,572,858 | Arctic Services - General Home Equity | 2,998,898 |
| --- | --- | --- |
| 14,572,858 | Arctic Services - General Home Equity | 2,998,898 |
| Amount | Arctic Services - General Home Equity | 2,478,368 |
| 2,914,888 | Long-term Home Equity | 2,478,368 |
| COLLATERALIZED | Long-term Home Equity | 1,575,767 |
| $6,658,002 | Long-term Home Equity | 4,800,033 |
| 4,363,389 | Structural Home Equity | 3,691,624 |
| 4,000,000 | First Quarter - General Home Equity | 2,438,659 |
| 816,747 | Madison - General Home Equity | 1,575,767 |
| 10,150,887 | Peace - General Home Equity | 4,800,033 |
|  | Peace - General Home Equity | 3,691,624 |

13

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| 7,477,000 | Programs | 4,093,398 |
| --- | --- | --- |
| 7,477,000 | Board | 2,548,333 |
| 7,477,000 | Board | 547,831 |
| 7,477,000 | Board | 2,564,033 |
| 8,000,000 | National |  |
| $5,000,000 | Programs | 2,454,792 |
| 3,750,000 | Programs | $4,500,000 |
| 6,000,000 | Programs | $4,500,000 |
| 5,703,517 | New | 3,137,620 |

| 4,000,000 | Programs | 2,000,000 |
| --- | --- | --- |
| 4,000,000 | Programs | 2,000,000 |
| 4,000,000 | Programs | 2,000,000 |
| 4,000,000 | Programs | 2,000,000 |
| 4,000,000 | Programs | 2,000,000 |

| 3,103,920 | Programs | 2,488,048 |
| --- | --- | --- |
| 2,000,000 | Programs | 2,488,048 |
| 1,500,000 | Programs | 2,488,048 |
| 1,500,000 | Programs | 2,488,048 |
| 1,500,000 | Programs | 2,488,048 |

| 16,000,000 | Programs | 2,488,048 |
| --- | --- | --- |

14

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| 14,500,000 | New | Trust | Series 2005-C | Glass M2 | 1,081,482 |
| --- | --- | --- | --- | --- | --- |
| 14,500,000 | New | Trust | Series 2005-C | Glass M2 | 5,814,176 |
| 4,000,000 | New | Trust | Series 2005-C | Glass M2 | 5,814,176 |
| 4,000,000 | Program | Program | Program | Program | Val. 4,000,000 |
| 4,000,000 | Program | Program | Program | Program | 4,356,017 |
| COLLATERALIZED INVESTMENTS (continued) 21,362 |  |  |  |  |  |
| $6,500,000 | New | Residential | 1,000,000 | Tricor | 1,585,879 |
| $6,500,000 | New | Residential | 1,000,000 | Tricor | 4,809,264 |
| 12,500,000 | New | Residential | 1,000,000 | Tricor | 5,732,553 |
| 3,825,000 | New | Residential | 1,000,000 | Tricor | 5,732,553 |
| 5,000,000 | New | Residential | 1,000,000 | Tricor | 11,750,000 |
| 12,000,000 | New | Residential | 1,000,000 | Tricor | 11,750,000 |
| 103,000 | New | Residential | 1,000,000 | Tricor | 11,750,000 |

| Principal | 5.07% | 07/25/21(c) | 1,820,682 |
| --- | --- | --- | --- |
| 6,178,280 | PREP 1.00% | 03/12/2021 2014 | 1,652,847 |
| Amount | 1,000,000 | Tricor | 1,000,000 |
| 1,000,000 | Tricor | Series 2015-C | 1,000,000 |
| COLLATERALIZED INVESTMENTS (continued) 5,793,647 |  |  |  |
| $1,965,273 | 1,000,000 | Cable 1,000,000 | 1,268,322 |
| 1,000,000 | Program | Program | 1,425,574 |
| 1,500,000 | Tricor | Series 2015-C | 1,817,658 |
| 3,812,439 | New | Tricor | 1,643,109 |
| 2,160,040 | Tricor | Tricor | 1,207,646 |
| 3,000,000 | Program | Program | 1,304,974 |
| 976,444 | Program | Program | 3,883,069 |

15

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| Principal | (1,000, LIBOR, USD + 0.870%) | 4,195,468 |
| --- | --- | --- |
| 6,000,000 | New920,000,000 | 2,938,497 |
| 2,000,000 | New920,000,000 | 1,843,778 |
| 2,000,000 | New920,000,000 | 1,843,778 |
| COLLATERALIZED INVESTMENTS (continued) 32,735 |  |  |
| $850,571 | Country (1,000, LIBOR, USD + 0.440%) | 3,938,999 |
| 593,201 | Nominal (1,000, LIBOR, USD + 0.440%) | 10,330 |
| 160,259 | New920,000,000 | 1,247,945 |
| 2,547,248 | New920,000,000 | 1,247,945 |
| 4,185,752 | Saxon (1,000, LIBOR, USD + 0.870%) | 1,893,079 |
| 3,568,758 | New920,000,000 | 1,893,079 |

| 968,000 | Tricon (1,000, LIBOR, USD + 0.870%) | 1,674,827 |
| --- | --- | --- |
| 2,647,948 | New920,000,000 | 2,656,554 |
| Amortized 50 | Citigroup (1,000, LIBOR, USD + 0.870%) | 825,798 |
| 750,000 | Tricon (1,000, LIBOR, USD + 0.870%) | 825,798 |
| COLLATERALIZED INVESTMENTS (continued) 3,956,692 |  |  |
| $1,000,000 | Tricon (1,000, LIBOR, USD + 0.440%) | 554,468 |
| 2,837,561 | New920,000,000 | 691,681 |
| 2,997,239 | Tricon (1,000, LIBOR, USD + 0.440%) | 1,500,648 |
| 4,000,000 | Tricon (1,000, LIBOR, USD + 0.440%) | 1,500,648 |
| 8,480,929 | New920,000,000 | 1,874,232 |
| 4,624,489 | Citigroup (1,000, LIBOR, USD + 0.440%) | 1,874,232 |

16

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| Principal | 2,059,103 | Principal | 3,899,988 |
| --- | --- | --- | --- |
| Ajax | 0,376,183 | Principal | 7,935,409 |
| Oakland | 1,215,402 | Principal | 3,998,977 |
| COAL/AT&ALIZED | 1,195,291 | COAL/AT&ALIZED | 2,437,719 |
| Ajax | 1,021,049 | Principal | 4,947,656 |
| Oakland | 3,405,590 | Principal | 15,963,656 |
| Ajax | 1,148,481 | Principal | 128,678 |
| Ajax | 2,451,488 | Principal | 2,955,170 |
| Jax |  | 326,292 | 1,141,991 |
| Securities |  | 2,647,361 | 1,756,664 |

17

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| Principal | 2.57% | 09/25/59(c)(3) | 6,964,711 |
| --- | --- | --- | --- |
| 4,533,008 | 8,000,000 | 2,000,000 | 1,111,000 |
| 4,533,008 | Aux. Mortgage Loan Trust, Series | 1,111,000 | 1,111,000 |
| 4,533,008 | Aux. Mortgage Loan Trust, Series | 1,111,000 | 1,111,000 |
| 7,722,576 | Amount | Value |  |
| COLLATERALIZED |  |  |  |
| $3,877,367 | 2,000,000 | 2,000,000 | 2,000,000 |
| 2,877,367 | Aux. Mortgage Loan Trust, Series | 1,111,000 | 1,111,000 |
| 2,877,367 | Aux. Mortgage Loan Trust, Series | 1,111,000 | 1,111,000 |
| 987,568 | Cash | 1,000,000 | 1,000,000 |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |
| 7,431,504 | 2,000,000 | 2,000,000 | 2,000,000 |
| 3,180,916 | Aux. Mortgage Loan Trust, Series | 1,111,000 | 1,111,000 |
|  | Aux. Mortgage Loan Trust, Series | 1,111,000 | 1,111,000 |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |
|  | Total Assets Backed, Series |  |  |

| 10,009,054 | Aux. Mortgage Loan Trust, Series |  |
| --- | --- | --- |
| 7,908,765 | COLLATERALIZED | $339,970,519 |
| Amount | Total Assets Backed, Series | $339,970,519 |
| Total Assets Backed, Series | Total Assets Backed, Series | $339,970,519 |
| COST | Total Assets Backed, Series | $339,970,519 |
| $1,159,000 | 2,000,000 | 1,111,000 |
| 1,159,000 | Aux. Mortgage Loan Trust, Series | 1,111,000 |
| 1,159,000 | Aux. Mortgage Loan Trust, Series | 1,111,000 |
| 629,677 | Cash | 1,000,000 |
| 1,379,517 | 2,000,000 | 1,000,000 |
|  | Total Assets Backed, Series | $339,970,519 |
|  | Total Assets Backed, Series | $339,970,519 |
|  | Total Assets Backed, Series | $339,970,519 |

18

# **CREDIT INCOME FUND**

# **PORTFOLIO OF INVESTMENTS - (Continued)**

**January 31, 2023**

**(Unaudited)**

| 936,578 | American Morgan Funding Trust |  |
| --- | --- | --- |
| 1,087,908 | Council of the American Financial Services | 4,955,092 |
| Amount | Council of the American Financial Services | 4,955,092 |
| 10,124,010 | American Financial Services | 4,955,092 |
| CO2 CAPITALIZED | American Financial Services | 681,511 |
| $3,289,650 | Creditors | 188,809 |
| 2,324,000 | American Financial Services | 180,915 |
| 1,018,395 | Council of the American Financial Services | 17,909,096 |
| 31,552 | IP Morgan Investment Credit Services | $2,058,854 |
| 3,400,000 | Creditors | 2,058,854 |
| 4,388,514 | Creditors | 580,859 |
|  |  | 4,957,759 |

| Principal | 4,955,092 | 1,933,988 |
| --- | --- | --- |
| 3,133,043 | American Financial Services | 1,275,456 |
| 3,665,569 | Council of the American Financial Services | 1,275,456 |
| 2,991,424 | Council of the American Financial Services | 562,039 |
| $1,389,889 | Creditors | 1,389,889 |
| 1,057,493 | Council of the American Financial Services | 938,960 |
| 36,104 | GSR | $157,576 |
| 300,020 | IP Morgan Investment Credit Services | 1,300,020 |
| 5,883,744 | Creditors | 1,300,020 |
| 1,370,547 | Creditors | 34,928 |

19

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| 1,041,658 | Counterwide Alternative Loan Trust | 30,319 |
| --- | --- | --- |
| Price 0.00 | Counterwide Alternative Loan Trust | 0.00 |
| 98,631,715 | JP McGraw-Hill, Inc. (1) Series | 0.00 |
| 12,666,284 | Arrestar, Inc. (1) Series | 0.00 |
| COLLECTORALIZED (continued) |  |  |
| $6,073,597 | Counterwide Alternative Loan Trust | 2,452,732 |
| 1,851,622 | Counterwide Alternative Loan Trust | 3,267,777 |
| 2,156,935 | Counterwide Alternative Loan Trust | 3,267,777 |
| 2,952,367 | Arrestar, Inc. (1) Series | 0.00 |
|  | Counterwide Alternative Loan Trust | $2,938,619 |
|  | Counterwide Alternative Loan Trust | 1,639,318 |
| 105,481,746 | JP McGraw-Hill, Inc. (1) Series | 1,639,318 |

| 1,154,259 | Counterwide Alternative Loan Trust | 324,831 |
| --- | --- | --- |
| Price 0.00 | GSR (1) Series | 0.00 |
| 7,556,732 | Legal (1) Series | 0.00 |
| 691,984 | Arrestar, Inc. (1) Series | 550,935 |
| COLLECTORALIZED (continued) |  |  |
| $105,381 | Counterwide Alternative Loan Trust | 157,135 |
| 2,500,000 | GSR (1) Series | 0.00 |
| 2,357,075 | Legal (1) Series | 0.00 |
|  | Counterwide Alternative Loan Trust | 0.00 |
|  | Counterwide Alternative Loan Trust | 0.00 |
| 53,965 | Counterwide Alternative Loan Trust | 1,239,000 |
| 8,946,694 | GSR (1) Series | 1,239,000 |
| 7,015,520 | Legal (1) Series | 2,125,318 |

20

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| 1,835,884 | Environmental, Administrative, Legal, Trust |  |
| --- | --- | --- |
| 1,835,884 | Environmental, Administrative, Legal, Trust |  |
| Amount | 2,000,000 | 1,000,000 |
| COLLATERALIZED | 2,000,000 | 1,000,000 |
| $1,187,889 | Environmental, Administrative, Legal, Trust |  |
| 3,514,664 | Department of Environmental, Administrative, Legal, Trust |  |
| 1,374,191 | County of Columbia, State of Columbia |  |
| 3,454,891 | NY State of Columbia, State of Columbia |  |
| 813,301 | County of Columbia, State of Columbia |  |
| 2,056,680 | County of Columbia, State of Columbia |  |

| 578,110 | County of Columbia, State of Columbia |  |
| --- | --- | --- |
| Principal | 5,641,371 | Value |
| 2,996,184 | Harbor, State of Columbia, State of Columbia |  |
| COLLATERALIZED | 2,000,000 | 1,000,000 |
| $4,287,697 | Environmental, Administrative, Legal, Trust |  |
| 2,106,585 | County of Columbia, State of Columbia |  |
| 220,871 | Home, State of Columbia, State of Columbia |  |
| 2,888,880 | Massachusetts, State of Columbia, State of Columbia |  |
| 2,150,000 | Residential, State of Columbia, State of Columbia |  |

21

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

| 5,654,893 | 5,654,893 | 1,724,738 | 5,457,041 | Credit | 5,457,041 | Capital | 194,517 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 5,654,893 | 5,654,893 | 1,724,738 | 5,457,041 | Credit | 5,457,041 | Capital | 194,517 |
| 5,654,893 | 5,654,893 | 1,724,738 | 5,457,041 | Credit | 5,457,041 | Capital | 1,809,565 |
| 5,654,893 | 5,654,893 | Value | 5,457,041 | Credit | 5,457,041 | Capital | 1,849,079 |
| COLLATERALIZED BENEFIT & EXPENDITURES (continued) |  |  |  |  |  |  |  |
| $13,594,673 | $13,594,673 | 580,393 | $1,632,041 | Credit | $1,632,041 | Capital | 2,055,134 |
| 2,337,396 | 2,337,396 | 2,338,584 | 2,338,584 | 2,338,584 | 2,338,584 | 2,338,584 | 2,055,134 |
| 2,337,396 | 2,337,396 | 2,338,584 | 2,338,584 | 2,338,584 | 2,338,584 | 2,338,584 | 2,055,134 |
| 2,337,396 | 2,337,396 | 2,338,584 | 2,338,584 | 2,338,584 | 2,338,584 | 2,338,584 | 2,055,134 |
| 2,337,396 | 2,337,396 | 1,824,815 | 2,814,000 | Credit | 2,814,000 | Credit | 3,070,546 |
| 2,337,396 | 2,337,396 | 1,327,115 | 2,814,000 | Credit | 2,814,000 | Credit | 3,070,546 |
| 2,337,396 | 2,337,396 | 3,846,315 | 2,814,000 | Credit | 2,814,000 | Credit | 4,834,138 |
| 2,337,396 | 2,337,396 | 3,846,315 | 2,814,000 | Credit | 2,814,000 | Credit | 3,430,038 |

22

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023

(Unaudited)

| 409,140 | GMAGM Mortgage Lease Trust Series | 1,924,868 |
| --- | --- | --- |
| Principal | GMAGM Mortgage Lease Trust | 1,924,868 |
| 9,891,943 | GMAGM Mortgage Lease Trust | 9,891,943 |
| 1,319,293 | GMAGM Mortgage Lease Trust | 1,319,293 |
| COMMERCIAL | GMAGM Mortgage Lease Trust | 321,017 |
| 3,271,585 | GSM Mortgage Lease Trust | 3,271,585 |
| $1,159,430 | Veritas Mortgage Lease Trust | 5,551,863 |
| 3,644,788 | GMAGM Mortgage Lease Trust | 3,644,788 |
| 4,194,820 | GMAGM Mortgage Lease Trust | 4,194,820 |
| 3,015,219 | GSM Mortgage Lease Trust | 2,833,518 |
|  | GSM Mortgage Lease Trust | 91,524 |

| Principal | GMAGM Mortgage Lease Trust | Class CEBT | Class AXPP | 1,924,161 |
| --- | --- | --- | --- | --- |
| 1,568,000 | RMF Mortgage Lease Trust | 1,568,000 | Series | 1,848,462 |
| 2,244,775 | Credit | 2,244,775 | Dividends | 2,824,475 |
| 1,488,389 | Merger | 1,488,389 | Dividends | 2,822,532 |
| COLLATERALIZED | GMAGM Mortgage Lease Trust | 1,488,389 | Dividends | 2,856,031 |
| $6,542,446 | RMF Mortgage Lease Trust | 6,542,446 | Credit | 1,988,853 |
|  |  |  | Dividends | 1,640,259 |
| 743,333 | WAMC | 743,333 | Dividends | 1,641,996 |
| 2,826,868 | IndyMortgage | 2,826,868 | Dividends | 4,307,907 |
| 10,615,972 | Securities | 10,615,972 | Dividends |  |
| 8,811,809 | Bayward | 8,811,809 | Dividends |  |
| Total U.S. Government | Sportsbred Agency Mortgage |  |  |  |

23

CREDIT INCOME FUND

PORTFOLIO OF INVESTMENTS - (Continued)

January 31, 2023
(Unaudited)

65,837,696 JP McGraw-Hill Companies, Series 1,144A of the Securities
1,935,287 Residents' Union, Series 1,144A of the Securities
1,935,287 Residents' Union, Series 1,144A of the Securities
2,234,000 General Electric Industries, Series 1,234,000
2,234,000 General Electric Industries, Series 1,234,000
1,241,259 Securities and Exchange Commission, Series 1,241,259
with procedures for the conduct of Directors' business
899,841 JP McGraw-Hill Companies, Series 1,244A of the Securities
1,241,259 Securities and Exchange Commission, Series 1,241,259
Debtors' Association, Series 2,223,033
Series 2,223,033

401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051
401,051

24

OLD WESTBURY FUNDS, INC.

| 13,286,637 | Structural Asset Securities Corp. | 679,021 | 48,689,838 | Swansea Credit Risk Transfer Trust | 42,705,886 |
| --- | --- | --- | --- | --- | --- |
| 1,251,881 | JP McGraw-Hill Companies Inc. | 899,554 | 41,340,000 | Westbury Bank of New York | 42,470,730 |
| 2,936,928 | Velocity Development Capital Loan | 502,497 Payment | 47,550,000 | 3.00% | Unless |
| 465,518 | Merchandising & Advertising, Inc. (Property) | 7,454,858 | 48,560,000 | 3.00% | Unless |
| Total Return Swaps | Velocity Development Capital Loan | 2,251,256 | 45,400,000 | 3.00% | Unless |
| Total return swap with Velocity | Velocity Development Capital Loan | 397,639 | 46,550,000 | 3.00% | Unless |
| 4,693,515 | Velocity Development Capital Loan | 947,067 | 47,000,000 | 3.00% | Unless |
| 2,974,719 | Westbury Bank of New York | 432,421 | 47,300,000 | 2.88% | Unless |
| 13,610,000 | Westbury Bank of New York | 265,938 | 47,300,000 | 2.88% | Unless |
| 4.33% | 10/25/51(b)(c) | 3,371,949 |  |  |  |

| In 1984, 240 | 5,570,000 | 13,599,544 | 59,560,000 | 1.25% | 4,000,000 | 3,000,000 | 34,000,000 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 1,000,000 | 1,000,000 | 2,081,727 | 57,000,000 | 1.25% | 4,000,000 | 3,000,000 | 36,555,703 |
| 2,000,000 | 2,000,000 | 1,487,777 | 33,700,000 | 2.38% | 4,000,000 | 3,000,000 | 25,889,762 |
| Total Total Return S | 2,000,000 | 88,580 |  |  | 2,000,000 | 2,000,000 | $1,000,000 |
| 3,000,000 | 3,000,000 | 3,985,010 | Total U.S. Government | 1.25% | 4,000,000 | 3,000,000 | 2,021,403 |
| The following: | 4,055,154 | 114,984 | 257,000 | SG | 4,055,154 | 3,000,000 | 516,354,013 |
| 4,055,154 | 4,055,154 | 2,857,659 | (Cost) | 3,782,316 | 4,055,154 | 3,000,000 | 3,038,304 |
| CDI | 4,767,592 | 104,116 | Wash. Mgr. | 1,683,200 | 4,055,154 | 3,000,000 | 207,298 |
| CDI | 4,767,592 |  | CASH SWEEP | 8.6% | 4,055,154 | 3,000,000 |  |

| ETF | 4,008,000 | 9,000,000 | 3,965,357 |
| --- | --- | --- | --- |
| GMTN | - | Global Markets, Inc. | 3,808,592 |
| LIBOR | 2,322,897 | Vendor Commercial Capital Loan | 508,925,337 |
| COMMERCIAL | - | MODIFIED SECURITIES - 2.5% | 2,938,830 |
| MTN | 5,254,584 | Amortization of Securities - 2.5% | 2,211,754 |
| REIT | - | Real Estate Investment - 2.5% | 4,926,439 |
| SOFA | 4,987,880 | Vendor Commercial Capital Loan | 4,926,439 |
| SOFR | 30A | Secured Unsecured - 2.5% | 1,818,874 |
| SPDR | - | Standard & Poor's Dividend - 2.5% | 1,818,874 |
|  | 711,053 | Bayview Commercial Asset Trust, |  |

| UNITED STATES | 6.6%, 10/26/48(b)(c) | 1,963,272 |
| --- | --- | --- |
| 192,649,350 | Cashflows - 6.6% | 192,649,350 |
|  | Cashflows - 6.6% |  |
| Total Cash Sweep | 6.36%, 10/26/48(b)(c) | 505,594 |
| (Cost $192,649,350) | Velocity Commercial Capital Loan | 192,649,350 |
|  | Trust, Series 2019-1, Class M2, |  |
| TOTAL INVESTMENTS | 4.01%, 09/25/49(b)(c) | 1,030,752 |
| (Cost $2,698,754,128) | Velocity Commercial Capital Loan | $2,295,323,836 |

STEP - Step Coupon Bond 56,954,458

USD - U.S. Dollar Series 2005-4A, Class M3,

Total Non-Agency Mortgage-Backed Securities

(Cost $640,716,885) Portfolio Diversification by Sector(Unaudited) 565,879,795

545,757

U.S. GOVERNMENT SPONSORED AGENCY Percentage

of Net Assets

MORTGAGE-BACKED SECURITIES - 0.1% 16.5%

COLLATERALIZED MORTGAGE OBLIGATIONS - 0.1% 0.3

1,360,836 Freddie Mac Structured Agency Credit

LIABILITIES IN EXCESS OF Series 2019-1, Class M3,

OTHER ASSETS 12% 2,295,549(b)(c) (50,128,528)

NET ASSETS - 100.0% Voluntary Commercial Capital Loan $2,245,098,260

Trust, Series 2019-1, Class M4,

4.61% 03/25/49(b)(c) 1,393,234

(a) Security is valued using significant unobservable inputs and is

classified as Level 3 in the fair value hierarchy. The aggregate value

of fair valued securities is $29,196,297 which is 1.30% of net assets

| Corporate Bonds | 9.0 |
| --- | --- |
| Exchange-Traded Funds | 19.3 |
| Non-Agency Mortgage | 25.2 |
| Preferred Stocks | 0.2 |
| U.S. Government Agencies | 1,231,133 |
| Other | 6.4 |
|  | 100.0% |

and the cost is $34,195,272.

(b) Floating rate security. Rate shown is the rate in effect as of January 31, 2023.

- * Includes cash and equivalents, swap agreements, pending trades and Fund share transactions, interest and dividends receivable, prepaids and accrued expenses payable.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Old Westbury Funds Inc

- **b. Investment Company Act file number:** 811-07912

- **c. CIK number of Registrant:** 0000909994

- **d. LEI of Registrant:** 549300YMRMTWRGXX0W63

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

  - **Street Address 1:** 103 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-607-2200

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

- **a. Name of Series:** Old Westbury Credit Income Fund

- **b. EDGAR series identifier (if any):** S000069572

- **c. LEI of Series:** 5493001Y8PAM01Y76G88

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

- **a. Date of fiscal year-end:** 2023-10-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2277094990.92

**Total Liabilities:** $43113791.24

**Net Assets:** $2233981199.68

**Delayed Delivery Securities:** $1294965.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 22.65545000 | **1-Year:** 5218.24075000 | **5-Year:** 32650.49920000 | **10-Year:** 14141.15175000 | **30-Year:** 2104.36071000

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

- **3-Month:** 318.39225000 | **1-Year:** 58862.48400000 | **5-Year:** 241055.03220000 | **10-Year:** 193509.81625000 | **30-Year:** 61088.24632000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221944 | 3.01%                | -0.80%               | 3.48%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-24308177.86            | $79148973.30                               |
| Month 2  | $-53312165.63            | $31240689.39                               |
| Month 3  | $-6654299.64             | $64729899.88                               |

**Designated Index Information**

- **Index Name:** Old Westbury Credit Income Fund - ExDerivatives

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1369697 | PA      | $1184455.34   | 0.05%             | 2037-03-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251881 | PA      | $865853.27    | 0.04%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                        | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    725000 | PA      | $665115.00    | 0.03%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                   | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3690000 | PA      | $3349331.82   | 0.15%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                  | Merrill Lynch Mortgage Investors Trust Series 2006-RM5                           | CUSIP: 59023FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7113805 | PA      | $1207646.01   | 0.05%             | 2037-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                           | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $588773.25    | 0.03%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665148 | PA      | $432421.48    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2020-A                                                  | CUSIP: 00969WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4328402 | PA      | $4205733.10   | 0.19%             | 2059-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                              | Seasoned Loans Structured Transaction Trust Series 2020-3                        | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500055 | PA      | $4261911.19   | 0.19%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1969995 | PA      | $1487277.37   | 0.07%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                  | Structured Asset Investment Loan Trust 2005-9                                    | CUSIP: 86358EYG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4264091 | PA      | $3691624.38   | 0.17%             | 2035-11-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                  | PRET 2021-NPL6 LLC                                                               | CUSIP: 69362GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1820682.40   | 0.08%             | 2051-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1230360 | PA      | $1093306.02   | 0.05%             | 2061-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                          | WESCO Distribution Inc                                                           | CUSIP: 95081QAN4<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    750000 | PA      | $762000.00    | 0.03%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                 | Gen Digital Inc                                                                  | CUSIP: 668771AL2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1218360.00   | 0.05%             | 2030-09-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                         | HomeBanc Mortgage Trust 2006-1                                                   | CUSIP: 43739ECN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220871 | PA      | $194517.06    | 0.01%             | 2037-04-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3289850 | PA      | $2069036.67   | 0.09%             | 2066-02-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                  | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2974717 | PA      | $2081726.90   | 0.09%             | 2037-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                         | Home Equity Asset Trust 2007-1                                                   | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3338108 | PA      | $2510333.43   | 0.11%             | 2037-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-22                                    | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6078928 | PA      | $5230801.50   | 0.23%             | 2047-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                               | DISH Network Corp                                                                | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1247160.00   | 0.06%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2019-G                                                  | CUSIP: 00969VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9533008 | PA      | $9341595.72   | 0.42%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                            | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1742146.40   | 0.08%             | 2065-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                   | Carnival Corp                                                                    | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1350000 | PA      | $1411978.50   | 0.06%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                            | Range Resources Corp                                                             | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    925000 | PA      | $951982.25    | 0.04%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                  | Popular ABS Mortgage Pass-Through Trust 2005-3                                   | CUSIP: 73316PDT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2955985 | PA      | $2257091.63   | 0.10%             | 2035-07-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5856313 | PA      | $4262383.91   | 0.19%             | 2037-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1987080 | PA      | $1814876.34   | 0.08%             | 2052-08-25      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                   | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4192464.50   | 0.19%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                  | Merrill Lynch Mortgage Investors Trust Series 2006-A3                            | CUSIP: 59023CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654604 | PA      | $480949.64    | 0.02%             | 2036-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2006-OA4                                         | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9716683 | PA      | $3090445.54   | 0.14%             | 2046-04-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| GCAT                                            | GCAT 2022-NQM4 Trust                                                             | CUSIP: 36170HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3874986 | PA      | $3846314.59   | 0.17%             | 2067-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850571 | PA      | $735821.27    | 0.03%             | 2035-05-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2017-2 Trust                                                                | CUSIP: 12651N106<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4709068 | PA      | $3702832.47   | 0.17%             | 2047-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                   | PRA Group Inc                                                                    | CUSIP: 69354NAE6<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |    475000 | PA      | $477892.75    | 0.02%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                | Boyd Gaming Corp                                                                 | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    600000 | PA      | $539886.00    | 0.02%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                           | Truist Financial Corp                                                            | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1579431.78   | 0.07%             | N/A             | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                  | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4464623 | PA      | $378031.71    | 0.02%             | 2037-03-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76101 | PA      | $34300.60     | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4132506 | PA      | $1753100.37   | 0.08%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust 2006-AR3                                           | CUSIP: 17306SAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70350 | PA      | $64487.14     | 0.00%             | 2036-06-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                          | H&E Equipment Services Inc                                                       | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $926541.00    | 0.04%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                      | Verus Securitization Trust 2019-INV3                                             | CUSIP: 92537MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3343000 | PA      | $2876573.94   | 0.13%             | 2059-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS                  | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2425000 | PA      | $1979238.44   | 0.09%             | 2050-01-28      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                      | Morgan Stanley ABS Capital I Inc Trust 2007-SEA1                                 | CUSIP: 61757MAC2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |   2095098 | PA      | $1961617.19   | 0.09%             | 2047-02-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12666TAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72333 | PA      | $71988.74     | 0.00%             | 2046-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                      | AMSR 2020-SFR5 Trust                                                             | CUSIP: 03217JAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5319529.80   | 0.24%             | 2037-11-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                      | Tronox Inc                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $983250.00    | 0.04%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                | IRB Holding Corp                                                                 | CUSIP: 44988MAC9<br>LEI: 549300HVW4WNWYBXN830 | Long             | DBT              | CORP              | US        |    975000 | PA      | $978490.50    | 0.04%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                 | Atrium XIII                                                                      | CUSIP: 04965TAC5<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |  12131250 | PA      | $5825516.02   | 0.26%             | 2047-11-21      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                  | Chase Mortgage Finance Corp                                                      | CUSIP: 16163YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686386 | PA      | $2267487.73   | 0.10%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                  | Structured Asset Mortgage Investments II Trust 2007-AR4                          | CUSIP: 86364NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127615 | PA      | $1013193.74   | 0.05%             | 2047-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                  | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150505 | PA      | $148701.43    | 0.01%             | 2035-05-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                         | NYMT Loan Trust 2020-SP2                                                         | CUSIP: 62955DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3063686 | PA      | $2968943.86   | 0.13%             | 2060-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                  | Soundview Home Loan Trust 2006-OPT5                                              | CUSIP: 83612CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11682886 | PA      | $8791818.95   | 0.39%             | 2036-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LCPR SR SECURED FIN DAC                         | LCPR Senior Secured Financing DAC                                                | CUSIP: 50201DAA1<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |   1103000 | PA      | $1068098.32   | 0.05%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                  | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2911749 | PA      | $2451737.62   | 0.11%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE CLN                            | WESTERN ALLIANCE CLN                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13610000 | PA      | $13599543.85  | 0.61%             | 2024-12-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                        | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $890000.00    | 0.04%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                           | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PEP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4055154 | PA      | $3965357.30   | 0.18%             | 2059-07-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                     | MetLife Inc                                                                      | CUSIP: 59156R850<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EP               | CORP              | US        |     27600 | NS      | $633972.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Acquisition                  | JP Morgan Mortgage Acquisition Trust 2006-WF1                                    | CUSIP: 46628SAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109942 | PA      | $32734.93     | 0.00%             | 2036-07-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                  | BRAVO Residential Funding Trust 2021-NQM2                                        | CUSIP: 10569EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2501000 | PA      | $2089291.88   | 0.09%             | 2060-03-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                  | RASC Series 2006-KS4 Trust                                                       | CUSIP: 75406EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1893078.80   | 0.08%             | 2036-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                  | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FFY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178146 | PA      | $635115.25    | 0.03%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                             | Sirius XM Radio Inc                                                              | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $922459.27    | 0.04%             | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW INC                              | Scripps Escrow Inc                                                               | CUSIP: 81104PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $576979.00    | 0.03%             | 2027-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LEGACY LIFEPOINT HEALTH                         | Legacy LifePoint Health LLC                                                      | CUSIP: 53219LAT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $780000.00    | 0.03%             | 2025-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                    | Saxon Asset Securities Trust 2006-2                                              | CUSIP: 80556XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4185752 | PA      | $3216249.91   | 0.14%             | 2036-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                        | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1825000 | PA      | $1573038.84   | 0.07%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| JAGUAR LAND ROVER AUTOMO                        | Jaguar Land Rover Automotive PLC                                                 | CUSIP: 47010BAM6<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |   1050000 | PA      | $837333.00    | 0.04%             | 2029-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                   | TransDigm Inc                                                                    | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    650000 | PA      | $647618.79    | 0.03%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FRTKL                                           | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1268321.85   | 0.06%             | 2038-09-17      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7024521 | PA      | $2902247.74   | 0.13%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-OH2                                                  | CUSIP: 02151RAC7<br>LEI: 549300QKXMAFE33VN106 | Long             | ABS-MBS          | CORP              | US        |   1136935 | PA      | $922008.41    | 0.04%             | 2047-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                         | Darling Ingredients Inc                                                          | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1368083.75   | 0.06%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                               | Newell Brands Inc                                                                | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    275000 | PA      | $280714.50    | 0.01%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899841 | PA      | $679021.40    | 0.03%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                       | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136089 | PA      | $938870.84    | 0.04%             | 2036-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                      | Viasat Inc                                                                       | CUSIP: 92552VAK6<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $940000.00    | 0.04%             | 2025-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140327 | PA      | $1195291.23   | 0.05%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR7 Trust                                             | CUSIP: 74333CAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4809263.50   | 0.22%             | 2039-10-27      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52750000 | PA      | $43984433.33  | 1.97%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3310018.80   | 0.15%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454831 | PA      | $266858.91    | 0.01%             | 2051-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59560000 | PA      | $34682067.34  | 1.55%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                  | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2                      | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1783228 | PA      | $1491748.67   | 0.07%             | 2037-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                            | OneMain Finance Corp                                                             | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $525360.00    | 0.02%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                           | Antero Resources Corp                                                            | CUSIP: 03674XAN6<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    520000 | PA      | $545737.45    | 0.02%             | 2026-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                  | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197986 | PA      | $196691.53    | 0.01%             | 2035-05-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                   | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2                   | CUSIP: 52521VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2274915.90   | 0.10%             | 2037-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20716491 | PA      | $478202.90    | 0.02%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                           | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PEN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4031368 | PA      | $3985010.46   | 0.18%             | 2059-07-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                        | Altice France Holding SA                                                         | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $673186.99    | 0.03%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSR TR                        | Midcap Financial Issuer Trust                                                    | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    825000 | PA      | $726000.00    | 0.03%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                  | IndyMac INDX Mortgage Loan Trust 2007-FLX5                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2826868 | PA      | $2444832.55   | 0.11%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921100 | PA      | $1193922.92   | 0.05%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                | MortgageIT Trust 2004-1                                                          | CUSIP: 61913PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737717 | PA      | $670159.69    | 0.03%             | 2034-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                   | TransDigm Inc                                                                    | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    625000 | PA      | $638456.25    | 0.03%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                             | United Airlines Inc                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    275000 | PA      | $250984.26    | 0.01%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                           | Caesars Entertainment Inc                                                        | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1026000.00   | 0.05%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LSF9 ATL HLDG/VICTRA FIN                        | LSF9 Atlantis Holdings LLC / Victra Finance Corp                                 | CUSIP: 50220MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1023727.07   | 0.05%             | 2026-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6795981 | PA      | $947837.52    | 0.04%             | 2031-06-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                   | CommScope Inc                                                                    | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    500000 | PA      | $480900.00    | 0.02%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                  | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 Trust | CUSIP: 93935FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1144473 | PA      | $709339.92    | 0.03%             | 2046-08-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                  | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF3             | CUSIP: 863592AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13286637 | PA      | $7454599.09   | 0.33%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-OA3                                                  | CUSIP: 02150TAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145071 | PA      | $35746.89     | 0.00%             | 2047-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                              | Ford Motor Co                                                                    | CUSIP: 345370CS7<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    575000 | PA      | $474219.75    | 0.02%             | 2046-12-08      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                  | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                    | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743333 | PA      | $620815.40    | 0.03%             | 2037-07-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                  | RALI Series 2005-QA12 Trust                                                      | CUSIP: 761118NB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428350 | PA      | $1269969.12   | 0.06%             | 2035-12-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4593515 | PA      | $3371949.04   | 0.15%             | 2051-10-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2356030.60   | 0.11%             | 2031-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                             | Sunnova Energy Corp                                                              | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |    750000 | PA      | $674116.97    | 0.03%             | 2026-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                        | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8461540 | PA      | $2802925.86   | 0.13%             | 2037-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987908 | PA      | $442907.72    | 0.02%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                               | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15033AAC0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |   9915625 | PA      | $3513105.94   | 0.16%             | 2031-01-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                 | Atrium VIII                                                                      | CUSIP: 04964JAC8<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $17000.00     | 0.00%             | 2024-10-23      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LABL INC                                        | LABL Inc                                                                         | CUSIP: 50168AAB6<br>LEI: 5493004FUZN8R6Y3VB98 | Long             | DBT              | CORP              | US        |    675000 | PA      | $654341.63    | 0.03%             | 2026-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4386514 | PA      | $4118280.85   | 0.18%             | 2061-02-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                      | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3429935.00   | 0.15%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                             | Select Medical Corp                                                              | CUSIP: 816196AT6<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $976400.00    | 0.04%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                   | Thornburg Mortgage Securities Trust 2007-3                                       | CUSIP: 88522XAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109297 | PA      | $104116.06    | 0.00%             | 2047-06-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                        | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1725000 | PA      | $1669465.19   | 0.07%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                  | New Century Home Equity Loan Trust Series 2005-C                                 | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5703517 | PA      | $4356017.35   | 0.19%             | 2035-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $454842.92    | 0.02%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554529 | PA      | $583149.49    | 0.03%             | 2051-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                             | Prestige Brands Inc                                                              | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1422242.50   | 0.06%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT                         | Six Flags Entertainment Corp                                                     | CUSIP: 83001AAB8<br>LEI: 549300JYTDUAA4JQ3717 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1130456.25   | 0.05%             | 2024-07-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                             | BellRing Brands Inc                                                              | CUSIP: 07831CAA1<br>LEI: 549300S3BOK5CMTS8054 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1339890.21   | 0.06%             | 2030-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                            | WR Grace Holdings LLC                                                            | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    675000 | PA      | $562612.50    | 0.03%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                  | Residential Mortgage Loan Trust 2020-2                                           | CUSIP: 76123MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3070546.50   | 0.14%             | 2060-05-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| CDI ESCROW ISSUER INC                           | CDI Escrow Issuer Inc                                                            | CUSIP: 12511VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $758848.00    | 0.03%             | 2030-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| iShares MBS ETF                                 | ISHARES MBS ETF                                                                  | CUSIP: 464288588<br>LEI: 549300M0TH0IE2E6RP07 | Long             | EC               | RF                | US        |   1530229 | NS      | $146718356.52 | 6.57%             |  |  |  | No            |                  1 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                          | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $812500.00    | 0.04%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                    | JELD-WEN Inc                                                                     | CUSIP: 475795AC4<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1320000.00   | 0.06%             | 2025-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                          | Lumen Technologies Inc                                                           | CUSIP: 156700BB1<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $852500.00    | 0.04%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65837696 | PA      | $889658.20    | 0.04%             | 2052-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                   | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6075475 | PA      | $5118882.05   | 0.23%             | 2039-05-28      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ABERCROMBIE & FITCH MANA                        | Abercrombie & Fitch Management Co                                                | CUSIP: 003000AA4<br>LEI: 5493003QMCFDA98NPT74 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1010000.00   | 0.05%             | 2025-07-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| iShares JP Morgan USD Emerging Markets Bond ETF | iShares JP Morgan USD Emerging Markets Bond ETF                                  | CUSIP: 464288281<br>LEI: 54930070R8WH6MNUJG74 | Long             | EC               | RF                | US        |   1391632 | NS      | $122338369.12 | 5.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2837561 | PA      | $1704128.44   | 0.08%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Second Lien Trust                         | MASTR Second Lien Trust 2006-1                                                   | CUSIP: 57644DAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3806509 | PA      | $315002.30    | 0.01%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                          | GSAA Home Equity Trust 2006-5                                                    | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8543072 | PA      | $2730082.04   | 0.12%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                  | GMACM Home Equity Loan Trust 2006-HE1                                            | CUSIP: 361856ER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1657 | PA      | $3557.70      | 0.00%             | 2036-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CROWNROCK LP/CROWNROCK F                        | CrownRock LP / CrownRock Finance Inc                                             | CUSIP: 228701AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    975000 | PA      | $950625.00    | 0.04%             | 2025-10-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                    | Entegris Inc                                                                     | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    725000 | PA      | $656125.00    | 0.03%             | 2028-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986051 | PA      | $1464192.40   | 0.07%             | 2051-05-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2562632 | PA      | $1109109.85   | 0.05%             | 2036-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MANITOWOC COMPANY INC                           | Manitowoc Co Inc/The                                                             | CUSIP: 563571AL2<br>LEI: 2RTSLGQ89VMY18RHX631 | Long             | DBT              | CORP              | US        |    550000 | PA      | $541062.50    | 0.02%             | 2026-04-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                       | GSMPS Mortgage Loan Trust 2004-4                                                 | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3271585 | PA      | $2833518.10   | 0.13%             | 2034-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                  | Bear Stearns Asset Backed Securities Trust 2006-SD1                              | CUSIP: 07384YVJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4565287.23   | 0.20%             | 2036-04-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                            | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    775000 | PA      | $630656.25    | 0.03%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2020-A                                                  | CUSIP: 00969WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18275019 | PA      | $17909096.03  | 0.80%             | 2059-12-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177500 | PA      | $1141931.14   | 0.05%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                        | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    925000 | PA      | $906496.32    | 0.04%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                        | Archrock Partners LP / Archrock Partners Finance Corp                            | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    975000 | PA      | $926250.00    | 0.04%             | 2028-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5860017 | PA      | $146628.76    | 0.01%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                            | OneMain Finance Corp                                                             | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495735.00    | 0.02%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| RP ESCROW ISSUER LLC                            | RP Escrow Issuer LLC                                                             | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $224400.00    | 0.01%             | 2025-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                  | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229744 | PA      | $162013.69    | 0.01%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                  | Bear Stearns ARM Trust 2007-3                                                    | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221329 | PA      | $195987.59    | 0.01%             | 2047-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                           | TRK 2022-INV1 Trust                                                              | CUSIP: 872635AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $2938829.60   | 0.13%             | 2057-02-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770078 | PA      | $1275455.80   | 0.06%             | 2046-11-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                        | Allison Transmission Inc                                                         | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1155324.00   | 0.05%             | 2029-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                  | GMACM Home Equity Loan Trust 2005-HE3                                            | CUSIP: 361856EJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454035 | PA      | $442049.45    | 0.02%             | 2036-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10179039 | PA      | $9689221.33   | 0.43%             | 2051-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                            | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2654393 | PA      | $2305047.73   | 0.10%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR3 Trust                                             | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1548000 | PA      | $1416314.43   | 0.06%             | 2039-04-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICE                        | Prime Healthcare Services Inc                                                    | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $682388.18    | 0.03%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT / FINCO                          | Caesars Resort Collection LLC / CRC Finco Inc                                    | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1300221.00   | 0.06%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-31                                                   | CUSIP: 12667GZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629677 | PA      | $562039.36    | 0.03%             | 2035-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                          | Conseco Finance Corp                                                             | CUSIP: 393505B27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1417087 | PA      | $1311800.96   | 0.06%             | 2028-12-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                       | GSMPS Mortgage Loan Trust 2005-RP1                                               | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3015219 | PA      | $2716145.47   | 0.12%             | 2035-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                        | USA Compression Partners LP / USA Compression Finance Corp                       | CUSIP: 91740PAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    825000 | PA      | $800043.75    | 0.04%             | 2027-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                      | Morgan Stanley ABS Capital I Inc Trust 2006-HE4                                  | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    976444 | PA      | $512000.20    | 0.02%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                             | CBAM 2019-10 Ltd                                                                 | CUSIP: 12482QAC8<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | KY        |  17550000 | PA      | $6088746.11   | 0.27%             | 2032-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                              | Kennedy-Wilson Inc                                                               | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $1701987.63   | 0.08%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| 1TEXAS CAPITAL BANK CLN                         | 1TEXAS CAPITAL BANK CLN                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3694686.15   | 0.17%             | 2026-02-01      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                           | Caesars Entertainment Inc                                                        | CUSIP: 28470RAH5<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1493111.61   | 0.07%             | 2025-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                  | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154248 | PA      | $88580.34     | 0.00%             | 2037-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                            | Garda World Security Corp                                                        | CUSIP: 36485MAM1<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    550000 | PA      | $557562.50    | 0.02%             | 2028-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                      | Morgan Stanley Capital I Inc Trust 2006-NC2                                      | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3567014 | PA      | $3057894.96   | 0.14%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1714472 | PA      | $1393233.82   | 0.06%             | 2049-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241259 | PA      | $889083.68    | 0.04%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2322897 | PA      | $2211753.68   | 0.10%             | 2052-08-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                  | Wells Fargo Mortgage Backed Securities 2008-AR1 Trust                            | CUSIP: 94985QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1149396 | PA      | $947066.87    | 0.04%             | 2038-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159430 | PA      | $947502.36    | 0.04%             | 2049-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                   | UniCredit SpA                                                                    | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1525000 | PA      | $1397529.41   | 0.06%             | 2032-06-19      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                  | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116240 | PA      | $1414649.97   | 0.06%             | 2037-07-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                        | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542242 | PA      | $2038408.67   | 0.09%             | 2036-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6238201 | PA      | $2068853.77   | 0.09%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                        | Angel Oak Mortgage Trust 2020-R1                                                 | CUSIP: 034651AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3324000 | PA      | $2844319.21   | 0.13%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                        | 1011778 BC ULC / New Red Finance Inc                                             | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $913980.00    | 0.04%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                    | MASTR Resecuritization Trust 2008-3                                              | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017594 | PA      | $627932.10    | 0.03%             | 2037-08-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                             | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0MY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1360836 | PA      | $1361133.57   | 0.06%             | 2029-07-25      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BB77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578110 | PA      | $488419.31    | 0.02%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                          | Harvest Midstream I LP                                                           | CUSIP: 417558AA1<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1599438.75   | 0.07%             | 2028-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2925934 | PA      | $1292159.16   | 0.06%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                     | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566000 | PA      | $3543629.06   | 0.16%             | 2047-02-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4455619 | PA      | $1878201.55   | 0.08%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                  | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384083 | PA      | $185681.00    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                          | VistaJet Malta Finance PLC / XO Management Holding Inc                           | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    575000 | PA      | $507092.50    | 0.02%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                | COLT 2022-7 Mortgage Loan Trust                                                  | CUSIP: 12663GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1906765 | PA      | $1878398.65   | 0.08%             | 2067-04-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                  | Romark CLO Ltd                                                                   | CUSIP: 77587VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $1455543.00   | 0.07%             | 2030-10-23      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CALIBER HOME LOANS                              | CALIBER HOME LOANS                                                               | CUSIP: 000000000<br>LEI: 549300J7XKT2BI5WX213 | Long             | LON              | CORP              | US        |   5000000 | PA      | $4975000.02   | 0.22%             | 2025-07-24      | Floating      | 3.15%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pas                  | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93935BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3782316 | PA      | $954472.31    | 0.04%             | 2036-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                      | US Bancorp                                                                       | CUSIP: 902973734<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |     28500 | NS      | $523830.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-12                                    | CUSIP: 23242EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2118310 | PA      | $2003673.64   | 0.09%             | 2037-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                  | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6070994 | PA      | $1490574.79   | 0.07%             | 2035-11-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                       | HSI Asset Loan Obligation Trust 2007-WF1                                         | CUSIP: 40431KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4552747 | PA      | $1535671.27   | 0.07%             | 2036-12-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                  | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R3    | CUSIP: 03072SA54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4298102.50   | 0.19%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I                        | Performance Food Group Inc                                                       | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |   1221000 | PA      | $1175188.08   | 0.05%             | 2027-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                   | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1975619 | PA      | $1281898.73   | 0.06%             | 2035-09-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES & MARKET                        | Advantage Sales & Marketing Inc                                                  | CUSIP: 00775PAA5<br>LEI: 549300T4O24KQDED1182 | Long             | DBT              | CORP              | US        |    650000 | PA      | $494000.00    | 0.02%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                         | Teva Pharmaceutical Finance Netherlands III BV                                   | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1075000 | PA      | $963028.00    | 0.04%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1451916 | PA      | $1188139.48   | 0.05%             | 2049-03-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                          | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC            | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1148562.50   | 0.05%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                  | GMACM Mortgage Loan Trust 2005-AR6                                               | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409140 | PA      | $357017.43    | 0.02%             | 2035-11-19      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                   | Citicorp Mortgage Securities Trust Series 2008-2                                 | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160040 | PA      | $1674827.11   | 0.07%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                             | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $207298.33    | 0.01%             | 2065-05-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                            | Kaiser Aluminum Corp                                                             | CUSIP: 483007AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1057012.50   | 0.05%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization                  | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11183347 | PA      | $2470368.82   | 0.11%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Seasoned Credit Risk Transfer Trust Series 2018-3                                | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2620872 | PA      | $930724.11    | 0.04%             | 2057-08-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |   8811809 | PA      | $7654278.95   | 0.34%             | 2037-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                       | TEGNA Inc                                                                        | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $942010.00    | 0.04%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889816 | PA      | $464081.19    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080800 | PA      | $983635.54    | 0.04%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2647361 | PA      | $2300955.99   | 0.10%             | 2051-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2953100.15   | 0.13%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Vaca Morada                                     | Vaca Morada                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4139496 | PA      | $4129146.89   | 0.18%             | 2024-03-25      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| Adjustable Rate Mortgage Trust                  | Adjustable Rate Mortgage Trust 2007-1                                            | CUSIP: 007037AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484290 | PA      | $1063704.97   | 0.05%             | 2037-03-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                      | Apidos CLO XV                                                                    | CUSIP: 03764WAG4<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $875105.90    | 0.04%             | 2031-04-20      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8860923 | PA      | $7995401.31   | 0.36%             | 2061-06-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2004-36CB                                                 | CUSIP: 12667FR23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330867 | PA      | $246957.88    | 0.01%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                        | Northern Oil and Gas Inc                                                         | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1295232.25   | 0.06%             | 2028-03-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3103920 | PA      | $3100592.63   | 0.14%             | 2061-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GQY7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    137218 | PA      | $128678.05    | 0.01%             | 2035-05-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273809 | PA      | $157576.34    | 0.01%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| TELESAT CANADA/TELESAT L                        | Telesat Canada / Telesat LLC                                                     | CUSIP: 87952VAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $489790.00    | 0.02%             | 2027-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                  | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3563357 | PA      | $1607335.72   | 0.07%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MIDCONTINENT COMM & FIN                         | Midcontinent Communications / Midcontinent Finance Corp                          | CUSIP: 59565XAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $706522.88    | 0.03%             | 2027-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Tr                  | Nationstar Home Equity Loan Trust 2007-A                                         | CUSIP: 63860HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $6781737.60   | 0.30%             | 2037-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                   | DISH DBS Corp                                                                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $473990.00    | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                   | First Franklin Mortgage Loan Trust 2003-FF4                                      | CUSIP: 32027NDU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1467820 | PA      | $1389122.96   | 0.06%             | 2033-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| KOPPERS INC                                     | Koppers Inc                                                                      | CUSIP: 500605AH3<br>LEI: LTO4ZL5EBDR1NE6FGJ36 | Long             | DBT              | CORP              | US        |    525000 | PA      | $517125.00    | 0.02%             | 2025-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                        | Hilton Domestic Operating Co Inc                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $940635.00    | 0.04%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33590630 | PA      | $840514.82    | 0.04%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                        | EQM Midstream Partners LP                                                        | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1031110.50   | 0.05%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin                  | Greenpoint Manufactured Housing                                                  | CUSIP: 395386AY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5314087 | PA      | $2761519.17   | 0.12%             | 2031-06-20      | Variable      | 8.45%                 | No            |                  2 | On Loan: No      |
| HUGHES SATELLITE SYSTEMS                        | Hughes Satellite Systems Corp                                                    | CUSIP: 444454AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1160544.00   | 0.05%             | 2026-08-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                | COLT 2022-1 Mortgage Loan Trust                                                  | CUSIP: 19688HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $1750604.36   | 0.08%             | 2066-12-27      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2017-D                                                  | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30518 | PA      | $18512.33     | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| Firstkey Homes Trust                            | FirstKey Homes 2020-SFR2 Trust                                                   | CUSIP: 33767JAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2710000 | PA      | $2418653.05   | 0.11%             | 2037-10-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| 510 Loan Acquisition Trust                      | 510 Loan Acquisition Trust 2020-1                                                | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3789092 | PA      | $3645165.29   | 0.16%             | 2060-09-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| JB POINDEXTER & CO INC                          | JB Poindexter & Co Inc                                                           | CUSIP: 730481AJ7<br>LEI: 549300W6P81HOZZGPQ16 | Long             | DBT              | CORP              | US        |    750000 | PA      | $740625.00    | 0.03%             | 2026-04-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                   | American Home Mortgage Assets Trust 2007-3                                       | CUSIP: 026935AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926178 | PA      | $786319.24    | 0.04%             | 2037-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 105481132 | PA      | $1003009.54   | 0.04%             | 2051-12-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| SCIL IV LLC / SCIL USA H                        | SCIL IV LLC / SCIL USA Holdings LLC                                              | CUSIP: 78397UAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $623362.50    | 0.03%             | 2026-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47300000 | PA      | $40508015.63  | 1.81%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                    | MERIT Securities Corp                                                            | CUSIP: 589962CW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2088262 | PA      | $1665884.68   | 0.07%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                   | Aegis Asset Backed Sec Corp Mort Pass Thr Certs Series 2003-3                    | CUSIP: 00764MAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218484 | PA      | $211691.48    | 0.01%             | 2034-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                   | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $3939999.00   | 0.18%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1859263 | PA      | $271434.91    | 0.01%             | 2036-03-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48055000 | PA      | $44901390.63  | 2.01%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                | Deutsche Bank AG                                                                 | CUSIP: 251525AM3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    500000 | PA      | $487662.20    | 0.02%             | 2028-05-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                          | Open Text Holdings Inc                                                           | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $841094.30    | 0.04%             | 2030-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC Series 2014-2R                                                              | CUSIP: 12648EFN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2891850 | PA      | $2636417.88   | 0.12%             | 2037-04-27      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2018-E                                                  | CUSIP: 00969KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10634 | PA      | $10330.13     | 0.00%             | 2058-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | Occidental Petroleum Corp                                                        | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    575000 | PA      | $580424.85    | 0.03%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                     | CHNGE Mortgage Trust 2022-1                                                      | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397391 | PA      | $1272894.07   | 0.06%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10009054 | PA      | $8906131.92   | 0.40%             | 2061-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                        | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101920.00    | 0.00%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12515384 | PA      | $11710018.92  | 0.52%             | 2062-03-27      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                          | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2434986 | PA      | $990499.19    | 0.04%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP/FIN C                        | Enviva Partners LP / Enviva Partners Finance Corp                                | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1166762.50   | 0.05%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TRIDENT TPI HOLDINGS INC                        | Trident TPI Holdings Inc                                                         | CUSIP: 89616RAB5<br>LEI: 549300TPLK304J3RNC85 | Long             | DBT              | CORP              | US        |    750000 | PA      | $731795.46    | 0.03%             | 2024-08-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41315000 | PA      | $40265986.53  | 1.80%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                  | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2528232 | PA      | $1122410.52   | 0.05%             | 2037-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                         | Starwood Property Trust Inc                                                      | CUSIP: 85571BAS4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398200.00    | 0.02%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4767582 | PA      | $3808591.96   | 0.17%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                          | HAT Holdings I LLC / HAT Holdings II LLC                                         | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $687812.50    | 0.03%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Manufactured Ho                  | Madison Avenue Manufactured Housing Contract Trust 2002-A                        | CUSIP: 55660AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    816747 | PA      | $816798.62    | 0.04%             | 2032-03-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                 | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11093562 | PA      | $4453886.38   | 0.20%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                             | Altice Financing SA                                                              | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   1075000 | PA      | $912782.50    | 0.04%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 / ALL UNI                         | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl     | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    525000 | PA      | $452833.50    | 0.02%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                | Berry Global Inc                                                                 | CUSIP: 085770AB1<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $982500.00    | 0.04%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust Resecuritization 2008-1R                                  | CUSIP: 02152LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1374191 | PA      | $721272.73    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5947218 | PA      | $740409.64    | 0.03%             | 2031-06-15      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2007-OA2                                                 | CUSIP: 3622NCAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8946694 | PA      | $5641371.28   | 0.25%             | 2047-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5987422 | PA      | $4957759.24   | 0.22%             | 2047-03-25      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | Wells Fargo & Co                                                                 | CUSIP: 94988U151<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |    122100 | NS      | $2592183.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4041340 | PA      | $3236991.70   | 0.14%             | 2060-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo                  | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2019230 | PA      | $1974108.87   | 0.09%             | 2040-12-28      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                  | RALI Series 2006-QO5 Trust                                                       | CUSIP: 75114HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546992 | PA      | $502496.97    | 0.02%             | 2046-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                        | Connect Finco SARL / Connect US Finco LLC                                        | CUSIP: 20752TAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1100000 | PA      | $1051875.00   | 0.05%             | 2026-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1211120 | PA      | $1021049.40   | 0.05%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                               | Generate CLO 3 Ltd                                                               | CUSIP: 98625VAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4257122.40   | 0.19%             | 2029-10-20      | Floating      | 11.21%                | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                        | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                 | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    762952 | PA      | $776303.66    | 0.03%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                           | Level 3 Financing Inc                                                            | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    850000 | PA      | $622837.50    | 0.03%             | 2029-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88700 | PA      | $66148.76     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810712 | PA      | $420906.95    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                             | Spectrum Brands Inc                                                              | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    500000 | PA      | $403115.00    | 0.02%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-63                                                   | CUSIP: 12668AXL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106381 | PA      | $92460.08     | 0.00%             | 2035-12-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP                         | Gulfport Energy Corp                                                             | CUSIP: 402635AR7<br>LEI: 254900DJRGZBUZ3F5038 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $990810.00    | 0.04%             | 2026-05-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                            | Aramark Services Inc                                                             | CUSIP: 038522AR9<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1175293.75   | 0.05%             | 2025-05-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                       | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3998759 | PA      | $3423910.56   | 0.15%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR6 Trust                                             | CUSIP: 74334DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5814175.80   | 0.26%             | 2039-07-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47350000 | PA      | $42470730.23  | 1.90%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                | Organon & Co / Organon Foreign Debt Co-Issuer BV                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $383685.75    | 0.02%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42400000 | PA      | $41197562.29  | 1.84%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO                           | Scotts Miracle-Gro Co/The                                                        | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1100412.00   | 0.05%             | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                           | Bread Financial Holdings Inc                                                     | CUSIP: 018581AL2<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1103638.97   | 0.05%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SPDR Bloomberg Convertible Securities ETF       | SPDR Bloomberg Convertible Securities ETF                                        | CUSIP: 78464A359<br>LEI: 549300IXKU3G7R6DMX93 | Long             | EC               | RF                | US        |   1163812 | NS      | $79383616.52  | 3.55%             |  |  |  | No            |                  1 | On Loan: No      |
| SERVICE CORP INTL                               | Service Corp International/US                                                    | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1289858.00   | 0.06%             | 2031-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                        | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1045670.85   | 0.05%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                | CSC Holdings LLC                                                                 | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $734600.00    | 0.03%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                   | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26156268 | PA      | $7300813.46   | 0.33%             | 2038-02-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $1924160.88   | 0.09%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2997239 | PA      | $2525772.11   | 0.11%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3902203 | PA      | $2857658.77   | 0.13%             | 2051-12-26      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                        | First Quantum Minerals Ltd                                                       | CUSIP: 335934AR6<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $965667.50    | 0.04%             | 2026-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                      | AMSR 2020-SFR1 Trust                                                             | CUSIP: 00180AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1628698.58   | 0.07%             | 2037-04-17      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BUA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115009 | PA      | $95675.94     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW ENTERPRISE STONE & L                        | New Enterprise Stone & Lime Co Inc                                               | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |    825000 | PA      | $759453.75    | 0.03%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                         | Starwood Property Trust Inc                                                      | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    725000 | PA      | $650680.25    | 0.03%             | 2026-07-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                           | Bath & Body Works Inc                                                            | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $971830.99    | 0.04%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                  | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534394 | PA      | $415995.88    | 0.02%             | 2037-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2488459 | PA      | $632452.13    | 0.03%             | 2037-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                  | HarborView Mortgage Loan Trust 2007-4                                            | CUSIP: 41164YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539184 | PA      | $1360471.87   | 0.06%             | 2047-07-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo                  | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961435 | PA      | $955616.17    | 0.04%             | 2040-12-28      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                  | Residential Asset Securitization Trust 2006-A7CB                                 | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640227 | PA      | $114983.64    | 0.01%             | 2036-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDG                           | Intelsat Jackson Holdings SA                                                     | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    525000 | PA      | $476700.00    | 0.02%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                  | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205369 | PA      | $925596.62    | 0.04%             | 2037-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                  | Bear Stearns Asset Backed Securities I Trust 2005-TC1                            | CUSIP: 073879VJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908185 | PA      | $890332.71    | 0.04%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283800 | PA      | $239208.15    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2018-D                                                  | CUSIP: 00968EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14423 | PA      | $10103.48     | 0.00%             | 2058-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                          | Match Group Holdings II LLC                                                      | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1222552.88   | 0.05%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $434439.45    | 0.02%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                           | Uber Technologies Inc                                                            | CUSIP: 90353TAC4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1528383.75   | 0.07%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                  | JP Morgan Mortgage Acquisition Trust 2006-WMC2                                   | CUSIP: 46628TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220726 | PA      | $99817.80     | 0.00%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                  | Structured Asset Investment Loan Trust 2005-HE1                                  | CUSIP: 86358EUX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4363389 | PA      | $3494851.29   | 0.16%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                  | PRPM 2020-4 LLC                                                                  | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3420074 | PA      | $3314680.49   | 0.15%             | 2025-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                  | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1132182 | PA      | $998831.51    | 0.04%             | 2037-01-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| MERITAGE HOMES CORP                             | Meritage Homes Corp                                                              | CUSIP: 59001ABD3<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $886250.00    | 0.04%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                  | CWHEQ Revolving Home Equity Loan Trust Series 2006-C                             | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718444 | PA      | $686844.99    | 0.03%             | 2036-05-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                  | Morgan Stanley Mortgage Loan Trust 2006-4SL                                      | CUSIP: 61748HYC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355166 | PA      | $347830.83    | 0.02%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $1982766.48   | 0.09%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                         | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $634718.75    | 0.03%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82068 | PA      | $56053.42     | 0.00%             | 2037-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259300 | PA      | $193865.70    | 0.01%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                          | Bank of New York Mellon Corp/The                                                 | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    630000 | PA      | $583997.40    | 0.03%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST                      | APS Resecuritization Trust 2016-1                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13866524 | PA      | $5278023.18   | 0.24%             | 2057-07-31      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                  | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4884740 | PA      | $3817890.80   | 0.17%             | 2036-12-26      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                        | Vistra Operations Co LLC                                                         | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    575000 | PA      | $505729.54    | 0.02%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                     | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2357075 | PA      | $1770231.75   | 0.08%             | 2059-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                  | BCAP LLC 2012-RR3 Trust                                                          | CUSIP: 05539BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1842164 | PA      | $1483646.09   | 0.07%             | 2037-12-26      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                   | First Frankin Mortgage Loan Trust 2006-FF4                                       | CUSIP: 362334FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4890558 | PA      | $4304556.65   | 0.19%             | 2036-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813301 | PA      | $460795.44    | 0.02%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS                          | Adient Global Holdings Ltd                                                       | CUSIP: 00687YAA3<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |   1000000 | PA      | $948377.50    | 0.04%             | 2026-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                  | Home Partners of America 2021-3 Trust                                            | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3725451 | PA      | $3137619.60   | 0.14%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                          | Conseco Finance Corp                                                             | CUSIP: 393505XW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1325115 | PA      | $1248379.52   | 0.06%             | 2028-07-15      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                   | New Residential Mortgage Loan Trust 2022-SFR1                                    | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $5732559.30   | 0.26%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2042300 | PA      | $1817657.82   | 0.08%             | 2060-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SO                        | Global Infrastructure Solutions Inc                                              | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |    722000 | PA      | $592040.00    | 0.03%             | 2029-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                        | Blue Racer Midstream LLC / Blue Racer Finance Corp                               | CUSIP: 095796AH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1599609.38   | 0.07%             | 2025-12-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                         | Fremont Home Loan Trust 2005-D                                                   | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1318536.30   | 0.06%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-JR1 Trust                                                              | CUSIP: 12657XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3877367 | PA      | $3379408.51   | 0.15%             | 2066-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987978 | PA      | $180927.56    | 0.01%             | 2036-08-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                    | Novelis Corp                                                                     | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    575000 | PA      | $520559.00    | 0.02%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CBS Commercial Small Balance C                  | CBA Commercial Small Balance Commercial Mortgage                                 | CUSIP: 14984WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202879 | PA      | $1074733.67   | 0.05%             | 2039-07-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2991424 | PA      | $1522528.98   | 0.07%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                  | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3825532 | PA      | $3091452.72   | 0.14%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                           | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1442614.37   | 0.06%             | 2038-07-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TVC DSCR_21-1: CERT                             | TVC DSCR_21-1: CERT                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322747 | PA      | $1155552.11   | 0.05%             | 2051-02-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SPRINT CAPITAL CORP                             | Sprint Capital Corp                                                              | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    925000 | PA      | $989331.53    | 0.04%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                   | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                   | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3038304.60   | 0.14%             | 2037-10-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                          | Mauser Packaging Solutions Holding Co                                            | CUSIP: 57763RAB3<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    325000 | PA      | $327843.75    | 0.01%             | 2026-08-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2019-SFR4 Trust                                             | CUSIP: 74331AAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2856553.80   | 0.13%             | 2036-10-17      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4321660 | PA      | $2527306.79   | 0.11%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                        | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp               | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1308557.25   | 0.06%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                   | First Franklin Mortgage Loan Trust 2006-FFH1                                     | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4338633 | PA      | $3965769.53   | 0.18%             | 2036-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                          | Telecom Italia Capital SA                                                        | CUSIP: 87927VAF5<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |    600000 | PA      | $503910.00    | 0.02%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-JR1 Trust                                                              | CUSIP: 12657XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2244775 | PA      | $1983050.79   | 0.09%             | 2066-09-27      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                        | Live Nation Entertainment Inc                                                    | CUSIP: 538034AN9<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    600000 | PA      | $582996.00    | 0.03%             | 2026-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                        | Brookfield Residential Properties Inc / Brookfield Residential US LLC            | CUSIP: 11283YAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1250000 | PA      | $1111537.50   | 0.05%             | 2027-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-15CB                                                 | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1574223 | PA      | $791866.86    | 0.04%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust 2022-A                                             | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4014163 | PA      | $3958976.92   | 0.18%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                  | Bear Stearns ARM Trust 2005-12                                                   | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601984 | PA      | $536930.69    | 0.02%             | 2036-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                  | Long Beach Mortgage Loan Trust 2006-9                                            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5012686 | PA      | $1575767.37   | 0.07%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2007-A5                                                 | CUSIP: 46632BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865651 | PA      | $585377.23    | 0.03%             | 2037-10-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                            | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304117 | PA      | $1071016.05   | 0.05%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2408694 | PA      | $1226432.17   | 0.05%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                         | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $699154.88    | 0.03%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQ / KIK CUSTOM                         | Kronos Acquisition Holdings Inc / KIK Custom Products Inc                        | CUSIP: 50106GAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $479325.00    | 0.02%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                   | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6155320 | PA      | $4307965.27   | 0.19%             | 2036-08-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| ABC SUPPLY CO INC                               | American Builders & Contractors Supply Co Inc                                    | CUSIP: 024747AG2<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1257437.50   | 0.06%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                  | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2821474.92   | 0.13%             | 2065-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR5 Trust                                             | CUSIP: 74332YAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4676468.50   | 0.21%             | 2039-06-17      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-OA14                                                 | CUSIP: 02146SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1154259 | PA      | $1023340.04   | 0.05%             | 2046-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                  | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946090 | PA      | $744376.71    | 0.03%             | 2037-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | Countrywide Asset-Backed Certificates                                            | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3567501 | PA      | $2828333.99   | 0.13%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                  | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465511 | PA      | $397636.14    | 0.02%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                             | Sirius XM Radio Inc                                                              | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    750000 | PA      | $667575.00    | 0.03%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                   | Citicorp Mortgage Securities Trust Series 2007-9                                 | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1965273 | PA      | $1643109.21   | 0.07%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9775626 | PA      | $2445627.99   | 0.11%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                              | Ford Motor Co                                                                    | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    850000 | PA      | $663749.11    | 0.03%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2006-OA5                                         | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2019309 | PA      | $1871775.43   | 0.08%             | 2046-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                    | Navient Corp                                                                     | CUSIP: 63938CAH1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1396766.00   | 0.06%             | 2025-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GCAT                                            | GCAT 2021-NQM7 Trust                                                             | CUSIP: 36167YAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3437000 | PA      | $2494117.14   | 0.11%             | 2066-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | Occidental Petroleum Corp                                                        | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    600000 | PA      | $636988.50    | 0.03%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                        | Service Properties Trust                                                         | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $990150.00    | 0.04%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                    | Novelis Corp                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    775000 | PA      | $654100.00    | 0.03%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                  | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5722483 | PA      | $4905263.17   | 0.22%             | 2047-05-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3295143.60   | 0.15%             | 2041-02-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                  | Banc of America Funding 2006-E Trust                                             | CUSIP: 05950DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259140 | PA      | $233008.25    | 0.01%             | 2036-06-20      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2020-SFR1 Trust                                             | CUSIP: 74331CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $691681.28    | 0.03%             | 2037-04-17      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                    | US Foods Inc                                                                     | CUSIP: 90290MAC5<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    950000 | PA      | $951719.50    | 0.04%             | 2025-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                               | Nexstar Media Inc                                                                | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    550000 | PA      | $490875.00    | 0.02%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                          | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2463906 | PA      | $1086436.27   | 0.05%             | 2035-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2019-E                                                  | CUSIP: 00969TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3512199 | PA      | $3405589.71   | 0.15%             | 2059-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                              | Tricon Residential 2022-SFR2 Trust                                               | CUSIP: 89616TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3899987.60   | 0.17%             | 2040-07-17      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                        | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                 | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    850000 | PA      | $869108.00    | 0.04%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                  | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626000 | PA      | $1335292.50   | 0.06%             | 2065-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                            | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AG6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1522410.00   | 0.07%             | 2026-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                          | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600838 | PA      | $6640715.28   | 0.30%             | 2035-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PETSMART INC/PETSMART FI                        | PetSmart Inc / PetSmart Finance Corp                                             | CUSIP: 71677KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $464900.00    | 0.02%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMorgan Chase & Co                                                              | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4810000 | PA      | $4500356.25   | 0.20%             | N/A             | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47550000 | PA      | $41537525.51  | 1.86%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                   | Carnival Corp                                                                    | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1775000 | PA      | $1473250.00   | 0.07%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                         | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   1050000 | PA      | $939705.74    | 0.04%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                        | CHS/Community Health Systems Inc                                                 | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    650000 | PA      | $632482.50    | 0.03%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2337396 | PA      | $1327114.71   | 0.06%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392000 | PA      | $1081481.55   | 0.05%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                  | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $1209258.00   | 0.05%             | 2025-12-10      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| SUMMIT MATERIALS LLC/FIN                        | Summit Materials LLC / Summit Materials Finance Corp                             | CUSIP: 86614RAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $610343.50    | 0.03%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568938 | PA      | $376183.13    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE INC                              | AMN Healthcare Inc                                                               | CUSIP: 00175PAB9<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |    425000 | PA      | $394221.50    | 0.02%             | 2027-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                        | First Quantum Minerals Ltd                                                       | CUSIP: 335934AP0<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   1125000 | PA      | $1123481.25   | 0.05%             | 2024-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                  | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6178280 | PA      | $5793646.91   | 0.26%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | TRS LUMSTRUU INDEX                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |         1 | NC      | $929579.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                             | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G1CT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     29416 | PA      | $27906.60     | 0.00%             | 2048-05-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru                  | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4205039 | PA      | $1101848.03   | 0.05%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                            | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3465738.40   | 0.16%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                            | FirstKey Homes 2022-SFR2 Trust                                                   | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2553000 | PA      | $2223527.95   | 0.10%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                        | EQM Midstream Partners LP                                                        | CUSIP: 26885BAE0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    925000 | PA      | $712250.00    | 0.03%             | 2048-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2006-9F                                                  | CUSIP: 3622X7AS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36104 | PA      | $34928.39     | 0.00%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                              | Ford Motor Co                                                                    | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    800000 | PA      | $634857.08    | 0.03%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2007-5                                            | CUSIP: 07325WAE2<br>LEI: 549300I4K1GWFS0CTQ34 | Long             | ABS-MBS          | CORP              | US        |   6542117 | PA      | $4302722.56   | 0.19%             | 2037-10-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                   | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2866067 | PA      | $2832137.96   | 0.13%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Seasoned Credit Risk Transfer Trust Series 2017-3                                | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10675072 | PA      | $1734407.75   | 0.08%             | 2056-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin                  | Pagaya AI Technology in Housing Trust 2022-1                                     | CUSIP: 69547NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4552402.50   | 0.20%             | 2025-08-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                               | Nexstar Media Inc                                                                | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    525000 | PA      | $501438.00    | 0.02%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                           | American Airlines Inc                                                            | CUSIP: 023771S58<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1141231.67   | 0.05%             | 2025-07-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241259 | PA      | $900561.98    | 0.04%             | 2051-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Seasoned Credit Risk Transfer Trust Series 2017-3                                | CUSIP: 35563PCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17289624 | PA      | $1729365.24   | 0.08%             | 2056-07-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018395 | PA      | $580859.04    | 0.03%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                 | AdaptHealth LLC                                                                  | CUSIP: 00653VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $614914.24    | 0.03%             | 2028-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504782 | PA      | $354367.34    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                  | Sabre GLBL Inc                                                                   | CUSIP: 78573NAF9<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    975000 | PA      | $956027.79    | 0.04%             | 2025-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7677797 | PA      | $7275449.20   | 0.33%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H                  | Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1          | CUSIP: 04541GVM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6033337 | PA      | $5176514.79   | 0.23%             | 2036-01-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                        | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp               | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $722085.00    | 0.03%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2020-A                                                  | CUSIP: 00969WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10196297 | PA      | $6300343.04   | 0.28%             | 2059-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | Reperforming Loan REMIC Trust 2006-R2                                            | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444288 | PA      | $401051.28    | 0.02%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                           | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    650000 | PA      | $671528.00    | 0.03%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403400 | PA      | $343777.68    | 0.02%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC Series 2015-4R                                                              | CUSIP: 12650BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5457041 | PA      | $3948358.70   | 0.18%             | 2036-10-27      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-JR1 Trust                                                              | CUSIP: 12657XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3180916 | PA      | $1081511.47   | 0.05%             | 2060-07-26      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| INTESA SANPAOLO SPA                             | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1500000 | PA      | $1472433.60   | 0.07%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326292 | PA      | $256769.95    | 0.01%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TVC DSCR_21-1: A                                | TVC DSCR_21-1: A                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5290989 | PA      | $4926439.42   | 0.22%             | 2051-02-01      | Fixed         | 2.38%                 | No            |                  3 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                        | Live Nation Entertainment Inc                                                    | CUSIP: 538034AK5<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    550000 | PA      | $534301.10    | 0.02%             | 2024-11-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                  | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945505 | PA      | $348201.75    | 0.02%             | 2036-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                  | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF1                    | CUSIP: 86358BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359048 | PA      | $5276735.33   | 0.24%             | 2037-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAM ACQ INC                           | WASH Multifamily Acquisition Inc                                                 | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $949170.50    | 0.04%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                  | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314808 | PA      | $283885.81    | 0.01%             | 2036-02-20      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                         | INEOS Quattro Finance 2 Plc                                                      | CUSIP: 45674GAA2<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |    775000 | PA      | $711326.00    | 0.03%             | 2026-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2019-SFR3 Trust                                             | CUSIP: 74332WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $945550.40    | 0.04%             | 2036-09-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-OA14                                                 | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3665969 | PA      | $2828366.13   | 0.13%             | 2046-11-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153237 | PA      | $132968.36    | 0.01%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205351 | PA      | $1030751.64   | 0.05%             | 2049-03-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                        | EQM Midstream Partners LP                                                        | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599706.00    | 0.03%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust 2007-AHL3                                          | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3709275 | PA      | $2646296.78   | 0.12%             | 2045-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1812934 | PA      | $899703.85    | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                   | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |    550000 | PA      | $472189.33    | 0.02%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL C                        | Masonite International Corp                                                      | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |   1050000 | PA      | $985971.00    | 0.04%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                    | Saxon Asset Securities Trust 2007-1                                              | CUSIP: 80556BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8491817 | PA      | $7457488.35   | 0.33%             | 2047-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2021-SFR11 Trust                                            | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2049775.25   | 0.09%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2018-F                                                  | CUSIP: 00969JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160259 | PA      | $106145.98    | 0.00%             | 2058-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UPC HOLDING BV                                  | UPC Holding BV                                                                   | CUSIP: 90320LAG2<br>LEI: 213800G1DU7LKI6ZCD69 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $912500.00    | 0.04%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACTIV EVERGREEN GROUP                          | Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer Inc            | CUSIP: 69527AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $755473.63    | 0.03%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345800 | PA      | $289993.55    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                  | Structured Asset Securities Corp                                                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2396704 | PA      | $2223033.26   | 0.10%             | 2035-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                         | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    350000 | PA      | $349457.50    | 0.02%             | 2028-02-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                  | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291087 | PA      | $287718.33    | 0.01%             | 2033-12-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                  | Banc of America Funding Corp                                                     | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   3176148 | PA      | $2528445.71   | 0.11%             | 2036-03-27      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-25                                                   | CUSIP: 02151UAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3479912 | PA      | $1756949.89   | 0.08%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EMBECTA CORP                                    | Embecta Corp                                                                     | CUSIP: 29082KAA3<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | DBT              | CORP              | US        |    825000 | PA      | $680748.15    | 0.03%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2936078 | PA      | $2251255.96   | 0.10%             | 2051-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    833504 | PA      | $758211.02    | 0.03%             | 2036-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                  | Bear Stearns Asset Backed Securities I Trust 2006-HE10                           | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3065150 | PA      | $4093398.24   | 0.18%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2017-5                                                  | CUSIP: 46590YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31552 | PA      | $30319.04     | 0.00%             | 2048-10-26      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2227809 | PA      | $437319.22    | 0.02%             | 2037-02-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                            | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |    381965 | PA      | $555759.00    | 0.02%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                  | Romark CLO II Ltd                                                                | CUSIP: 77587FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $1981332.00   | 0.09%             | 2031-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Loan Revolving Advance Investm                  | Loan Revolving Advance Investment Trust 2021-2                                   | CUSIP: 53958V102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835422 | PA      | $825923.24    | 0.04%             | 2023-06-30      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                           | Icahn Enterprises LP / Icahn Enterprises Finance Corp                            | CUSIP: 451102BQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $495630.00    | 0.02%             | 2025-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                   | New Residential Mortgage Loan Trust 2019-NQM5                                    | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3394716 | PA      | $3150910.49   | 0.14%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99621115 | PA      | $2492709.58   | 0.11%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JAGUAR LAND ROVER AUTOMO                        | Jaguar Land Rover Automotive PLC                                                 | CUSIP: 47010BAJ3<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $689500.00    | 0.03%             | 2025-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                  | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $1692077.38   | 0.08%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8572117 | PA      | $953238.30    | 0.04%             | 2031-06-15      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10805635 | PA      | $9890677.78   | 0.44%             | 2060-03-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | Occidental Petroleum Corp                                                        | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $812046.83    | 0.04%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                          | Conseco Finance Corp                                                             | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2158372 | PA      | $912733.82    | 0.04%             | 2030-03-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                          | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $833050.00    | 0.04%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                          | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC            | CUSIP: 013092AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $769105.25    | 0.03%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                   | CommScope Inc                                                                    | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    775000 | PA      | $641827.66    | 0.03%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                           | Icahn Enterprises LP / Icahn Enterprises Finance Corp                            | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $500717.19    | 0.02%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-2                                            | CUSIP: 07324YAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010361 | PA      | $936297.68    | 0.04%             | 2036-07-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                         | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                 | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1048716.25   | 0.05%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                             | SG Residential Mortgage Trust 2019-3                                             | CUSIP: 78432BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $82526.37     | 0.00%             | 2059-09-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AVIATION FIN                         | Castlelake Aviation Finance DAC                                                  | CUSIP: 14856HAA6<br>LEI: 2138006F7SMD1COVC345 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $1342500.00   | 0.06%             | 2027-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Seasoned Credit Risk Transfer Trust Series 2018-2                                | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4709803 | PA      | $1782471.94   | 0.08%             | 2057-11-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                  | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5313708 | PA      | $4947655.86   | 0.22%             | 2051-12-26      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                | RCO VI Mortgage LLC 2022-1                                                       | CUSIP: 74934VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5887743 | PA      | $5551867.17   | 0.25%             | 2027-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housin                  | Lehman ABS Manufactured Housing Contract Trust 2001-B                            | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816090 | PA      | $1804130.01   | 0.08%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                         | United Rentals North America Inc                                                 | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    575000 | PA      | $495126.75    | 0.02%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129659 | PA      | $129305.71    | 0.01%             | 2032-06-15      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2005-31                                          | CUSIP: 126694UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898600 | PA      | $765234.06    | 0.03%             | 2036-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                  | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441222 | PA      | $265937.98    | 0.01%             | 2037-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                   | MASTR Reperforming Loan Trust 2005-2                                             | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385388 | PA      | $1809584.54   | 0.08%             | 2035-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041658 | PA      | $356331.53    | 0.02%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                         | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $637546.00    | 0.03%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2018-A                                                  | CUSIP: 00969EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21846 | PA      | $21561.75     | 0.00%             | 2058-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3012537 | PA      | $3063069.09   | 0.14%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2007-21                                          | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1379751 | PA      | $731970.71    | 0.03%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                | Organon & Co / Organon Foreign Debt Co-Issuer BV                                 | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1044257.50   | 0.05%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                 | Madison Park Funding XLI Ltd                                                     | CUSIP: 04964YAJ0<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1874221.60   | 0.08%             | 2027-04-22      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                  | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477865 | PA      | $454792.24    | 0.02%             | 2030-02-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                  | Public Storage                                                                   | CUSIP: 74460W487<br>LEI: 549300LMZF40TKJ6DM64 | Long             | EP               | CORP              | US        |     31500 | NS      | $580860.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                          | Spirit AeroSystems Inc                                                           | CUSIP: 85205TAL4<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    975000 | PA      | $978354.00    | 0.04%             | 2025-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                 | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608872 | PA      | $1596129.39   | 0.07%             | 2037-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                           | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $614062.50    | 0.03%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                   | First Franklin Mortgage Loan Trust Series 2007-FF2                               | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3575000 | PA      | $1775838.20   | 0.08%             | 2037-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                          | WESCO Distribution Inc                                                           | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    750000 | PA      | $768406.70    | 0.03%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122043 | PA      | $1186858.78   | 0.05%             | 2028-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| HERTZ CORP/THE                                  | Hertz Corp/The                                                                   | CUSIP: 428040DB2<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    525000 | PA      | $429187.50    | 0.02%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                             | Churchill Downs Inc                                                              | CUSIP: 171484AE8<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1169575.00   | 0.05%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2128000 | PA      | $1463292.39   | 0.07%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE INC                              | AMN Healthcare Inc                                                               | CUSIP: 00175PAC7<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |    725000 | PA      | $627018.53    | 0.03%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                           | Tenet Healthcare Corp                                                            | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1299645.00   | 0.06%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900020 | PA      | $324830.57    | 0.01%             | 2052-02-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3834243 | PA      | $3069097.74   | 0.14%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE                   | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2798206 | PA      | $1847462.35   | 0.08%             | 2028-08-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| DELTA AIR LINES INC                             | Delta Air Lines Inc                                                              | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    475000 | PA      | $494102.59    | 0.02%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872776 | PA      | $337832.63    | 0.02%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                      | Progress Residential 2022-SFR4 Trust                                             | CUSIP: 74332XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4751000 | PA      | $4264033.43   | 0.19%             | 2041-05-17      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                  | RALI Series 2005-QA10 Trust                                                      | CUSIP: 761118GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5252343 | PA      | $2246531.04   | 0.10%             | 2035-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45400000 | PA      | $39707265.85  | 1.78%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2019-G                                                  | CUSIP: 00969VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2927374 | PA      | $2711108.68   | 0.12%             | 2059-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799896 | PA      | $858130.15    | 0.04%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-69                                                   | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53965 | PA      | $47316.94     | 0.00%             | 2035-12-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                   | Bear Stearns Mortgage Funding Trust 2006-SL1                                     | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686946 | PA      | $665354.92    | 0.03%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33700000 | PA      | $25889761.80  | 1.16%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-OC3                                                  | CUSIP: 021464AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2106555 | PA      | $1860940.24   | 0.08%             | 2046-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                             | Medline Borrower LP                                                              | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    800000 | PA      | $682440.00    | 0.03%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                   | New Residential Mortgage Loan Trust 2020-NQM1                                    | CUSIP: 64830VAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1389000 | PA      | $1119203.14   | 0.05%             | 2060-01-26      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                             | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $140604.43    | 0.01%             | 2065-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299438 | PA      | $845619.80    | 0.04%             | 2051-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                              | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968000 | PA      | $825798.28    | 0.04%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                  | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850650 | PA      | $667720.22    | 0.03%             | 2037-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                             | NCL Corp Ltd                                                                     | CUSIP: 62886HBL4<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $254007.50    | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-OA21                                                 | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2598218 | PA      | $2125317.53   | 0.10%             | 2047-03-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                              | Seagate HDD Cayman                                                               | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    631125 | PA      | $714648.08    | 0.03%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287100 | PA      | $919067.78    | 0.04%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                   | ModivCare Inc                                                                    | CUSIP: 743815AE2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1111613.00   | 0.05%             | 2025-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1022224 | PA      | $580393.00    | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123339 | PA      | $652570.25    | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                    | Morgan Stanley Resecuritization Trust 2013-R7                                    | CUSIP: 61690PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2548655 | PA      | $2276012.55   | 0.10%             | 2046-12-26      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                    | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187900 | PA      | $1022083.23   | 0.05%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                   | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223276 | PA      | $1068779.19   | 0.05%             | 2046-09-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                  | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4125986 | PA      | $986819.10    | 0.04%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                             | Spectrum Brands Inc                                                              | CUSIP: 84762LAW5<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    500000 | PA      | $454165.00    | 0.02%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARI INVESTMENTS LLC                             | ARI INVESTMENTS LLC                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2957767 | PA      | $2809879.01   | 0.13%             | 2025-01-30      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                          | Southwestern Energy Co                                                           | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    875000 | PA      | $813750.00    | 0.04%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                     | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596232 | PA      | $197134.64    | 0.01%             | 2059-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Oakwood Mortgage Investors Inc                  | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561881 | PA      | $292629.11    | 0.01%             | 2022-09-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                      | Verus Securitization Trust 2021-1                                                | CUSIP: 92537QAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3162000 | PA      | $2066792.61   | 0.09%             | 2066-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                        | Bear Stearns ALT-A Trust 2006-2                                                  | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936703 | PA      | $1247045.07   | 0.06%             | 2036-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1057403 | PA      | $1392641.07   | 0.06%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310300 | PA      | $245189.88    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                  | Bear Stearns Asset Backed Securities I Trust 2006-HE1                            | CUSIP: 0738796S2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1809327 | PA      | $2607867.08   | 0.12%             | 2035-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DANA INC                                        | Dana Inc                                                                         | CUSIP: 235825AJ5<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $864597.75    | 0.04%             | 2032-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRINK'S CO/THE                                  | Brink's Co/The                                                                   | CUSIP: 109696AB0<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1034512.50   | 0.05%             | 2025-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2019-E                                                  | CUSIP: 00969TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7257245 | PA      | $6964711.22   | 0.31%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                              | Tricon Residential 2022-SFR2 Trust                                               | CUSIP: 89616QAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1500647.84   | 0.07%             | 2039-04-17      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                         | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BR2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    300000 | PA      | $316461.00    | 0.01%             | 2029-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12666TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1486545 | PA      | $1376956.67   | 0.06%             | 2035-12-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2007-J1                                                   | CUSIP: 02149MCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168236 | PA      | $224254.60    | 0.01%             | 2036-11-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| WI TREASURY N/B                                 | United States Treasury Note/Bond - When Issued                                   | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57000000 | PA      | $36555702.84  | 1.64%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| MMDA OVERNIGHT SWEEP                            | MMDA OVERNIGHT SWEEP                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | RF                | US        | 192418310 | NS      | $192418309.97 | 8.61%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARLES SCHWAB CORP                             | Charles Schwab Corp/The                                                          | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1436617.50   | 0.06%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2021-HB7 LLC                                                                | CUSIP: 12530BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $2841080.87   | 0.13%             | 2031-10-27      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                      | goeasy Ltd                                                                       | CUSIP: 380355AD9<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |   1100000 | PA      | $1052898.00   | 0.05%             | 2024-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust Resecuritization 2006-22R                                 | CUSIP: 02147LAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970305 | PA      | $584663.42    | 0.03%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                             | Hudbay Minerals Inc                                                              | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |    750000 | PA      | $694662.52    | 0.03%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2019-G                                                  | CUSIP: 00969VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7431604 | PA      | $4065092.37   | 0.18%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                  | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3314000 | PA      | $2452387.51   | 0.11%             | 2067-01-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370547 | PA      | $1130744.79   | 0.05%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                           | Tenet Healthcare Corp                                                            | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    500000 | PA      | $465000.00    | 0.02%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GCI LLC                                         | GCI LLC                                                                          | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |    500000 | PA      | $440270.00    | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2                  | BX Commercial Mortgage Trust 2019-XL                                             | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3289010.74   | 0.15%             | 2036-10-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683200 | PA      | $1382204.13   | 0.06%             | 2048-10-26      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                              | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1304573.85   | 0.06%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                          | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W5      | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4672858 | PA      | $3738178.41   | 0.17%             | 2036-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                          | Southwestern Energy Co                                                           | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    650000 | PA      | $570375.00    | 0.03%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                          | Spirit AeroSystems Inc                                                           | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    425000 | PA      | $461877.25    | 0.02%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| EVERGREEN ACQCO/TVI INC                         | Evergreen Acqco 1 LP / TVI Inc                                                   | CUSIP: 30015DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $245937.50    | 0.01%             | 2028-04-26      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                  | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1691963 | PA      | $1029879.16   | 0.05%             | 2036-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                          | Patrick Industries Inc                                                           | CUSIP: 703343AD5<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |    600000 | PA      | $512910.00    | 0.02%             | 2029-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47000000 | PA      | $41214960.82  | 1.84%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                            | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    625000 | PA      | $543387.50    | 0.02%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                          | GSAA Trust                                                                       | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361608 | PA      | $143659.58    | 0.01%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                  | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2921431 | PA      | $972212.94    | 0.04%             | 2046-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                             | NOVA Chemicals Corp                                                              | CUSIP: 66977WAQ2<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $492685.00    | 0.02%             | 2024-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                            | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3521169.20   | 0.16%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                  | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945505 | PA      | $348201.75    | 0.02%             | 2036-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333400 | PA      | $283068.24    | 0.01%             | 2049-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                        | Blue Racer Midstream LLC / Blue Racer Finance Corp                               | CUSIP: 095796AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $985000.00    | 0.04%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                             | Buckeye Partners LP                                                              | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    625000 | PA      | $573250.00    | 0.03%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3200962.80   | 0.14%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2018-B                                                  | CUSIP: 00969FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61269 | PA      | $49595.46     | 0.00%             | 2057-02-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                              | Viking Cruises Ltd                                                               | CUSIP: 92676XAD9<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $425890.00    | 0.02%             | 2027-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE                   | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4833828 | PA      | $4634737.53   | 0.21%             | 2031-09-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| UNITI GRP/UNITI HLD/CSL                         | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC                      | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $987038.45    | 0.04%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2007-4                                            | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5668180 | PA      | $5192531.74   | 0.23%             | 2037-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Invesco Preferred ETF                           | Invesco Preferred ETF                                                            | CUSIP: 46138E511<br>LEI: 549300J11Q08WEERN210 | Long             | EC               | RF                | US        |   4381817 | NS      | $55429985.05  | 2.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Nomura Asset Acceptance Corpor                  | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593201 | PA      | $669713.42    | 0.03%             | 2036-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE                                  | Constellium SE                                                                   | CUSIP: 21039CAA2<br>LEI: 724500KRJEMC79KAAU28 | Long             | DBT              | CORP              | FR        |    650000 | PA      | $616200.00    | 0.03%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                  | RASC Series 2005-KS10 Trust                                                      | CUSIP: 75405WAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3825000 | PA      | $2998480.23   | 0.13%             | 2035-11-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2015086 | PA      | $1794390.94   | 0.08%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                  | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1549079.09   | 0.07%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                        | EQM Midstream Partners LP                                                        | CUSIP: 26885BAL4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    475000 | PA      | $402453.25    | 0.02%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                        | Celanese US Holdings LLC                                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1356644.71   | 0.06%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                        | CHS/Community Health Systems Inc                                                 | CUSIP: 12543DBH2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1338568.75   | 0.06%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETSMART INC/PETSMART FI                        | PetSmart Inc / PetSmart Finance Corp                                             | CUSIP: 71677KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    525000 | PA      | $519645.00    | 0.02%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DUM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221947 | PA      | $207385.19    | 0.01%             | 2035-01-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                  | IndyMac IMSC Mortgage Loan Trust 2007-HOA1                                       | CUSIP: 45670LAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16184033 | PA      | $102614.86    | 0.00%             | 2047-07-25      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| COGENT COMMUNICATIONS GR                        | Cogent Communications Group Inc                                                  | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1311485.00   | 0.06%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                         | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153AZ5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    750000 | PA      | $804375.00    | 0.04%             | 2025-06-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                          | Edgewell Personal Care Co                                                        | CUSIP: 28035QAB8<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |   1532000 | PA      | $1343318.88   | 0.06%             | 2029-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                        | Builders FirstSource Inc                                                         | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1032478.70   | 0.05%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                           | GFL Environmental Inc                                                            | CUSIP: 36168QAK0<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |   1325000 | PA      | $1259081.25   | 0.06%             | 2025-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110424 | PA      | $107687.72    | 0.00%             | 2036-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3999668 | PA      | $3668553.19   | 0.16%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                             | LBM Acquisition LLC                                                              | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |    550000 | PA      | $413633.00    | 0.02%             | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC BOR ESC                        | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc | CUSIP: 43284MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $975577.50    | 0.04%             | 2031-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                         | Standard Industries Inc/NJ                                                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $983640.00    | 0.04%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                  | Residential Mortgage Loan Trust 2021-1R                                          | CUSIP: 76090NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2814000 | PA      | $2230323.50   | 0.10%             | 2065-01-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                   | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3054147 | PA      | $2078724.54   | 0.09%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                        | LCM Investments Holdings II LLC                                                  | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |    925000 | PA      | $763356.25    | 0.03%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                  | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6953687 | PA      | $5055137.52   | 0.23%             | 2037-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | United States Treasury Note/Bond                                                 | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46350000 | PA      | $43438640.63  | 1.94%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                  | Adjustable Rate Mortgage Trust 2005-3                                            | CUSIP: 007036HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299402 | PA      | $293606.57    | 0.01%             | 2035-07-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                  | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579RP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1053281 | PA      | $823066.07    | 0.04%             | 2035-05-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| AT HOME GROUP INC                               | At Home Group Inc                                                                | CUSIP: 04650YAB6<br>LEI: 549300LGPR0P05O30I24 | Long             | DBT              | CORP              | US        |    750000 | PA      | $464947.50    | 0.02%             | 2029-07-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                         | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1224562.50   | 0.05%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                        | Ascent Resources Utica Holdings LLC / ARU Finance Corp                           | CUSIP: 04364VAR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1047641.25   | 0.05%             | 2028-12-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                   | Bear Stearns Mortgage Funding Trust 2006-SL4                                     | CUSIP: 07401GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181676 | PA      | $183600.48    | 0.01%             | 2036-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                   | RFMSI Series 2006-SA3 Trust                                                      | CUSIP: 749575AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87597 | PA      | $56960.92     | 0.00%             | 2036-09-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                  | Romark WM-R Ltd                                                                  | CUSIP: 77587CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $5652459.00   | 0.25%             | 2031-04-20      | Floating      | 12.91%                | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                  | Banc of America Mortgage 2005-I Trust                                            | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297976 | PA      | $272882.55    | 0.01%             | 2035-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5563432 | PA      | $550935.00    | 0.02%             | 2035-11-25      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY                         | Howard Midstream Energy Partners LLC                                             | CUSIP: 442722AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $316875.00    | 0.01%             | 2027-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                    | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2913675 | PA      | $2769966.45   | 0.12%             | 2037-05-26      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                 | Hanesbrands Inc                                                                  | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $982474.50    | 0.04%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                  | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9268617 | PA      | $8049197.20   | 0.36%             | 2037-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711053 | PA      | $645756.82    | 0.03%             | 2036-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                          | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1068750.00   | 0.05%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                           | Tricon American Homes 2017-SFR2 Trust                                            | CUSIP: 89613FAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1652846.59   | 0.07%             | 2036-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                             | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5589734 | PA      | $5547145.50   | 0.25%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                           | Bread Financial Holdings Inc                                                     | CUSIP: 018581AK4<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |    750000 | PA      | $680625.00    | 0.03%             | 2024-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2005-J2                                          | CUSIP: 12669GV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4491893 | PA      | $3122017.12   | 0.14%             | 2035-08-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORP                            | CITGO Petroleum Corp                                                             | CUSIP: 17302XAK2<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1165106.50   | 0.05%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                   | First Franklin Mortgage Loan Trust 2006-FF8                                      | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9142719 | PA      | $8534683.61   | 0.38%             | 2036-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                   | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341500 | PA      | $1015889.33   | 0.05%             | 2039-05-28      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                  | IndyMac INDX Mortgage Loan Trust 2007-FLX3                                       | CUSIP: 45670AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485867 | PA      | $1640258.66   | 0.07%             | 2037-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                            | Chart Industries Inc                                                             | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    400000 | PA      | $408500.00    | 0.02%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                      | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6071791 | PA      | $2803631.26   | 0.13%             | 2036-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                    | Calpine Corp                                                                     | CUSIP: 131347CR5<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1271383.96   | 0.06%             | 2031-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                              | Ford Motor Co                                                                    | CUSIP: 345370BY5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    425000 | PA      | $442671.50    | 0.02%             | 2028-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                | CSC Holdings LLC                                                                 | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1151822.50   | 0.05%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                        | Angel Oak Mortgage Trust I LLC 2019-2                                            | CUSIP: 03463WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $960993.20    | 0.04%             | 2049-03-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                        | Ajax Mortgage Loan Trust 2019-E                                                  | CUSIP: 00969TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3568715 | PA      | $3563202.35   | 0.16%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Irwin Home Equity                               | Irwin Home Equity Loan Trust 2006-3                                              | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500075 | PA      | $464063.82    | 0.02%             | 2037-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                  | Banc of America Funding 2005-F Trust                                             | CUSIP: 05946XZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75792 | PA      | $64463.40     | 0.00%             | 2035-09-20      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                  | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624427 | PA      | $505594.10    | 0.02%             | 2048-10-26      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                  | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694706 | PA      | $643360.72    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3657702 | PA      | $91524.11     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                  | Bear Stearns ARM Trust 2005-6                                                    | CUSIP: 07387ADM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43111 | PA      | $38295.56     | 0.00%             | 2035-08-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                          | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5607121 | PA      | $5281342.39   | 0.24%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                  | Alternative Loan Trust 2006-20CB                                                 | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3056104 | PA      | $1485157.29   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                           | Caesars Entertainment Inc                                                        | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    901000 | PA      | $911397.54    | 0.04%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | Morgan Stanley                                                                   | CUSIP: 61762V606<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |     38900 | NS      | $978335.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MIWD HLDCO II/MIWD FIN                          | MIWD Holdco II LLC / MIWD Finance Corp                                           | CUSIP: 55337PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $353812.50    | 0.02%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2006-7F                                                  | CUSIP: 36298NAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2534071 | PA      | $938960.46    | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                  | PRET 2021-NPL6 LLC                                                               | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2657989 | PA      | $2488048.07   | 0.11%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                  | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4815615 | PA      | $3968997.75   | 0.18%             | 2046-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-29

**Name of Applicant:** Old Westbury Funds Inc

**Signature:** Matthew A. Rizzi

**Name of Signer:** Matthew A. Rizzi

**Title:** Vice President & Treasurer (Principal Financial Officer)