# EDGAR Filing Document

**Accession Number:** 0001552947
**File Stem:** 0001752724-23-070480
**Filing Date:** 2023-3
**Character Count:** 117116
**Document Hash:** 5d8e0f69d584462f49b5be671e6bea8b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-070480.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0001752724-23-070480

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Two Roads Shared Trust
- **CENTRAL INDEX KEY:** 0001552947
- **IRS NUMBER:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22718
- **FILM NUMBER:** 23771750

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

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **STREET 2:** SUITE 200
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

## Series and Classes Contracts Data

### Anfield Universal Fixed Income ETF (Series ID: S000062994)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000204431 | Anfield Universal Fixed Income ETF |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

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

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

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

- **b. EDGAR series identifier (if any):** S000062994

- **c. LEI of Series:** 549300P4WM6QLLS2DJ24

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

- **a. Date of fiscal year-end:** 2023-07-31

- **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:** $121029130.26

**Total Liabilities:** $2375555.17

**Net Assets:** $118653575.09

**Cash Not Reported:** $3804972.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 386.82537300 | **1-Year:** 2166.23151900 | **5-Year:** 6252.61900000 | **10-Year:** 8924.58852500 | **30-Year:** 2117.57194700

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

- **3-Month:** 250.29698900 | **1-Year:** 2779.83994800 | **5-Year:** 4495.55480100 | **10-Year:** 1354.17508300 | **30-Year:** 406.63802800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204431 | 2.12%                | 0.23%                | 1.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-463892.20              | $2369342.62                                |
| Month 2  | $-12032.73               | $-239726.59                                |
| Month 3  | $-295.51                 | $1653336.85                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NatWest Group PLC                                               | NWG 3 7/8 09/12/23       | CUSIP: 780097BD2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $743589.41    | 0.63%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2980 SL              | CUSIP: 31395UF63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    299179 | PA      | $28282.23     | 0.02%             | 2034-11-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2004-62 TP           | CUSIP: 31394AQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    243461 | PA      | $33578.50     | 0.03%             | 2033-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4139 PO              | CUSIP: 3137AWYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    102250 | PA      | $69490.56     | 0.06%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2004-91 DS           | CUSIP: 31394BYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    229091 | PA      | $17349.03     | 0.01%             | 2034-12-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corporation                                        | H 1.3 10/01/23           | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    364000 | PA      | $354331.18    | 0.30%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Shackleton 2014-V-R Clo Ltd / Llc                               | SHACK 2014-5RA D         | CUSIP: 81881JAJ1<br>LEI: 549300OM5GJJFIKCOZ48 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1625890.00   | 1.37%             | 2031-05-07      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2018-120 JI          | CUSIP: 38380YVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    214603 | PA      | $31792.62     | 0.03%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-117 SM          | CUSIP: 31396YAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    305167 | PA      | $26000.45     | 0.02%             | 2038-01-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 239 IO               | CUSIP: 31282YJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55160 | PA      | $9832.25      | 0.01%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 324 C17              | CUSIP: 31325VBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4280059 | PA      | $484637.42    | 0.41%             | 2033-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-152 SA          | CUSIP: 38377NEM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    141051 | PA      | $14461.87     | 0.01%             | 2040-11-16      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-126 UI          | CUSIP: 31398SBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    108299 | PA      | $15237.21     | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 398 C9               | CUSIP: 3136FGRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899343 | PA      | $282324.79    | 0.24%             | 2039-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 364 2                | CUSIP: 3136FCYK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387123 | PA      | $64933.22     | 0.05%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-19 SD           | CUSIP: 38376V2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    146957 | PA      | $2459.69      | 0.00%             | 2039-07-16      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4618 SA              | CUSIP: 3137BRXK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    433627 | PA      | $57620.98     | 0.05%             | 2046-09-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 240 IO               | CUSIP: 31282YJ42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336625 | PA      | $71240.14     | 0.06%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 244 IO               | CUSIP: 31282YXC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    816739 | PA      | $135804.90    | 0.11%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-181 SA          | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     99870 | PA      | $10338.25     | 0.01%             | 2043-11-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2017-56 IE           | CUSIP: 38376ULU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1492213 | PA      | $146776.28    | 0.12%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Financial Services Inc.                         | HOG 3.35 02/15/23        | CUSIP: 41283LAS4<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |    372000 | PA      | $371779.83    | 0.31%             | 2023-02-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 186 IO               | CUSIP: 31282YB73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208947 | PA      | $24904.31     | 0.02%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                              | ORCL 2.4 09/15/23        | CUSIP: 68389XBL8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $295085.72    | 0.25%             | 2023-09-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                         | AAL 4.4 09/22/23         | CUSIP: 02377BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    992397 | PA      | $977587.47    | 0.82%             | 2023-09-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 4.687 06/09/25         | CUSIP: 345397ZJ5<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    777000 | PA      | $755579.97    | 0.64%             | 2025-06-09      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group PLC                                       | BKIR 4 1/2 11/25/23      | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    485000 | PA      | $480567.10    | 0.41%             | 2023-11-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group Inc                             | SUMIBK 4.436 04/02/24    | CUSIP: 86562MAA8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    381000 | PA      | $375999.20    | 0.32%             | 2024-04-02      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Mountain View Clo Ix Limited                                    | MVW 2015-9A CR           | CUSIP: 62432BAU7<br>LEI: 549300URXZ1TS31FK720 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1690836.00   | 1.43%             | 2031-07-15      | Floating      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-97 SW           | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1669397 | PA      | $195102.14    | 0.16%             | 2047-12-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3149 SM              | CUSIP: 31396RJ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    254522 | PA      | $19940.92     | 0.02%             | 2036-05-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-108 SA          | CUSIP: 3136B0RS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1081337 | PA      | $134167.06    | 0.11%             | 2048-01-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-130 HI          | CUSIP: 31398N3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    318805 | PA      | $66485.10     | 0.06%             | 2040-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS LTD                                 | OCT18 2018-18A D         | CUSIP: 67576HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1635458.00   | 1.38%             | 2031-04-16      | Floating      | 10.30%                | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 303 105              | CUSIP: 31325T6C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374066 | PA      | $56584.90     | 0.05%             | 2043-01-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                             | FSK 4 1/8 02/01/25       | CUSIP: 302635AE7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1424252.65   | 1.20%             | 2025-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-101 SA          | CUSIP: 31396LHY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    141267 | PA      | $13946.88     | 0.01%             | 2036-10-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 343 6                | CUSIP: 3136FA6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95616 | PA      | $11913.08     | 0.01%             | 2033-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-28 CF           | CUSIP: 31396VKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1616988 | PA      | $222005.01    | 0.19%             | 2036-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 399 2                | CUSIP: 3136FKAB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399469 | PA      | $87833.28     | 0.07%             | 2039-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO 2014-1 Ltd./LLC                                | STCR 2014-1RA D          | CUSIP: 85816WAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2025000 | PA      | $1774671.53   | 1.50%             | 2031-04-21      | Floating      | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2007-40 SW           | CUSIP: 38375KB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    146787 | PA      | $1258.46      | 0.00%             | 2037-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4456 IA              | CUSIP: 3137BGRL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    188930 | PA      | $28862.68     | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                | TEVA 2.8 07/21/23        | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1663000 | PA      | $1641089.98   | 1.38%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-H16 CI          | CUSIP: 38380LG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3018392 | PA      | $157656.63    | 0.13%             | 2069-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-58 IO           | CUSIP: 3136B2XG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    573334 | PA      | $100510.46    | 0.08%             | 2048-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-121 JS          | CUSIP: 38380AZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1054526 | PA      | $114459.25    | 0.10%             | 2046-09-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3572 VS              | CUSIP: 31398JTX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    164297 | PA      | $19551.76     | 0.02%             | 2039-09-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-6 SA            | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    528946 | PA      | $50550.53     | 0.04%             | 2049-01-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-69 QI           | CUSIP: 38378EQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    161921 | PA      | $20581.94     | 0.02%             | 2041-03-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-8 HL            | CUSIP: 31394VV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     56573 | PA      | $5075.10      | 0.00%             | 2036-03-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 321 2                | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152930 | PA      | $23206.14     | 0.02%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2004-106 HW          | CUSIP: 38374KJW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     26564 | PA      | $25610.63     | 0.02%             | 2034-12-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Aramark                                                         | ARMK TL B 1L USD         | CUSIP: 03852JAS0<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |    876858 | PA      | $876313.97    | 0.74%             | 2028-04-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 395 7                | CUSIP: 3136FGDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1790379 | PA      | $358278.97    | 0.30%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 5 1/8 06/16/25         | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492084.83    | 0.41%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Carnival Corp                                                   | CCL TL B 1L USD          | CUSIP: P2121YAN8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | US        |    989848 | PA      | $976504.57    | 0.82%             | 2025-06-30      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Corporation                                   | AMGFIN 6 1/8 03/15/24    | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1017517.50   | 0.86%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-55 S            | CUSIP: 31396WGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    882965 | PA      | $65090.61     | 0.05%             | 2037-06-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-179 BI          | CUSIP: 38379TAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1347815 | PA      | $116777.76    | 0.10%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DCP Midstream Operating, LP                                     | DCP 3 7/8 03/15/23       | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    245000 | PA      | $244300.53    | 0.21%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                      | ACGCAP 3 7/8 05/01/23    | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208750.33    | 0.18%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 291 2                | CUSIP: 31364HR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240859 | PA      | $24769.10     | 0.02%             | 2027-11-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-30 CI           | CUSIP: 3136A5YA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2775586 | PA      | $353066.97    | 0.30%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 396 2                | CUSIP: 3136FGEU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268764 | PA      | $39291.58     | 0.03%             | 2039-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                | TEVA 6 04/15/24          | CUSIP: 88167AAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    750000 | PA      | $748155.00    | 0.63%             | 2024-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-36 SB           | CUSIP: 38374D3E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    115651 | PA      | $107.53       | 0.00%             | 2038-04-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-145 UI          | CUSIP: 38380BHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    216410 | PA      | $38775.42     | 0.03%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XV                                                   | APID 2013-15A DRR        | CUSIP: 03764QBL5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1846132.00   | 1.56%             | 2031-04-20      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4091 TS              | CUSIP: 3137ATGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    154728 | PA      | $18427.62     | 0.02%             | 2042-08-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 5007 SK              | CUSIP: 3137FVLY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    804276 | PA      | $114108.83    | 0.10%             | 2050-08-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance B.V.                     | DT 2.485 09/19/23        | CUSIP: 25156PAV5<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $738573.89    | 0.62%             | 2023-09-19      | Fixed         | 2.48%                 | Yes           |                  2 | On Loan: No      |
| Telecom Italia S.p.A.                                           | TITIM 5.303 05/30/24     | CUSIP: 87927YAA0<br>LEI: 549300W384M3RI3VXU42 | Long             | DBT              | CORP              | IT        |   2650000 | PA      | $2583750.00   | 2.18%             | 2024-05-30      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2008-58 SE           | CUSIP: 31397LQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1990069 | PA      | $162478.02    | 0.14%             | 2038-07-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-9 SA            | CUSIP: 38379TA74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    207777 | PA      | $19751.39     | 0.02%             | 2046-01-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2022-10 ID           | CUSIP: 38383GAL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     18353 | PA      | $2225.10      | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                              | ETP 4 1/4 03/15/23       | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499622.91    | 0.42%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2003-43 IY           | CUSIP: 31393A5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    154094 | PA      | $21077.60     | 0.02%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                        | EDF 5 5/8 PERP           | CUSIP: 268317AM6<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    955000 | PA      | $930905.35    | 0.78%             | 2170-07-22      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-28 LS           | CUSIP: 31396VLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    193040 | PA      | $17478.13     | 0.01%             | 2036-01-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2004-46 S            | CUSIP: 38374G6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    437931 | PA      | $33505.06     | 0.03%             | 2034-06-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-53 OI           | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    300358 | PA      | $30711.30     | 0.03%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3355 BI              | CUSIP: 31397KCA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    225028 | PA      | $16910.63     | 0.01%             | 2037-08-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Clo 2017-1 Ltd/ Llc                              | ROCKT 2017-1A DR2B       | CUSIP: 77340EBG0<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1436940.00   | 1.21%             | 2034-04-20      | Floating      | 9.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                           | SOCGEN 4 1/4 04/14/25    | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $775089.85    | 0.65%             | 2025-04-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2616 SC              | CUSIP: 31393QTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     55260 | PA      | $4385.95      | 0.00%             | 2032-12-15      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2020-167 NS          | CUSIP: 38382LBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    767212 | PA      | $91830.78     | 0.08%             | 2050-11-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Venture XV CLO Ltd./LLC                                         | VENTR 2013-15A DR2       | CUSIP: 92328XAZ2<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1866498.00   | 1.57%             | 2032-07-15      | Floating      | 8.71%                 | Yes           |                  2 | On Loan: No      |
| Great American Outdoors (Bass Pro Shops)                        | BASSPR TL B1 1L USD      | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |    987500 | PA      | $973675.00    | 0.82%             | 2028-03-05      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                    | B 03/09/23               | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $995541.00    | 0.84%             | 2023-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fnd                                          | DRSLF 2018-55A D         | CUSIP: 26245MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1496993.60   | 1.26%             | 2031-04-15      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-144 SA          | CUSIP: 38379QD51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    611092 | PA      | $76275.14     | 0.06%             | 2045-10-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                                 | S 7 7/8 09/15/23         | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |   1502000 | PA      | $1526057.53   | 1.29%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-116 S           | CUSIP: 31396LZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    121014 | PA      | $11115.34     | 0.01%             | 2036-12-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2367 SG              | CUSIP: 31339GL25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    110268 | PA      | $11580.98     | 0.01%             | 2031-06-15      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace Inc                                            | ARNC 5 1/8 10/01/24      | CUSIP: 013817AW1<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    375000 | PA      | $373561.88    | 0.31%             | 2024-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4995 KI              | CUSIP: 3137FUX25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1394822 | PA      | $257971.13    | 0.22%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2003-7 SN            | CUSIP: 31392HY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    522734 | PA      | $62042.82     | 0.05%             | 2033-02-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                             | ALLY 1.45 10/02/23       | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    610000 | PA      | $595377.67    | 0.50%             | 2023-10-02      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2009-106 AI          | CUSIP: 31398GVM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    377936 | PA      | $31396.71     | 0.03%             | 2039-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2014-38 QI           | CUSIP: 3136AKNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    403475 | PA      | $73184.76     | 0.06%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 367 116              | CUSIP: 31325XXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1091374 | PA      | $171195.79    | 0.14%             | 2050-06-15      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                  | PENSKE 4 1/8 08/01/23    | CUSIP: 709599BC7<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198947.58    | 0.17%             | 2023-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain Fuji U.S. CLO I                                    | BLUEM 2017-2A C          | CUSIP: 09629EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1721488.00   | 1.45%             | 2030-10-20      | Floating      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Light & Wonder (Scientific Games)                               | SGMS TL 1L USD           | CUSIP: 80875AAT8<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    248750 | PA      | $248838.31    | 0.21%             | 2029-04-07      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                         | ENIIM 4 09/12/23         | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    500000 | PA      | $496517.26    | 0.42%             | 2023-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2014-87 MS           | CUSIP: 3136AMKT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1272194 | PA      | $113646.19    | 0.10%             | 2045-01-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3652 CS              | CUSIP: 31398WY40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2500529 | PA      | $299426.90    | 0.25%             | 2040-03-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Ares XXXIIR Clo Ltd                                             | ARES 2014-32RA C         | CUSIP: 04017EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $460885.50    | 0.39%             | 2030-05-15      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2008-24 SP           | CUSIP: 31397LDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     52116 | PA      | $51537.82     | 0.04%             | 2038-02-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2020-86 TK           | CUSIP: 38382GCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  22019260 | PA      | $116902.45    | 0.10%             | 2048-08-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                  | BNP 4 3/8 09/28/25       | CUSIP: 05581KAA9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1002000 | PA      | $981849.30    | 0.83%             | 2025-09-28      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-68 NS           | CUSIP: 3136A7DH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    989824 | PA      | $54822.21     | 0.05%             | 2042-03-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 355 12               | CUSIP: 3136FCNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69350 | PA      | $10439.75     | 0.01%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                                          | ARMK 6 3/8 05/01/25      | CUSIP: 038522AR9<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |   2595000 | PA      | $2598827.63   | 2.19%             | 2025-05-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2011-11 PI           | CUSIP: 31397Q6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     74991 | PA      | $9815.45      | 0.01%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4340 TI              | CUSIP: 3137BAW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    196804 | PA      | $15589.02     | 0.01%             | 2039-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                | TEVA 6 04/15/24          | CUSIP: N8540WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    300000 | PA      | $299262.00    | 0.25%             | 2024-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 378 4                | CUSIP: 3136FEMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857696 | PA      | $170838.30    | 0.14%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners Clo Vii, Ltd                            | BSP 2017-12A C           | CUSIP: 08179HAD2<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1900708.00   | 1.60%             | 2030-10-15      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2444 TI              | CUSIP: 31392KWY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     89870 | PA      | $12414.63     | 0.01%             | 2032-05-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-15 CI           | CUSIP: 383742RH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1167825 | PA      | $48439.61     | 0.04%             | 2038-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-113 BS          | CUSIP: 38377J3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     80717 | PA      | $7681.51      | 0.01%             | 2040-09-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2950 SN              | CUSIP: 31395PXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    343423 | PA      | $21020.92     | 0.02%             | 2035-03-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 368 27               | CUSIP: 3136FCK96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133830 | PA      | $19903.95     | 0.02%             | 2035-11-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2463 SB              | CUSIP: 31392MTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    251096 | PA      | $21455.01     | 0.02%             | 2032-06-15      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Invesco Exchange Traded Fund Trust II                           | INVESCO FUNDAMENTAL HIGH | CUSIP: 46138E719<br>LEI: O540V2L4S174Y60FMD36 | Long             | EC               | RF                | US        |    169500 | NS      | $2983200.00   | 2.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3368 AI              | CUSIP: 31397KL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    227980 | PA      | $18304.26     | 0.02%             | 2037-09-15      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2019-1 LTD                                          | OAKCL 2019-1A D          | CUSIP: 67401XAJ0<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $877317.00    | 0.74%             | 2030-04-22      | Floating      | 8.62%                 | Yes           |                  2 | On Loan: No      |
| CARLYLE US CLO 2018-2 LTD                                       | CGMS 2018-2A C           | CUSIP: 14317PAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1841210.00   | 1.55%             | 2031-10-15      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-54 SA           | CUSIP: 3136B2XW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3410230 | PA      | $304484.80    | 0.26%             | 2048-08-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2004-70 XJ           | CUSIP: 31394A4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    310463 | PA      | $52288.08     | 0.04%             | 2034-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-87 KI           | CUSIP: 3136AYZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    290866 | PA      | $43652.58     | 0.04%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2009-66 SH           | CUSIP: 31396QR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    371362 | PA      | $22353.68     | 0.02%             | 2039-09-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 346 2                | CUSIP: 3136FCBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112283 | PA      | $21451.26     | 0.02%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-6 SD            | CUSIP: 383742HQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     93678 | PA      | $577.16       | 0.00%             | 2038-02-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Spdr Series Trust                                               | SPDR BLOOMBERG H         | CUSIP: 78468R622<br>LEI: 5493004JVD6CQEEJSS37 | Long             | EC               | RF                | US        |     31800 | NS      | $2977434.00   | 2.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-36 MI           | CUSIP: 38379JA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    371345 | PA      | $64127.01     | 0.05%             | 2045-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                         | BK 3.7 PERP              | CUSIP: 064058AJ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $928306.46    | 0.78%             | 2170-03-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Smbc Aviation Capital Finance                                   | SMBCAC 4 1/8 07/15/23    | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    400000 | PA      | $397375.65    | 0.33%             | 2023-07-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3117 JS              | CUSIP: 31396HV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     59467 | PA      | $5738.85      | 0.00%             | 2036-02-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2011-122 DS          | CUSIP: 3136A2YT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1699090 | PA      | $209453.23    | 0.18%             | 2041-12-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                 | DANBNK 3 7/8 09/12/23    | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    630000 | PA      | $624010.17    | 0.53%             | 2023-09-12      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 356 24               | CUSIP: 3136FCQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169307 | PA      | $28693.75     | 0.02%             | 2035-09-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 3.37 11/17/23          | CUSIP: 345397A78<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1302147.75   | 1.10%             | 2023-11-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-2 SM            | CUSIP: 38374DPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    168633 | PA      | $13045.95     | 0.01%             | 2038-01-16      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO VIII-R Ltd/Llc                                  | SNDPT 2015-1RA E         | CUSIP: 83607KAA6<br>LEI: 549300KI4IWVSJHIIT32 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $679841.00    | 0.57%             | 2030-04-15      | Floating      | 11.39%                | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-18 BF           | CUSIP: 31395B7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1546150 | PA      | $220309.57    | 0.19%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2019-41 SB           | CUSIP: 3136B5SN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    448221 | PA      | $52519.66     | 0.04%             | 2049-08-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 409 C18              | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403701 | PA      | $67792.21     | 0.06%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-27 SI           | CUSIP: 38374DSX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    138998 | PA      | $4632.22      | 0.00%             | 2038-03-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 238 8                | CUSIP: 31282YJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291755 | PA      | $47072.68     | 0.04%             | 2036-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                            | JPM 3.559 04/23/24       | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498152.31    | 0.42%             | 2024-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-51 SC           | CUSIP: 38375QU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    142437 | PA      | $8641.46      | 0.01%             | 2038-06-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-109 DI          | CUSIP: 31396XZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    209538 | PA      | $22413.15     | 0.02%             | 2037-12-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                            | CCL 7.2 10/01/23         | CUSIP: 143658AF9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1576000 | PA      | $1586073.38   | 1.34%             | 2023-10-01      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 365 4                | CUSIP: 3136FCZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590883 | PA      | $99714.83     | 0.08%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 18 LTD                                                 | ZAIS 2022-18A D1         | CUSIP: 98885NAL7<br>LEI: 549300PRQCSTFU7VEI08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $945387.00    | 0.80%             | 2035-01-25      | Floating      | 9.33%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 370 2                | CUSIP: 3136FEAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91952 | PA      | $21417.96     | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation | IEP 4 3/4 09/15/24       | CUSIP: 451102BW6<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1221875.00   | 1.03%             | 2024-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                           | WFC 1.654 06/02/24       | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    624000 | PA      | $616661.60    | 0.52%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 5086 HI              | CUSIP: 3137FFGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1102479 | PA      | $212175.79    | 0.18%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                  | OPI 4 1/4 05/15/24       | CUSIP: 81618TAE0<br>LEI: 529900WFAP4ROYDYS509 | Long             | DBT              | CORP              | US        |    440000 | PA      | $427023.38    | 0.36%             | 2024-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2018-154 IT          | CUSIP: 38381AWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    327041 | PA      | $60823.66     | 0.05%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 3.664 09/08/24         | CUSIP: 345397WW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    764000 | PA      | $736551.36    | 0.62%             | 2024-09-08      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 5112 IB              | CUSIP: 3137H0R91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1237665 | PA      | $175976.29    | 0.15%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2013-103 JS          | CUSIP: 3136AGNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    300354 | PA      | $28208.20     | 0.02%             | 2043-10-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                              | ETP 3.6 02/01/23         | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    401000 | PA      | $401000.00    | 0.34%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2016-39 LS           | CUSIP: 3136ASU38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    485587 | PA      | $67407.22     | 0.06%             | 2046-07-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                       | GS 3 3/8 12/21/23        | CUSIP: 38150AN43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    750000 | PA      | $732850.14    | 0.62%             | 2023-12-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2802 SI              | CUSIP: 31394YQF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    629692 | PA      | $38932.83     | 0.03%             | 2034-05-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 221 IO               | CUSIP: 31282YDE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131736 | PA      | $25317.64     | 0.02%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Corporation                                       | FHN 3.55 05/26/23        | CUSIP: 320517AC9<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |   1463000 | PA      | $1456817.74   | 1.23%             | 2023-05-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2017-99 DI           | CUSIP: 38380F5B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    354021 | PA      | $26394.58     | 0.02%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2009-112 ST          | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    109704 | PA      | $9812.99      | 0.01%             | 2040-01-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2581 IL              | CUSIP: 31393LYB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    247994 | PA      | $35974.96     | 0.03%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-51 SE           | CUSIP: 38375QV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    169657 | PA      | $12630.30     | 0.01%             | 2038-06-16      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4583 TI              | CUSIP: 3137BPDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9874245 | PA      | $33268.31     | 0.03%             | 2046-05-15      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                          | CWALT 2007-J1 3A2        | CUSIP: 02149MCJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55370 | PA      | $51206.53     | 0.04%             | 2036-11-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-170 ID          | CUSIP: 38378U7B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    419172 | PA      | $40419.48     | 0.03%             | 2040-02-20      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Danone SA                                                       | BNFP 2.589 11/02/23      | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $490465.43    | 0.41%             | 2023-11-02      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 233 5                | CUSIP: 31282YEC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203284 | PA      | $26781.87     | 0.02%             | 2035-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                  | BRITEL 4 1/2 12/04/23    | CUSIP: 111021AM3<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $496734.51    | 0.42%             | 2023-12-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4471 JI              | CUSIP: 3137BJH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    439319 | PA      | $81472.23     | 0.07%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ishares Trust                                                   | ISHR 1-5Y INV GR         | CUSIP: 464288646<br>LEI: 5493000860OXIC4B5K91 | Long             | EC               | RF                | US        |     52800 | NS      | $2674848.00   | 2.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-103 TI          | CUSIP: 3136A8ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1522374 | PA      | $282924.65    | 0.24%             | 2042-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-125 SM          | CUSIP: 31396PDC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     55333 | PA      | $5678.19      | 0.00%             | 2037-01-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust 2011-2                                    | VENDE 2011-2 IO          | CUSIP: 92262BAG0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   5926239 | PA      | $67301.33     | 0.06%             | 2041-10-15      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4291 MS              | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    240498 | PA      | $20692.41     | 0.02%             | 2054-01-15      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| MKS Instruments                                                 | MKSI TL B 1L USD         | CUSIP: 55314NAS3<br>LEI: 549300KEQATBHAGVF505 | Long             | LON              | CORP              | US        |    498750 | PA      | $498971.94    | 0.42%             | 2029-04-11      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc                                             | DAL 2.9 10/28/24         | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1121984.00   | 0.95%             | 2024-10-28      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-139 SA          | CUSIP: 31398SWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    404757 | PA      | $36062.24     | 0.03%             | 2040-12-25      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                      | AMT 5 02/15/24           | CUSIP: 03027XAD2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499864.41    | 0.42%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2011-148 SN          | CUSIP: 38378AQF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    396429 | PA      | $46401.24     | 0.04%             | 2041-11-16      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Swedbank AB (publ)                                              | SWEDA 0.6 09/25/23       | CUSIP: 87020PAL1<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    500000 | PA      | $485533.11    | 0.41%             | 2023-09-25      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-4 SM            | CUSIP: 38379TU80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    523862 | PA      | $42442.18     | 0.04%             | 2046-01-20      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 5136 IJ              | CUSIP: 3137H1QP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    586098 | PA      | $68892.74     | 0.06%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 5.584 03/18/24         | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    175000 | PA      | $173952.42    | 0.15%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 386 9                | CUSIP: 3136FFSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121087 | PA      | $24555.02     | 0.02%             | 2038-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG New York Branch                                | DB 2.222 09/18/24        | CUSIP: 251526CC1<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    400000 | PA      | $391556.75    | 0.33%             | 2024-09-18      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Air Liquide Finance                                             | AIFP 2 1/4 09/27/23      | CUSIP: 00913RAC0<br>LEI: 549300YGXL5Z3R14K812 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $196258.50    | 0.17%             | 2023-09-27      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2014-58 SA           | CUSIP: 38379BRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    214661 | PA      | $23252.20     | 0.02%             | 2044-04-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Penske Automotive Group, Inc.                                   | PAG 3 1/2 09/01/25       | CUSIP: 70959WAJ2<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1521820.88   | 1.28%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 386 7                | CUSIP: 3136FFSJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149289 | PA      | $29099.99     | 0.02%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                             | ALLY 3.05 06/05/23       | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    500000 | PA      | $496424.49    | 0.42%             | 2023-06-05      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4451 DI              | CUSIP: 3137BHBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    251439 | PA      | $17631.79     | 0.01%             | 2039-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 371 2                | CUSIP: 3136FCP75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616881 | PA      | $131180.40    | 0.11%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ball Corporation                                                | BLL 4 11/15/23           | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345500.75    | 0.29%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ozlm Xxiv Ltd /  Llc                                            | OZLM 2019-24A C2         | CUSIP: 67113DAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2150000 | PA      | $1894332.75   | 1.60%             | 2032-07-20      | Floating      | 9.07%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-74 MI           | CUSIP: 3136B3JA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    129575 | PA      | $25386.68     | 0.02%             | 2048-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD          | FHR 3055 MS              | CUSIP: 31396CVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    926862 | PA      | $88009.47     | 0.07%             | 2035-10-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| General Electric Company                                        | GE FLOAT PERP            | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    750000 | PA      | $750375.00    | 0.63%             | 2169-06-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 324 C24              | CUSIP: 31325VBU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327870 | PA      | $247373.88    | 0.21%             | 2043-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                  | C 5.95 PERP              | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    628000 | PA      | $634594.00    | 0.53%             | 2167-07-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-36 SN           | CUSIP: 31396VQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    233472 | PA      | $25276.88     | 0.02%             | 2037-04-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 408 C4               | CUSIP: 3136FG6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093738 | PA      | $214010.66    | 0.18%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Airlines (AA Advantage Loyalty)                        | AAL TL 1L USD            | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1000000 | PA      | $1028435.00   | 0.87%             | 2028-03-10      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-106 SN          | CUSIP: 31396XD92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    111261 | PA      | $10533.90     | 0.01%             | 2037-11-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./PAA Finance Corp.             | PAA 3.85 10/15/23        | CUSIP: 72650RBD3<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $990112.96    | 0.83%             | 2023-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                         | BPCEGP 5.15 07/21/24     | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    850000 | PA      | $840958.35    | 0.71%             | 2024-07-21      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 377 2                | CUSIP: 3136FC5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153497 | PA      | $28532.41     | 0.02%             | 2036-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa2                                              | BCAP 2007-AA2 21IO       | CUSIP: 05530NBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2536581 | PA      | $28874.16     | 0.02%             | 2037-04-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| Cornerstone OnDemand                                            | CSOD TL B 1L USD         | CUSIP: 86803YAB9<br>LEI: 549300Z402F16H5EGH48 | Long             | LON              | CORP              | US        |   1240625 | PA      | $1146027.34   | 0.97%             | 2028-09-21      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| ILFC E-Capital Trust I                                          | AER Float 12/21/65       | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $323750.00    | 0.27%             | 2065-12-21      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 5174 NI              | CUSIP: 3137H4MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1153885 | PA      | $201837.24    | 0.17%             | 2051-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-89 AI           | CUSIP: 31398TPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5751169 | PA      | $21386.87     | 0.02%             | 2038-02-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3303 SG              | CUSIP: 31397GQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    227025 | PA      | $20108.92     | 0.02%             | 2037-04-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                         | BPCEGP 5.7 10/22/23      | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $399841.33    | 0.34%             | 2023-10-22      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Pennsylvania Electric Company                                   | FE 4.15 04/15/25         | CUSIP: 708696BX6<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    265000 | PA      | $255263.75    | 0.22%             | 2025-04-15      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Ginnie Mae                                                      | GNR 2018-8 IO            | CUSIP: 38380UPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    341572 | PA      | $63963.92     | 0.05%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 261 IO               | CUSIP: 31325TGU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165948 | PA      | $25154.16     | 0.02%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-95 DS           | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     70260 | PA      | $3320.42      | 0.00%             | 2038-12-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Mkt Strategies Clo 2013-4 Ltd                    | CGMS 2013-4A CRR         | CUSIP: 14310KAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240402.00    | 0.20%             | 2031-01-15      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Greenwood Pk Clo Ltd                                            | GRNPK 2018-1A D          | CUSIP: 39729RAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1363125.00   | 1.15%             | 2031-04-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-133 SB          | CUSIP: 38377MHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1265206 | PA      | $124576.14    | 0.10%             | 2040-10-16      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3758 S               | CUSIP: 3137A3G45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    170909 | PA      | $14562.75     | 0.01%             | 2040-11-15      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Columbia Cent Clo 28 Ltd                                        | CECLO 2018-28A C         | CUSIP: 197361AL2<br>LEI: 549300K7BI8XA1XTMK83 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $924998.00    | 0.78%             | 2030-11-07      | Floating      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2014-146 EI          | CUSIP: 38379GTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1598958 | PA      | $316773.49    | 0.27%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2009-43 SA           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    121853 | PA      | $4431.17      | 0.00%             | 2039-06-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 2524 SX              | CUSIP: 31392XY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     44967 | PA      | $4686.67      | 0.00%             | 2032-11-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 4583 ST              | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    253019 | PA      | $30410.46     | 0.03%             | 2046-05-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-64 SG           | CUSIP: 38379PD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    521675 | PA      | $42237.86     | 0.04%             | 2045-05-20      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                               | CCI 3.15 07/15/23        | CUSIP: 22822VAJ0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99250.25     | 0.08%             | 2023-07-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-89 SA           | CUSIP: 3136A7U91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    989599 | PA      | $57470.37     | 0.05%             | 2042-08-25      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-22 SA           | CUSIP: 38381RDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    605811 | PA      | $67465.15     | 0.06%             | 2045-02-20      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2014-68 IB           | CUSIP: 3136ALRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    107204 | PA      | $11707.03     | 0.01%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding IX CLO                                            | CEDF 2018-9A D           | CUSIP: 15033EAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1318686.60   | 1.11%             | 2031-04-20      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2014-91 SB           | CUSIP: 38379CPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    395730 | PA      | $31991.11     | 0.03%             | 2044-06-16      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| First Citizens BancShares Inc (Delaware)                        | FCNCA 5.8 PERP           | CUSIP: 31959XAA1<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1009089.10   | 0.85%             | 2170-06-15      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2020-47 MI           | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1617040 | PA      | $255830.45    | 0.22%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3239 SI              | CUSIP: 31397CW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    113724 | PA      | $11305.92     | 0.01%             | 2036-11-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Corporation of Michigan                       | CACC 5 1/8 12/31/24      | CUSIP: 225310AN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1021000 | PA      | $956690.55    | 0.81%             | 2024-12-31      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-72 EK           | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     97905 | PA      | $9575.09      | 0.01%             | 2037-07-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-88 MI           | CUSIP: 31396XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    752927 | PA      | $75183.10     | 0.06%             | 2037-09-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                              | BA 1.95 02/01/24         | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484974.83    | 0.41%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 383 20               | CUSIP: 3136FFNR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94008 | PA      | $16268.81     | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 3 3/8 11/13/25         | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $1016807.04   | 0.86%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                      | ACGCAP 4 3/8 01/30/24    | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    545000 | PA      | $534380.35    | 0.45%             | 2024-01-30      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2020-10 S            | CUSIP: 3136B9AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1194850 | PA      | $110711.38    | 0.09%             | 2059-05-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2015-33 OI           | CUSIP: 3136APCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    276797 | PA      | $37196.79     | 0.03%             | 2045-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 3.81 01/09/24          | CUSIP: 345397YG2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    850000 | PA      | $834287.75    | 0.70%             | 2024-01-09      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 247 24               | CUSIP: 3128HUFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    495700 | PA      | $87427.81     | 0.07%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-5 BI            | CUSIP: 38378FPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    136019 | PA      | $23910.98     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-66 AS           | CUSIP: 31396WXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    119457 | PA      | $9162.66      | 0.01%             | 2037-07-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Ssga Active Etf Trust                                           | SPDR BLACKSTONE          | CUSIP: 78467V608<br>LEI: 549300MAXSRPQ75ICU67 | Long             | EC               | RF                | US        |     28100 | NS      | $1182729.00   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 407 40               | CUSIP: 3136FG4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539769 | PA      | $109573.69    | 0.09%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-84 IG           | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    356389 | PA      | $71743.40     | 0.06%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties 2 L.P.                                          | VICI 4 5/8 06/15/25      | CUSIP: 55303XAK1<br>LEI: 549300U6G4UOCMLQK204 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1652015.81   | 1.39%             | 2025-06-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHR 3935 SH              | CUSIP: 3137AGTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    932942 | PA      | $30910.16     | 0.03%             | 2040-12-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2005-89 S            | CUSIP: 31394FUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    136667 | PA      | $10884.85     | 0.01%             | 2035-10-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-4 ID            | CUSIP: 38378FNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1197391 | PA      | $241740.49    | 0.20%             | 2042-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2005-87 SE           | CUSIP: 31394FV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     77322 | PA      | $5274.25      | 0.00%             | 2035-10-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                      | ACACN TL B 1L USD        | CUSIP: C0102MAP0<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | US        |    995000 | PA      | $997661.63    | 0.84%             | 2028-07-27      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-27 IA           | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     93166 | PA      | $11137.38     | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                           | SOCGEN 5 01/17/24        | CUSIP: 83367TBG3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    140000 | PA      | $138964.76    | 0.12%             | 2024-01-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2021-78 QI           | CUSIP: 38382TBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    686577 | PA      | $91476.87     | 0.08%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-8 WN            | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     23933 | PA      | $2471.14      | 0.00%             | 2036-03-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-126 IO          | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    991404 | PA      | $149175.19    | 0.13%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2011-96 SA           | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    463491 | PA      | $32546.10     | 0.03%             | 2041-10-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                      | AER 1.15 10/29/23        | CUSIP: 00774MAT2<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    500000 | PA      | $485319.81    | 0.41%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-81 IM           | CUSIP: 38379YPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     99022 | PA      | $8309.19      | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Airlines                                                 | UAL TL B 1L USD          | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |   1967462 | PA      | $1971131.70   | 1.66%             | 2028-04-14      | Variable      | 8.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2001-32 SA           | CUSIP: 313920FS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     90174 | PA      | $4414.86      | 0.00%             | 2031-07-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                               | FE 2.05 03/01/25         | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $141085.20    | 0.12%             | 2025-03-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                        | SVC 4.65 03/15/24        | CUSIP: 44106MAS1<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1914920.00   | 1.61%             | 2024-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 365 C10              | CUSIP: 31325XUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683708 | PA      | $123878.37    | 0.10%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison, Inc.                                       | ED 0.65 12/01/23         | CUSIP: 209115AE4<br>LEI: 54930033SBW53OO8T749 | Long             | DBT              | CORP              | US        |    250000 | PA      | $241094.29    | 0.20%             | 2023-12-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | FHS 365 121              | CUSIP: 31325XKX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779805 | PA      | $121491.40    | 0.10%             | 2047-10-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 384 28               | CUSIP: 3136FEU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168300 | PA      | $32448.95     | 0.03%             | 2036-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Dryden 37 Senior Loan Fund                                      | DRSLF 2015-37A ER        | CUSIP: 26249MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1233724.50   | 1.04%             | 2031-01-15      | Floating      | 9.94%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-77 DI           | CUSIP: 38375GAJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    513229 | PA      | $37408.50     | 0.03%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Stellantis N.V                                                  | FCAIM 5 1/4 04/15/23     | CUSIP: 31562QAF4<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $500432.50    | 0.42%             | 2023-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2017-68 CI           | CUSIP: 38376UT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    219827 | PA      | $40110.05     | 0.03%             | 2047-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Tower Trust I                                          | AMETOW 3.07 03/15/23     | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $846408.24    | 0.71%             | 2023-03-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

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

**Signature:** Laura Szalyga

**Name of Signer:** Laura Szalyga

**Title:** Treasurer