# EDGAR Filing Document

**Accession Number:** 0001612930
**File Stem:** 0001193125-26-136729
**Filing Date:** 2026-4
**Character Count:** 440811
**Document Hash:** 88acc50e58f98d4de7d34c835b0c2e5c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-136729.hdr.sgml**: 20260401

**ACCESSION NUMBER**: 0001193125-26-136729

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260401

**DATE AS OF CHANGE**: 20260401

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Angel Oak Funds Trust
- **CENTRAL INDEX KEY:** 0001612930

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22980
- **FILM NUMBER:** 26826799

**BUSINESS ADDRESS:**
- **STREET 1:** ANGEL OAK CAPITAL ADVISORS, LLC
- **STREET 2:** 980 HAMMOND DRIVE, SUITE 200
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30328
- **BUSINESS PHONE:** 404-953-4900

**MAIL ADDRESS:**
- **STREET 1:** ANGEL OAK CAPITAL ADVISORS, LLC
- **STREET 2:** 980 HAMMOND DRIVE, SUITE 200
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30328

## Series and Classes Contracts Data

### Angel Oak Multi-Strategy Income Fund (Series ID: S000048360)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000152733 | Class A             | ANGLX           |
| C000152734 | Institutional Class | ANGIX           |
| C000159180 | Class C             | ANGCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 980 Hammond Drive

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30328

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

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

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

- **b. EDGAR series identifier (if any):** S000048360

- **c. LEI of Series:** 549300CILF354466HZ11

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2026-01-31

**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:** $2828469846.06

**Total Liabilities:** $188440382.25

**Net Assets:** $2640029463.81

**Delayed Delivery Securities:** $64033319.28

**Cash Not Reported:** $7148758.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2237.724040533424 | **1-Year:** 31042.207226073242 | **5-Year:** -53925.834694941994 | **10-Year:** 293981.753504989000 | **30-Year:** 33314.426726279170

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

- **3-Month:** 5925.538263376940 | **1-Year:** 78320.362293204980 | **5-Year:** 233724.926721780700 | **10-Year:** 176302.332245364500 | **30-Year:** 55154.896144758610

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152733 | 0.55%                | 0.26%                | 0.47%                |
| Class ID C000152734 | 0.57%                | 0.28%                | 0.61%                |
| Class ID C000159180 | 0.50%                | 0.20%                | 0.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4818095.60             | $8787653.52                                |
| Month 2  | $-1684981.32             | $-2977001.63                               |
| Month 3  | $1195486.34              | $2940087.69                                |

**Designated Index Information**

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

- **Index Identifier:** Q3RXYJ7DJO

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Silver Point CLO, Ltd            | Silver Point CLO 10 Ltd                                                          | CUSIP: 827920AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3015960.00   | 0.11%             | 2038-07-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS         | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed   | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2190000 | PA      | $2112148.35   | 0.08%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET         | Smyrna Ready Mix Concrete LLC                                                    | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2122703.15   | 0.08%             | 2031-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD              | Sound Point Clo 2025-2 Ltd                                                       | CUSIP: 83617PAJ4<br>LEI: 254900EAOCKFK910QE14 | Long             | ABS-CBDO         | CORP              | KY        |   6875000 | PA      | $6969173.75   | 0.26%             | 2038-04-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| SOUTH ST SEC FUND LLC            | South Street Securities Funding LLC                                              | CUSIP: 84046SAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000664.78   | 0.04%             | 2026-12-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI         | Standard Building Solutions Inc                                                  | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1238174.40   | 0.05%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87188 | PA      | $84115.27     | 0.00%             | 2065-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170000 | PA      | $3913948.50   | 0.15%             | 2056-06-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2902000 | PA      | $2394193.53   | 0.09%             | 2056-06-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-5                                       | CUSIP: 85573QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6478263 | PA      | $5761527.31   | 0.22%             | 2066-09-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105859.10    | 0.00%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1261500.00   | 0.05%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VOLTAGRID LLC                    | VoltaGrid LLC                                                                    | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1053911.40   | 0.04%             | 2030-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAU8<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2746510.24   | 0.10%             | 2031-01-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1758179.50   | 0.07%             | 2031-04-19      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT         | Western Midstream Operating LP                                                   | CUSIP: 04041NAA0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    450000 | PA      | $479104.97    | 0.02%             | 2030-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2344443 | PA      | $1661199.90   | 0.06%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566000 | PA      | $751124.07    | 0.03%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-5                                                       | CUSIP: 749384AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5350471 | PA      | $4548317.86   | 0.17%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9256925 | PA      | $7161157.19   | 0.27%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5197193 | PA      | $3798238.58   | 0.14%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245000 | PA      | $1015662.70   | 0.04%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FJ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12478292 | PA      | $76404.58     | 0.00%             | 2045-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49242914 | PA      | $3545.49      | 0.00%             | 2047-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54120878 | PA      | $15965.66     | 0.00%             | 2047-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd          | Warwick Capital CLO 6 Ltd                                                        | CUSIP: 93656EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2015052.00   | 0.08%             | 2038-07-20      | Fixed         | 8.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage   | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust   | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183 | PA      | $143.48       | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440506 | PA      | $2219764.69   | 0.08%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR8 Trust | CUSIP: 93935LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10125722 | PA      | $132484.94    | 0.01%             | 2046-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA4 Trust | CUSIP: 93936MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17152588 | PA      | $57889.98     | 0.00%             | 2047-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1139933.15   | 0.04%             | 2049-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-17 Trust                             | CUSIP: 94986QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14392 | PA      | $9258.80      | 0.00%             | 2038-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2025-VTT                                   | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $5179600.40   | 0.20%             | 2038-03-15      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-4 Trust                              | CUSIP: 95002FBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124000 | PA      | $1389127.86   | 0.05%             | 2049-09-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818000 | PA      | $984276.11    | 0.04%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011000 | PA      | $504939.91    | 0.02%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1454650 | PA      | $1140447.18   | 0.04%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158000 | PA      | $543818.80    | 0.02%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNF4<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |  11052530 | PA      | $10899784.41  | 0.41%             | 2059-07-25      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNG2<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6455987 | PA      | $6290268.27   | 0.24%             | 2059-07-25      | Floating      | 10.20%                | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNH0<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $6546837.00   | 0.25%             | 2059-07-25      | Floating      | 12.20%                | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-1                                              | CUSIP: 97652PAY7<br>LEI: 5493002CYMIHYUBDIR84 | Long             | ABS-MBS          | CORP              | US        |   2370000 | PA      | $1871107.89   | 0.07%             | 2044-06-20      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-2                                              | CUSIP: 97652QBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938000 | PA      | $1587815.03   | 0.06%             | 2044-09-20      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| XCAL 2019-IL-1 Mortgage Trust    | XCAL 2019-IL-1 MORTGAGE TRUST                                                    | CUSIP: 98370LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5129931 | PA      | $518.12       | 0.00%             | 2026-11-06      | Floating      | 19.45%                | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98370NAA3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   3950000 | PA      | $3947981.55   | 0.15%             | 2026-04-06      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98373XAQ3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   1788000 | PA      | $1824149.78   | 0.07%             | 2026-04-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SAVANNAH GRAND                   | SAVANNAH GRAND                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3111177 | PA      | $3105231.50   | 0.12%             | 2026-03-31      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| MECHANICS BANCORP                | Mechanics Bancorp                                                                | CUSIP: 43785VAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $742687.50    | 0.03%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                | MFA Financial Inc                                                                | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52942 | NS      | $1228254.40   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                       | MFA 2021-INV2 Trust                                                              | CUSIP: 552732AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3540588.00   | 0.13%             | 2056-11-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2913 | PA      | $0.03         | 0.00%             | 2033-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4106000 | PA      | $3566561.93   | 0.14%             | 2060-07-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3857521.50   | 0.15%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9522417 | PA      | $3760583.54   | 0.14%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403 | PA      | $0.00         | 0.00%             | 2037-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XIX Ltd         | Marble Point CLO XIX Ltd                                                         | CUSIP: 56607KBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3034893.00   | 0.11%             | 2038-10-19      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIV Ltd        | Marble Point Clo XXIV Ltd                                                        | CUSIP: 56607XAA4<br>LEI: 549300110Z5KVNWF6X83 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3000000.00   | 0.11%             | 2035-04-20      | Floating      | 11.85%                | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2025-1                                                    | CUSIP: 570920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1515219.90   | 0.06%             | 2035-07-16      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2024-1                                                    | CUSIP: 57108VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $513269.05    | 0.02%             | 2034-07-17      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-2                                                    | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22640000 | PA      | $23132879.59  | 0.88%             | 2033-06-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2022-3                                                    | CUSIP: 57109NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3356911 | PA      | $3398740.20   | 0.13%             | 2032-11-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-1                                                    | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12199303.20  | 0.46%             | 2033-04-15      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    836972 | PA      | $772288.96    | 0.03%             | 2035-09-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2004-6                                              | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72033 | PA      | $59746.46     | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2005-2                                          | CUSIP: 57643MLN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9677 | PA      | $5641.40      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495ES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1008326 | PA      | $794633.78    | 0.03%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799000 | PA      | $1389301.14   | 0.05%             | 2048-03-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499000 | PA      | $1073206.05   | 0.04%             | 2048-03-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120595 | PA      | $918865.27    | 0.03%             | 2051-12-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| MERCER INTL INC                  | Mercer International Inc                                                         | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $866296.62    | 0.03%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2003-OPT1                          | CUSIP: 5899295M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558243 | PA      | $1284202.62   | 0.05%             | 2034-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF1                           | CUSIP: 59023RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610662 | PA      | $588211.98    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS           | Methanex US Operations Inc                                                       | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2156516.34   | 0.08%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC          | Millrose Properties Inc                                                          | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1062219.60   | 0.04%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC            | Molina Healthcare Inc                                                            | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1048044.40   | 0.04%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $415332.32    | 0.02%             | 2045-03-20      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $518347.71    | 0.02%             | 2045-03-20      | Fixed         | 11.24%                | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO           | Monroe Capital Mml Clo XII Ltd                                                   | CUSIP: 61034VAL7<br>LEI: 549300015LLKJVT5UL74 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2012380.00   | 0.08%             | 2033-09-14      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |  11102573 | PA      | $9945307.33   | 0.38%             | 2037-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2014-150E                                         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3040000 | PA      | $2755532.00   | 0.10%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2024-BPR2                                         | CUSIP: 61776EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2598288 | PA      | $2730873.51   | 0.10%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP              | Medline Borrower LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1583741.44   | 0.06%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM2 Trust                                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1709057 | PA      | $1450090.73   | 0.05%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J2 Trust                                                                | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1479327 | PA      | $1244115.70   | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM1 Trust                                                              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866081 | PA      | $762427.07    | 0.03%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM4 Trust                                                              | CUSIP: 67115DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719077 | PA      | $1489577.01   | 0.06%             | 2061-10-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                    | OFSI BSL XVI CLO Ltd                                                             | CUSIP: 67123NAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3000000.00   | 0.11%             | 2039-03-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Obra CLO Ltd                     | Obra CLO 2 Ltd                                                                   | CUSIP: 674436AL4<br>LEI: 254900MMN4MOZ34WUC71 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011042.00   | 0.08%             | 2038-07-20      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J3 Trust                                                                | CUSIP: 67448XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1749780.00   | 0.07%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                 | Ocean Trails CLO XIV Ltd                                                         | CUSIP: 67515JAU9<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |   5940000 | PA      | $5974024.32   | 0.23%             | 2038-01-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Octagon Investments Partners 3   | Octagon Investment Partners 36 Ltd                                               | CUSIP: 67591UAJ6<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2506340.00   | 0.09%             | 2031-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust         | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715000 | PA      | $910752.47    | 0.03%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                        | Olin Corp                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1049846.26   | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP             | OneMain Finance Corp                                                             | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2136112.82   | 0.08%             | 2031-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Funding Trust 2024-3                                                     | CUSIP: 68377NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4353697.97   | 0.16%             | 2029-08-15      | Fixed         | 9.60%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649474 | PA      | $643970.26    | 0.02%             | 2031-10-08      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-B                                                    | CUSIP: 68378QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2018906.60   | 0.08%             | 2033-05-09      | Fixed         | 9.40%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-C                                                    | CUSIP: 68378RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $998651.70    | 0.04%             | 2033-07-08      | Fixed         | 9.20%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-D                                                    | CUSIP: 68379HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $499517.65    | 0.02%             | 2033-02-08      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C         | Outfront Media Capital LLC / Outfront Media Capital Corp                         | CUSIP: 69007TAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1074698.90   | 0.04%             | 2030-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                   | Owens-Brockway Glass Container Inc                                               | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2099125.58   | 0.08%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PBF HOLDING CO LLC               | PBF Holding Co LLC / PBF Finance Corp                                            | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $999304.40    | 0.04%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-8                                              | CUSIP: 694956AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3269302.08   | 0.12%             | 2033-07-15      | Fixed         | 9.56%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-3                                            | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417400 | PA      | $412563.76    | 0.02%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1996972 | PA      | $1885914.91   | 0.07%             | 2032-06-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | PAGAYA AI Debt Trust 2022-2                                                      | CUSIP: 69546VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2459516 | PA      | $2466143.19   | 0.09%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-5                                            | CUSIP: 69547EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    476634 | PA      | $472289.26    | 0.02%             | 2029-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-1                                            | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487461 | PA      | $484723.44    | 0.02%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-11                                             | CUSIP: 69548EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1749799 | PA      | $1632302.96   | 0.06%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-6 And Pagaya AI Debt Trust 2024-6              | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256042 | PA      | $259999.94    | 0.01%             | 2031-11-15      | Fixed         | 11.35%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust                                                   | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1247915 | PA      | $1280614.97   | 0.05%             | 2031-12-15      | Fixed         | 10.89%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya Ai Debt Grantor Trust 2025-6                                              | CUSIP: 69549CAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $971447.00    | 0.04%             | 2033-04-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-7                                              | CUSIP: 69549DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003028.30   | 0.04%             | 2033-05-15      | Fixed         | 8.89%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd   | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3260000 | PA      | $3278464.64   | 0.12%             | 2031-04-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER            | Panther Escrow Issuer LLC                                                        | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1968342.86   | 0.07%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PennyMac Mortgage Investment T   | PennyMac Mortgage Investment Trust                                               | CUSIP: 70931T103<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EC               | CORP              | US        |     81182 | NS      | $960383.06    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $866609.28    | 0.03%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    800000 | PA      | $790756.22    | 0.03%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I         | Performance Food Group Inc                                                       | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $881884.98    | 0.03%             | 2029-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE         | Perrigo Finance Unlimited Co                                                     | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   2090000 | PA      | $2057389.52   | 0.08%             | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1519611 | PA      | $1312209.85   | 0.05%             | 2061-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784782 | PA      | $1744214.18   | 0.07%             | 2050-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26202262 | PA      | $2990909.64   | 0.11%             | 2050-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3153250 | PA      | $2906237.01   | 0.11%             | 2052-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011000 | PA      | $1839638.67   | 0.07%             | 2052-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2211115 | PA      | $2096678.92   | 0.08%             | 2052-02-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  88898274 | PA      | $856090.38    | 0.03%             | 2052-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG4                                | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4103265 | PA      | $4239920.36   | 0.16%             | 2053-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-LOC5                                | CUSIP: 79581XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3029000 | PA      | $3056715.35   | 0.12%             | 2055-10-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG3                                | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2604488 | PA      | $2651007.00   | 0.10%             | 2053-08-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8899231 | PA      | $8905949.92   | 0.34%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1254756.25   | 0.05%             | 2030-01-25      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449524 | PA      | $1458823.95   | 0.06%             | 2051-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-SEQ3                                | CUSIP: 79582GAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4304871.75   | 0.16%             | 2053-06-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Fund Trust 2022-SG2                                                 | CUSIP: 79583QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15066720.00  | 0.57%             | 2052-05-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79584QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38061600 | PA      | $35971256.93  | 1.36%             | 2052-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL2                                | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6267762 | PA      | $6289059.96   | 0.24%             | 2030-05-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2024-A                            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    932063 | PA      | $961617.88    | 0.04%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                 | Sculptor CLO XXIX Ltd                                                            | CUSIP: 81124EAW0<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5049175.00   | 0.19%             | 2038-07-22      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                 | Sculptor CLO XXVI Ltd                                                            | CUSIP: 81124TAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2616465.80   | 0.10%             | 2038-01-20      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORP                     | Seaspan Corp                                                                     | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |   1100000 | PA      | $1047163.61   | 0.04%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC         | Sensata Technologies Inc                                                         | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $938794.80    | 0.04%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2005-2                                                    | CUSIP: 81744FHD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2622125 | PA      | $0.00         | 0.00%             | 2035-03-20      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-8                                                    | CUSIP: 81749NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2802365 | PA      | $2670017.82   | 0.10%             | 2054-09-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462218 | PA      | $431363.90    | 0.02%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust   | Shellpoint Asset Funding Trust 2013-1                                            | CUSIP: 822804AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782566 | PA      | $695441.32    | 0.03%             | 2043-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| OCTAVIA US                       | OCTAVIA US                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     80038 | NS      | $10089000.04  | 0.38%             |  |  |  | No            |                  3 | On Loan: No      |
| IP 2025-IP Mortgage Trust        | IP 2025-IP Mortgage Trust                                                        | CUSIP: 449843AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $763460.25    | 0.03%             | 2042-06-10      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR2                                        | CUSIP: 45660LCT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8239544 | PA      | $0.00         | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR4                                        | CUSIP: 45660LEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10185388 | PA      | $126614.56    | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR8                                        | CUSIP: 45660LJN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13732975 | PA      | $137.33       | 0.00%             | 2035-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR12                                       | CUSIP: 45660LML0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35818843 | PA      | $358.19       | 0.00%             | 2035-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR14                                       | CUSIP: 45660LSB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16827872 | PA      | $13596.92     | 0.00%             | 2035-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR16IP                                     | CUSIP: 45660LUG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9333945 | PA      | $4452.29      | 0.00%             | 2045-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566880 | PA      | $2796951.16   | 0.11%             | 2036-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2007-AR9                                        | CUSIP: 45669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735297 | PA      | $1706625.48   | 0.06%             | 2037-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                  | Invesco US CLO 2023-4 Ltd                                                        | CUSIP: 46091XAE0<br>LEI: 254900CLWY1AN9F4PD86 | Long             | ABS-CBDO         | CORP              | JE        |   6100000 | PA      | $6100000.00   | 0.23%             | 2037-01-18      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Invesco Senior Loan ETF          | Invesco Senior Loan ETF                                                          | CUSIP: 46138G508<br>LEI: 549300SIHU6DQELRNG59 | Long             | EC               | RF                | US        |    481927 | NS      | $9995165.98   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Invitation Homes Trust           | Invitation Homes 2024-SFR1 Trust                                                 | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2992496 | PA      | $2949859.01   | 0.11%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351770 | PA      | $320747.31    | 0.01%             | 2051-03-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150672 | PA      | $1125166.92   | 0.04%             | 2051-03-25      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                | Redwood Trust Inc                                                                | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |    238507 | NS      | $1307018.36   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| STARWOOD PROPERTY TRUST          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBG9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1064508.90   | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2167806 | PA      | $2080562.74   | 0.08%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage    | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743000 | PA      | $2446843.78   | 0.09%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-6                                       | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3921000 | PA      | $2930449.53   | 0.11%             | 2066-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| STENA INTERNATIONAL SA           | Stena International SA                                                           | CUSIP: 85858EAD5<br>LEI: 213800A4LTGG4W55QP46 | Long             | DBT              | CORP              | LU        |   1925000 | PA      | $1979231.66   | 0.07%             | 2031-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Stone Street Receivables Fundi   | Stone Street Receivables Funding 2015-1 LLC                                      | CUSIP: 86175EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    454787 | PA      | $411242.86    | 0.02%             | 2054-12-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| STONEBRIAR ABF LLC               | Stonebriar ABF Issuer LLC                                                        | CUSIP: 86177CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $530111.85    | 0.02%             | 2030-12-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC         | Stonex Escrow Issuer LLC                                                         | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1992703.77   | 0.08%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STRIKE ACCEPTANCE AUTO FUNDING   | Strike Acceptance Auto Funding Trust 2023-1                                      | CUSIP: 862942AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    832966 | PA      | $836768.32    | 0.03%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2938162 | PA      | $29.38        | 0.00%             | 2034-03-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR7                          | CUSIP: 86359LFQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4768480 | PA      | $28391.53     | 0.00%             | 2035-04-19      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR2                          | CUSIP: 86359LHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6263472 | PA      | $8518.32      | 0.00%             | 2045-05-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR3                          | CUSIP: 86359LKC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8028730 | PA      | $13432.07     | 0.00%             | 2035-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9976517 | PA      | $107486.99    | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34687588 | PA      | $26223.82     | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21027480 | PA      | $702654.27    | 0.03%             | 2036-08-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Tr   | Sunbit Asset Securitization Trust 2025-1                                         | CUSIP: 86709SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003736.60   | 0.04%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Tr   | Sunbit Asset Securitization Trust 2025-1                                         | CUSIP: 86709SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $760460.55    | 0.03%             | 2030-07-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                 | Taseko Mines Ltd                                                                 | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |   1970000 | PA      | $2093503.24   | 0.08%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust            | Terwin Mortgage Trust Series TMTS 2005-18ALT                                     | CUSIP: 881561L51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21239332 | PA      | $142261.05    | 0.01%             | 2037-01-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| TEXAS STATE BNKSHRS INC          | Texas State Bankshares Inc                                                       | CUSIP: 882727AA8<br>LEI: 549300KSLUE7MP08XL09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000668.38   | 0.08%             | 2029-06-15      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust            | Theorem Funding Trust 2022-2                                                     | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2693218 | PA      | $2697438.10   | 0.10%             | 2028-12-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2017-6                                                 | CUSIP: 89175JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3304197.00   | 0.13%             | 2057-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2018-2                                                 | CUSIP: 89175VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2204007.00   | 0.08%             | 2058-03-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2018-5                                                 | CUSIP: 89176VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2123004.00   | 0.08%             | 2058-07-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2019-1                                                 | CUSIP: 89177BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2364501.00   | 0.09%             | 2058-03-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294000 | PA      | $2138790.25   | 0.08%             | 2058-05-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2021-SJ2                                               | CUSIP: 89180LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2548781 | PA      | $2405605.78   | 0.09%             | 2061-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-3                                                 | CUSIP: 89183FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1535122.52   | 0.06%             | 2065-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-4                                                 | CUSIP: 89183GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2897000 | PA      | $2769143.80   | 0.10%             | 2064-10-27      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-4                                                 | CUSIP: 89183GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4966000 | PA      | $4570885.18   | 0.17%             | 2064-10-27      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC              | TreeHouse Foods Inc                                                              | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |    600000 | PA      | $598843.50    | 0.02%             | 2028-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QBG4<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2511552.50   | 0.10%             | 2034-01-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| TRINITAS CAPITAL MGMT            | Trinitas Capital Management LLC                                                  | CUSIP: 89642CAC4<br>LEI: 254900JU042545A6UD08 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3975000.00   | 0.15%             | 2026-07-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXXII Ltd                                                           | CUSIP: 89642NAL0<br>LEI: 254900KN2E57M5580B74 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3542094.50   | 0.13%             | 2038-07-23      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FIN            | Trivium Packaging Finance BV                                                     | CUSIP: 89686QAC0<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |    980000 | PA      | $1073123.52   | 0.04%             | 2031-01-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                  | TX Trust 2024-HOU                                                                | CUSIP: 90216DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501078.50    | 0.02%             | 2039-06-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS         | Univision Communications Inc                                                     | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1051308.06   | 0.04%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2023-1                                                          | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596031 | PA      | $1595148.30   | 0.06%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98372NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2019152.00   | 0.08%             | 2026-06-06      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAC4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    300000 | PA      | $286053.15    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAD2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3274277.65   | 0.12%             | 2026-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAK6<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $162.80       | 0.00%             | 2027-11-15      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAN0<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3621300 | PA      | $911785.34    | 0.03%             | 2027-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAU4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3350418 | PA      | $3342122.42   | 0.13%             | 2026-06-06      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAV2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    628203 | PA      | $625677.29    | 0.02%             | 2026-06-06      | Floating      | 13.08%                | No            |                  2 | On Loan: No      |
| XPO INC                          | XPO Inc                                                                          | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    250000 | PA      | $259759.50    | 0.01%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566148 | PA      | $565100.32    | 0.02%             | 2026-05-06      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321012 | PA      | $1314936.09   | 0.05%             | 2026-05-06      | Floating      | 12.09%                | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98402TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $102.06       | 0.00%             | 2026-04-06      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| ZEBRA TECHNOLOGIES CORP          | Zebra Technologies Corp                                                          | CUSIP: 989207AD7<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1041023.16   | 0.04%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10124150 | PA      | $6793497.01   | 0.26%             | 2060-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10125738 | PA      | $5869495.41   | 0.22%             | 2060-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 154546546 | PA      | $3616543.73   | 0.14%             | 2060-01-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031450 | PA      | $1985393.61   | 0.08%             | 2056-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539950 | PA      | $1054163.53   | 0.04%             | 2056-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1329500 | PA      | $1185562.83   | 0.04%             | 2066-10-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12485031 | PA      | $11209697.59  | 0.42%             | 2066-10-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4346000 | PA      | $3548847.99   | 0.13%             | 2066-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17209052 | PA      | $538987.51    | 0.02%             | 2056-11-25      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15791758 | PA      | $105883.74    | 0.00%             | 2056-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 277390374 | PA      | $505127.87    | 0.02%             | 2056-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10310400 | PA      | $231086.99    | 0.01%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH1                                                                   | CUSIP: 12660BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7220300 | PA      | $6806663.45   | 0.26%             | 2067-01-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6364518 | PA      | $113256.60    | 0.00%             | 2056-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3904154 | PA      | $3317910.12   | 0.13%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  95237101 | PA      | $172188.68    | 0.01%             | 2056-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $777435.00    | 0.03%             | 2066-02-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                   | CVR Energy Inc                                                                   | CUSIP: 12662PAJ7<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |   2215000 | PA      | $2199800.58   | 0.08%             | 2034-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM7                                                                   | CUSIP: 12662QAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5417100 | PA      | $4520499.53   | 0.17%             | 2066-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE         | CVR Partners LP / CVR Nitrogen Finance Corp                                      | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1050829.61   | 0.04%             | 2028-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $4210082.70   | 0.16%             | 2067-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6078275.00   | 0.23%             | 2067-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust             | Cross 2025-H5 Mortgage Trust                                                     | CUSIP: 227920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750524 | PA      | $1780875.88   | 0.07%             | 2070-07-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Crown City CLO I                 | Crown City CLO I                                                                 | CUSIP: 22823RBE8<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |   2625000 | PA      | $2647475.25   | 0.10%             | 2038-07-20      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| CUSTOMERS BANK                   | Customers Bank                                                                   | CUSIP: 23204HBM9<br>LEI: 6UHRKD73G36IZYN3FC43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1002838.65   | 0.04%             | 2029-06-26      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                   | Dcli Bidco LLC                                                                   | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |    600000 | PA      | $610968.60    | 0.02%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                       | DaVita Inc                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1566674.64   | 0.06%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust    | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1620651.20   | 0.06%             | 2037-06-10      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1209818.40   | 0.05%             | 2040-04-13      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1214362.80   | 0.05%             | 2040-04-13      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $3698381.60   | 0.14%             | 2066-08-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-2                                      | CUSIP: 24381WAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1971167.50   | 0.07%             | 2066-04-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-2                                      | CUSIP: 24381WAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6528000 | PA      | $5311735.68   | 0.20%             | 2066-04-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4752635.00   | 0.18%             | 2067-07-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4310840.00   | 0.16%             | 2067-01-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4628000 | PA      | $3701673.40   | 0.14%             | 2067-01-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3348854 | PA      | $1751825.58   | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4612129 | PA      | $4396406.24   | 0.17%             | 2047-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    801014 | PA      | $740144.43    | 0.03%             | 2047-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2023-2                                                          | CUSIP: 30333LAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688000 | PA      | $709560.68    | 0.03%             | 2030-10-15      | Fixed         | 9.31%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-2                                                          | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128000 | PA      | $1113870.45   | 0.04%             | 2031-09-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-3                                                          | CUSIP: 30339EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717000 | PA      | $1631867.36   | 0.06%             | 2031-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2025-1                                                          | CUSIP: 30340RAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $572675.28    | 0.02%             | 2032-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5625729 | PA      | $4803590.22   | 0.18%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DT3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7747656 | PA      | $7786347.84   | 0.29%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6588743 | PA      | $6787136.50   | 0.26%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12087712 | PA      | $9839131.69   | 0.37%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5829057 | PA      | $4771135.58   | 0.18%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWG72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333134 | PA      | $326430.07    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1260113 | PA      | $1297661.52   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CQHA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10167022 | PA      | $10466806.99  | 0.40%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12498976 | PA      | $12522336.44  | 0.47%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2825747 | PA      | $2825729.64   | 0.11%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJ3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12363674 | PA      | $10626404.30  | 0.40%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2415569 | PA      | $2058234.51   | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4            | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9002832 | PA      | $6711755.58   | 0.25%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 31427M4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3740878 | PA      | $3889289.56   | 0.15%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 31427NY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8551172 | PA      | $7301512.49   | 0.28%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First American Government Obli   | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  46311075 | NS      | $46311075.03  | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST FOUNDATION INC             | First Foundation Inc                                                             | CUSIP: 32026VAA2<br>LEI: 254900TQZQ6LBCK77E82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $923519.64    | 0.03%             | 2032-02-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST NORTHWEST BANCORP          | First Northwest Bancorp                                                          | CUSIP: 335834AC1<br>LEI: 549300YDR3VSTKB9DQ65 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1206826.02   | 0.05%             | 2031-03-30      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L         | First Quantum Minerals Ltd                                                       | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   3020000 | PA      | $3175025.66   | 0.12%             | 2034-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                    | FirstCash Inc                                                                    | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1489891.05   | 0.06%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2024-1                                                | CUSIP: 33843VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1092322.21   | 0.04%             | 2031-05-15      | Fixed         | 8.60%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-4                                                | CUSIP: 33845AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3312735.60   | 0.13%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2022-1                                                | CUSIP: 33845VAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $739831.20    | 0.03%             | 2029-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBT3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2478000 | PA      | $2051251.23   | 0.08%             | 2048-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2540029 | PA      | $2287923.79   | 0.09%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156378 | PA      | $961870.33    | 0.04%             | 2051-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2535519 | PA      | $2058800.75   | 0.08%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1222000 | PA      | $660185.50    | 0.03%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340188 | PA      | $729513.99    | 0.03%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343000 | PA      | $671693.39    | 0.03%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP          | Flushing Financial Corp                                                          | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2674621.80   | 0.10%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1016674.60   | 0.04%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Franklin Park Place CLO          | Franklin Park Place CLO VI LLC                                                   | CUSIP: 35455HAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5059205.00   | 0.19%             | 2038-07-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23862906 | PA      | $233999.66    | 0.01%             | 2050-03-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577000 | PA      | $416258.28    | 0.02%             | 2049-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2020-RPL1                                    | CUSIP: 36260AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6323000 | PA      | $5389655.65   | 0.20%             | 2059-07-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ5                                | CUSIP: 36260DBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651641 | PA      | $1013995.42   | 0.04%             | 2051-03-27      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 288161008 | PA      | $269142.38    | 0.01%             | 2051-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675066 | PA      | $1382862.71   | 0.05%             | 2051-05-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1451274 | PA      | $913348.89    | 0.03%             | 2051-05-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3445529 | PA      | $2355532.39   | 0.09%             | 2051-10-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182560 | PA      | $1622414.42   | 0.06%             | 2051-06-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039000 | PA      | $524648.25    | 0.02%             | 2051-06-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163475 | PA      | $944055.53    | 0.04%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176269 | PA      | $713523.80    | 0.03%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-NQM1                               | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1771015 | PA      | $1642453.03   | 0.06%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 712900639 | PA      | $660145.99    | 0.03%             | 2051-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5114529 | PA      | $4060189.64   | 0.15%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3405930 | PA      | $2888266.47   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3415177 | PA      | $2867396.35   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1371606 | PA      | $1116956.76   | 0.04%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3852549 | PA      | $3246770.13   | 0.12%             | 2051-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $670367.10    | 0.03%             | 2052-04-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782722 | PA      | $660651.53    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 411048408 | PA      | $153732.10    | 0.01%             | 2051-09-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2469890 | PA      | $1441845.14   | 0.05%             | 2051-09-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA - HIGH BALANCE 30 YR. FIXED | FNMA - HIGH BALANCE 30 YR. FIXED                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    459523 | PA      | $415481.78    | 0.02%             | 2048-05-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP             | AGNC Investment Corp                                                             | CUSIP: 00123Q807<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     66529 | NS      | $1695158.92   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| American Money Management Corp   | AMMC CLO 23 Ltd                                                                  | CUSIP: 00177JCC7<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6037524.00   | 0.23%             | 2038-07-17      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                  | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1701914.20   | 0.06%             | 2041-05-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust           | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $878641.60    | 0.03%             | 2039-06-11      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AgoraCapital Auto Securities T   | AgoraCapital Auto Securities Trust 2025-1                                        | CUSIP: 008483AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2020814.80   | 0.08%             | 2032-11-25      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| ALA Trust                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1713730.90   | 0.06%             | 2040-06-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ALA Trust                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1310272.60   | 0.05%             | 2040-06-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                  | Allegro CLO XIII Ltd                                                             | CUSIP: 01750WAY5<br>LEI: 254900E6QZJ305P65V74 | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8607627.00   | 0.33%             | 2038-07-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| ALLIANCE RES OP/FINANCE          | Alliance Resource Operating Partners LP / Alliance Resource Finance Corp         | CUSIP: 01879NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1574271.42   | 0.06%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC          | American Axle & Manufacturing Inc                                                | CUSIP: 02406PBD1<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2120290.80   | 0.08%             | 2033-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12617168 | PA      | $101593.43    | 0.00%             | 2046-05-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| American Heritage Auto Receiva   | American Heritage Auto Receivables Trust 2024-1                                  | CUSIP: 026944AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $771339.60    | 0.03%             | 2033-01-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| AMERITEX HOLDCO INTERMED         | AmeriTex HoldCo Intermediate LLC                                                 | CUSIP: 030727AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1504738.95   | 0.06%             | 2033-08-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC             | Amkor Technology Inc                                                             | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1061168.16   | 0.04%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L         | Amneal Pharmaceuticals LLC                                                       | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1075303.38   | 0.04%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 26 Ltd                                                     | CUSIP: 03331TAW0<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3288424.75   | 0.12%             | 2038-03-19      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 26 Ltd                                                     | CUSIP: 03331TAY6<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2020814.00   | 0.08%             | 2038-03-19      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Angel Oak Total Return ETF       | Angel Oak Total Return ETF                                                       | CUSIP: 03463K729<br>LEI: 254900SIDCUM9VBX4984 | Long             | EC               | RF                | US        |     46900 | NS      | $2343682.11   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage-Backed Secu   | Angel Oak Mortgage-Backed Securities ETF                                         | CUSIP: 03463K737<br>LEI: 254900TSW167NT37XY19 | Long             | EC               | RF                | US        |    966882 | NS      | $8460217.50   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak High Yield Opportuni   | Angel Oak High Yield Opportunities ETF                                           | CUSIP: 03463K745<br>LEI: 254900ZCII2VFW4OK231 | Long             | EC               | RF                | US        |    885240 | NS      | $9865999.80   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Annaly Capital Management Inc    | Annaly Capital Management Inc                                                    | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     84833 | NS      | $1952007.33   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Anthelion CLO                    | Anthelion CLO 2025-2 Ltd                                                         | CUSIP: 03675RAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7000000.00   | 0.27%             | 2039-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Anthelion CLO                    | Anthelion CLO 2025-1 Ltd                                                         | CUSIP: 03676GAJ0<br>LEI: 254900S9YB3JCLS0SX64 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4533835.50   | 0.17%             | 2036-07-20      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI         | Antero Midstream Partners LP / Antero Midstream Finance Corp                     | CUSIP: 03690AAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1247288.40   | 0.05%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2019-A                                                        | CUSIP: 038370AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1581382 | PA      | $1572322.74   | 0.06%             | 2040-07-16      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2165328 | PA      | $2012741.75   | 0.08%             | 2046-07-17      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo   | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4041348.00   | 0.15%             | 2041-01-20      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN         | Archrock Partners LP / Archrock Partners Finance Corp                            | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1586911.41   | 0.06%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                     | ARES Loan Funding I Ltd                                                          | CUSIP: 04018XAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1160000 | PA      | $1162542.72   | 0.04%             | 2034-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec   | Arivo Acceptance Auto Loan Receivables Trust 2022-1                              | CUSIP: 04047EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502503.45    | 0.02%             | 2029-09-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2022-1                                                     | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1670246.00   | 0.06%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO           | Asurion LLC and Asurion Co-Issuer Inc                                            | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $261363.62    | 0.01%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2952462.00   | 0.11%             | 2064-04-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $4557378.50   | 0.17%             | 2064-04-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL2 Trust                                                             | CUSIP: 049919AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9572270.00   | 0.36%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust   | Avant Credit Card Master Trust                                                   | CUSIP: 05351KAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501460.00    | 0.02%             | 2030-04-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2019-J1                                                                | CUSIP: 12556MCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613000 | PA      | $433680.43    | 0.02%             | 2049-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1483023 | PA      | $817971.47    | 0.03%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237106 | PA      | $668837.38    | 0.03%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281000 | PA      | $620735.45    | 0.02%             | 2051-06-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67593 | PA      | $37111.74     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560321 | PA      | $1393750.79   | 0.05%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3398517 | PA      | $2827624.27   | 0.11%             | 2036-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66017 | PA      | $35897.08     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2836256 | PA      | $2452195.90   | 0.09%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1735544 | PA      | $1413244.80   | 0.05%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80396 | PA      | $43045.63     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM TRUST 2022-R1                                                                | CUSIP: 12571YAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7425000 | PA      | $6253550.33   | 0.24%             | 2061-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-RPL1 Trust                                                             | CUSIP: 12598PAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $1964893.50   | 0.07%             | 2061-09-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4085000 | PA      | $3590347.35   | 0.14%             | 2066-11-26      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2020-2R Mortgage Loan Trust                                                 | CUSIP: 12656GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3605000 | PA      | $3340771.53   | 0.13%             | 2065-10-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                  | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306327 | PA      | $678326.12    | 0.03%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |   2362436 | PA      | $2130671.33   | 0.08%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4               | CUSIP: 16678RFZ5<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |  13728720 | PA      | $179736.40    | 0.01%             | 2037-04-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   7201632 | PA      | $6591891.43   | 0.25%             | 2047-04-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |   2776831 | PA      | $2381851.76   | 0.09%             | 2047-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2858251 | PA      | $2817554.86   | 0.11%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN         | Clarios Global LP / Clarios US Finance Co                                        | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2112756.60   | 0.08%             | 2032-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLEAR STREET HOLDINGS            | Clear Street Holdings LLC                                                        | CUSIP: 18469LAA7<br>LEI: 254900NQWA30C6L3G919 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1992640.48   | 0.08%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP            | Clearwater Paper Corp                                                            | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1324805.02   | 0.05%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC             | Cleveland-Cliffs Inc                                                             | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2148434.85   | 0.08%             | 2034-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION           | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1008494.41   | 0.04%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN           | Cogent Communications Group LLC / Cogent Finance Inc                             | CUSIP: 19240WAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1572368.09   | 0.06%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-2 Mortgage Loan Trust                                                  | CUSIP: 19685EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1491211.75   | 0.06%             | 2067-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-2 Mortgage Loan Trust                                                  | CUSIP: 19685WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4252930.50   | 0.16%             | 2066-08-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5510000 | PA      | $4318170.47   | 0.16%             | 2066-10-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| CONCENTRA HEALTH SERVICE         | Concentra Health Services Inc                                                    | CUSIP: 20600DAA1<br>LEI: 984500GB84105F75DE32 | Long             | DBT              | CORP              | US        |    950000 | PA      | $995842.25    | 0.04%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAE6<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |   1010000 | PA      | $1000642.35   | 0.04%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAH9<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |   1750000 | PA      | $1472012.50   | 0.06%             | 2031-02-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR1                                                | CUSIP: 23332UAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10234621 | PA      | $3889.16      | 0.00%             | 2044-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: 23332UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9521942 | PA      | $9074.41      | 0.00%             | 2044-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR4                                                | CUSIP: 23332UCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8646658 | PA      | $570.68       | 0.00%             | 2045-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15001215 | PA      | $11467303.50  | 0.43%             | 2045-02-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15092834 | PA      | $17945.38     | 0.00%             | 2045-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $10000.00     | 0.00%             | 2045-02-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: 23332UDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893747 | PA      | $881247.86    | 0.03%             | 2045-03-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2007-AR1                                                | CUSIP: 23333YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29191350 | PA      | $24119761.73  | 0.91%             | 2047-04-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2145582 | PA      | $1967374.36   | 0.07%             | 2036-06-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-BAR1                   | CUSIP: 25151TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  83950000 | PA      | $6222038.20   | 0.24%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,    | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2009-RS6        | CUSIP: 25158HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6011724 | PA      | $5576457.56   | 0.21%             | 2037-08-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2185484.68   | 0.08%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DYNEX CAPITAL INC                | Dynex Capital Inc                                                                | CUSIP: 26817Q878<br>LEI: 5CIJ4S9HAEBWILA19B65 | Long             | EP               | CORP              | US        |    173425 | NS      | $4484770.50   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4010100 | PA      | $4040897.57   | 0.15%             | 2067-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20668846 | PA      | $11439793.07  | 0.43%             | 2067-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 249411268 | PA      | $734765.60    | 0.03%             | 2067-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 249411268 | PA      | $452930.86    | 0.02%             | 2067-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-INV2                                                                   | CUSIP: 26844LAG3<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   6155807 | PA      | $6097462.26   | 0.23%             | 2069-10-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-NQM1                                                                   | CUSIP: 26846CAG1<br>LEI: 254900TJEVLCYF1H3X71 | Long             | ABS-MBS          | CORP              | US        |   5008000 | PA      | $4727056.21   | 0.18%             | 2070-01-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3000000 | PA      | $3088740.00   | 0.12%             | 2034-04-25      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-X2                                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9712 | PA      | $175038.03    | 0.01%             | 2029-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-X1                                        | CUSIP: 00834XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10885 | PA      | $62428.49     | 0.00%             | 2029-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2025-X2                                        | CUSIP: 00835D102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6050 | PA      | $615926.78    | 0.02%             | 2030-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1417257.70   | 0.05%             | 2060-01-26      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588553 | PA      | $3648377.77   | 0.14%             | 2060-01-26      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                | Elmwood CLO X Ltd                                                                | CUSIP: 29002VBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6066060.00   | 0.23%             | 2038-07-20      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC         | Encore Capital Group Inc                                                         | CUSIP: 292554AS1<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1049822.80   | 0.04%             | 2031-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ENERFLEX INC                     | Enerflex Inc                                                                     | CUSIP: 29281WAA6<br>LEI: 549300SQCOV1LC1GBK07 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1065232.18   | 0.04%             | 2031-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Enviva LLC                       | Enviva LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      3638 | NS      | $54570.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC           | EquipmentShare.com Inc                                                           | CUSIP: 29450YAB5<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1605415.50   | 0.06%             | 2032-05-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| ENVIVA ESCROW                    | ENVIVA ESCROW                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    100000 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-1                                       | CUSIP: 30167JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8459597.80   | 0.32%             | 2029-10-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $1904999.92   | 0.07%             | 2066-06-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320000 | PA      | $2466776.60   | 0.09%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-3                                        | CUSIP: 31573JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910000 | PA      | $2208422.28   | 0.08%             | 2066-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6690285 | PA      | $7021360.50   | 0.27%             | 2057-10-25      | Floating      | 13.79%                | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                 | NetCredit Combined Receivables A LLC                                             | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1566649 | PA      | $1588570.87   | 0.06%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                       | AMSR 2023-SFR1 Trust                                                             | CUSIP: 66981XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $973127.00    | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                    | Coherent Corp                                                                    | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1893501.24   | 0.07%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: BCC0H7063<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000 | PA      | $1.00         | 0.00%             | 2044-11-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: BCC0JHUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | NS      | $0.00         | 0.00%             | 2045-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust       | Progress Residential 2023-SFR2 Trust                                             | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $790366.40    | 0.03%             | 2040-10-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance T   | Prosper Marketplace Issuance Trust Series 2024-1                                 | CUSIP: 74363CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2046954.00   | 0.08%             | 2029-08-15      | Fixed         | 10.98%                | No            |                  2 | On Loan: No      |
| PROVIDENT FDG/PFG FIN            | Provident Funding Associates LP / PFG Finance Corp                               | CUSIP: 74387UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1564000.85   | 0.06%             | 2029-09-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1780000 | PA      | $1782966.01   | 0.07%             | 2028-08-15      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $401561.84    | 0.02%             | 2028-08-15      | Fixed         | 10.18%                | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC            | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1049817.23   | 0.04%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1550175.00   | 0.06%             | 2034-09-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $508153.00    | 0.02%             | 2034-09-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J2                                                      | CUSIP: 753917CM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927000 | PA      | $703801.58    | 0.03%             | 2054-07-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $649520.17    | 0.02%             | 2051-07-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $622370.52    | 0.02%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $706835.69    | 0.03%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400983 | PA      | $1666836.57   | 0.06%             | 2051-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3397688 | PA      | $1942043.88   | 0.07%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN         | Raven Acquisition Holdings LLC                                                   | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1906469.58   | 0.07%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP             | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1075479.90   | 0.04%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP          | Gulfport Energy Operating Corp                                                   | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1042862.37   | 0.04%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $717714.20    | 0.03%             | 2039-05-10      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $413004.80    | 0.02%             | 2039-05-10      | Variable      | 11.93%                | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    858941 | PA      | $12503.61     | 0.00%             | 2034-11-19      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-11                                           | CUSIP: 41161PKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6450122 | PA      | $64.50        | 0.00%             | 2035-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home Re 2026-1 Ltd                                                               | CUSIP: 436956AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1500000 | PA      | $1514328.00   | 0.06%             | 2036-01-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2004-2                                                   | CUSIP: 43739EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704998 | PA      | $682935.45    | 0.03%             | 2034-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1527682.50   | 0.06%             | 2049-10-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2030712.00   | 0.08%             | 2049-10-25      | Floating      | 12.56%                | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz   | NRM FHT1 Excess Owner LLC                                                        | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1701322 | PA      | $1736044.34   | 0.07%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust    | NYC Commercial Mortgage Trust 2025-28L                                           | CUSIP: 67123JAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1610072.00   | 0.06%             | 2038-11-05      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust    | NYC Commercial Mortgage Trust 2025-28L                                           | CUSIP: 67123JAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1603867.20   | 0.06%             | 2038-11-05      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                  | Oaktree CLO 2022-2 Ltd                                                           | CUSIP: 67402RBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10072510.00  | 0.38%             | 2037-10-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3666315.00   | 0.14%             | 2067-08-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2025-RCF4 LLC                                                               | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1849302.00   | 0.07%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2024-7 LLC                                                                  | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2398977 | PA      | $2397244.83   | 0.09%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2024-RPL4 LLC                                                               | CUSIP: 74448MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2936000 | PA      | $2813336.86   | 0.11%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust     | RBSSP Resecuritization Trust 2009-3                                              | CUSIP: 74928FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1152086 | PA      | $1026817.61   | 0.04%             | 2035-09-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| RCKT Trust                       | RCKTL 2025-2                                                                     | CUSIP: 74939HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2261000 | PA      | $2325856.33   | 0.09%             | 2034-11-27      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN         | RHP Hotel Properties LP / RHP Finance Corp                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $527835.21    | 0.02%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158137 | PA      | $81111.36     | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| READYCAP HOLDINGS LLC            | ReadyCap Holdings LLC                                                            | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3003501.27   | 0.11%             | 2028-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Red Oak Funding Master Trust     | Red Oak Funding Master Trust                                                     | CUSIP: 75679JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501444.80    | 0.02%             | 2030-12-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC              | Resideo Funding Inc                                                              | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1037351.22   | 0.04%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC               | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2406976.11   | 0.09%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                        | Sunoco LP                                                                        | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | EP               | CORP              | US        |   1020000 | PA      | $1051252.80   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNERGY INFRASTRUCTURE H         | Synergy Infrastructure Holdings LLC                                              | CUSIP: 87191JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1056093.37   | 0.04%             | 2030-12-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1908952.00   | 0.07%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC     | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1992302 | PA      | $1609248.27   | 0.06%             | 2051-09-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC     | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517477 | PA      | $1255275.23   | 0.05%             | 2051-08-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1615985.93   | 0.06%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                              | CDX45IG CDS (BUY PROTECTION)                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-11829954.44 | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6460176.52   | 0.24%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| Builders Capital Loan Acquisit   | Builders Capital Loan Acquisition Trust 2024-NPL1                                | CUSIP: 12007KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10092000 | PA      | $10037483.02  | 0.38%             | 2029-09-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-3                                       | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11784000 | PA      | $12442020.92  | 0.47%             | 2031-10-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-2                                       | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4096000 | PA      | $4328366.90   | 0.16%             | 2031-10-15      | Fixed         | 7.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-1                                       | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2488112.94   | 0.09%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2023-3                                       | CUSIP: 301989AG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3028000 | PA      | $3279948.98   | 0.12%             | 2031-01-15      | Fixed         | 9.98%                 | No            |                  2 | On Loan: No      |
| FS BANCORP INC                   | FS Bancorp Inc                                                                   | CUSIP: 30263YAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994609.90    | 0.04%             | 2031-02-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS          | FTAI Aviation Investors LLC                                                      | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1217457.60   | 0.05%             | 2033-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487563 | PA      | $2493249.86   | 0.09%             | 2026-06-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE           | Brundage-Bone Concrete Pumping Holdings Inc                                      | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007210.00   | 0.04%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ACC Trust                        | ACC Trust 2022-1                                                                 | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $15.00        | 0.00%             | 2028-10-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                   | ACHV ABS Trust 2024-3AL                                                          | CUSIP: 00092KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1445673 | PA      | $1445800.93   | 0.05%             | 2031-12-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACHD Trust                       | ACHD Trust 2025-DS1                                                              | CUSIP: 00092TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3677298.35   | 0.14%             | 2034-01-09      | Fixed         | 11.33%                | No            |                  2 | On Loan: No      |
| ACM Auto Trust                   | ACM Auto Trust 2025-4                                                            | CUSIP: 00161LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $605721.12    | 0.02%             | 2032-08-20      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC         | Acadia Healthcare Co Inc                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2670420.96   | 0.10%             | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS           | Adient Global Holdings Ltd                                                       | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |   1020000 | PA      | $1059759.60   | 0.04%             | 2033-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-2                                            | CUSIP: 00703AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1464435 | PA      | $1186228.68   | 0.04%             | 2037-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM         | Advanced Drainage Systems Inc                                                    | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |    600000 | PA      | $613816.80    | 0.02%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3360495.55   | 0.13%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4778164.80   | 0.18%             | 2041-02-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3268056.00   | 0.12%             | 2041-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467516 | PA      | $2488003.41   | 0.09%             | 2034-05-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299277.90    | 0.01%             | 2041-06-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4496067.00   | 0.17%             | 2041-06-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2024-PALM                                                                     | CUSIP: 05612UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038462 | PA      | $1042326.69   | 0.04%             | 2037-06-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2025-VOLT                                                               | CUSIP: 05619PAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3517710.00   | 0.13%             | 2044-12-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC         | Builders FirstSource Inc                                                         | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2114276.79   | 0.08%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN         | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAG4<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1566031.35   | 0.06%             | 2033-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2025-BIO3 Mortgage Trust                                                      | CUSIP: 123911AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1764845.25   | 0.07%             | 2042-02-10      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2025-VLT7                                                               | CUSIP: 123913AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3716394.70   | 0.14%             | 2044-07-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474327 | PA      | $1482266.22   | 0.06%             | 2041-08-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC           | CACI International Inc                                                           | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    700000 | PA      | $727150.90    | 0.03%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC            | Caesars Entertainment Inc                                                        | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2142655.81   | 0.08%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAL Receivables LLC              | CAL Receivables 2022-1 LLC                                                       | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   1182012 | PA      | $1184934.19   | 0.04%             | 2026-10-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD           | Calumet Specialty Products Partners LP / Calumet Finance Corp                    | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $515465.00    | 0.02%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd           | Canyon CLO 2025-3 Ltd                                                            | CUSIP: 13875GAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5031255.00   | 0.19%             | 2039-01-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO              | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAQ9<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |   8500000 | PA      | $8540766.00   | 0.32%             | 2037-01-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP             | Capstone Copper Corp                                                             | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1969925.70   | 0.07%             | 2033-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                    | Carnival Corp                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    600000 | PA      | $617506.80    | 0.02%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36693083 | PA      | $219828.26    | 0.01%             | 2050-03-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12938880 | PA      | $13060078.07  | 0.49%             | 2053-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 109123827 | PA      | $113270.53    | 0.00%             | 2053-12-26      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1536863 | PA      | $1351084.32   | 0.05%             | 2053-12-26      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4163132 | PA      | $3117686.62   | 0.12%             | 2035-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1288994 | PA      | $939676.28    | 0.04%             | 2036-10-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060648 | PA      | $863178.58    | 0.03%             | 2037-06-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3346670 | PA      | $3214888.66   | 0.12%             | 2049-06-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1752008 | PA      | $1442198.73   | 0.05%             | 2049-06-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17634777 | PA      | $52.90        | 0.00%             | 2050-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2668229 | PA      | $2249528.19   | 0.09%             | 2050-02-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199000 | PA      | $871900.81    | 0.03%             | 2050-02-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608826 | PA      | $1481978.46   | 0.06%             | 2050-03-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1985914 | PA      | $1735581.84   | 0.07%             | 2050-06-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2324529 | PA      | $2082952.59   | 0.08%             | 2050-05-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Wealth Management 2020-ATR1                                             | CUSIP: 46652HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2830949 | PA      | $2473054.99   | 0.09%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4837794 | PA      | $3963861.28   | 0.15%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13670210 | PA      | $10792124.61  | 0.41%             | 2052-07-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-8                                                | CUSIP: 46657CAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2998782 | PA      | $2682350.85   | 0.10%             | 2054-02-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2024-10                                               | CUSIP: 46658LAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  92528065 | PA      | $3274105.60   | 0.12%             | 2055-03-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2024-10                                               | CUSIP: 46658LBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2843931 | PA      | $1932570.56   | 0.07%             | 2055-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Jackson Park Trust               | Jackson Park Trust 2019-LIC                                                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4421725.00   | 0.17%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JAX BANCP STAT TRUST III         | Jacksonville Bancorp Inc Statutory Trust III                                     | CUSIP: 469249AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1192008.37   | 0.05%             | 2038-09-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1202664.00   | 0.05%             | 2031-07-14      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN          | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2091623.53   | 0.08%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC / JFIN         | Jefferies Finance LLC / JFIN Co-Issuer Corp                                      | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1051270.64   | 0.04%             | 2031-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| 2015-11 Combo Note Ltd           | Kohlberg Credit Clo 2025-1 LLC                                                   | CUSIP: 499925AA3<br>LEI: 2549004Y1DUK1WKPVB77 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5030975.00   | 0.19%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| A10 CAPITAL LLC                  | A10 Capital LLC                                                                  | CUSIP: 66982EAA0<br>LEI: 549300RXTK0PSG57BV49 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $989946.00    | 0.04%             | 2026-08-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                 | UWM Holdings LLC                                                                 | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1551119.59   | 0.06%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1208406 | PA      | $403064.68    | 0.02%             | 2026-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2053000 | PA      | $20.53        | 0.00%             | 2027-07-15      | Fixed         | 9.14%                 | No            |                  2 | On Loan: No      |
| Upgrade Auto Receivables Trust   | Upgrade Auto Receivables Trust 2025-1                                            | CUSIP: 91531AAF1<br>LEI: 254900GMCGPEMKJRNA46 | Long             | ABS-O            | CORP              | US        |   2744000 | PA      | $2774230.92   | 0.11%             | 2032-04-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2021-PT2                                   | CUSIP: 91531XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105442 | PA      | $95792.48     | 0.00%             | 2027-05-15      | Variable      | 26.60%                | No            |                  2 | On Loan: No      |
| Upgrade Receivables Trust        | Upgrade Receivables Trust 2024-1                                                 | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1028862.40   | 0.04%             | 2031-02-18      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST4                                       | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $71830.59     | 0.00%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-3                                              | CUSIP: 91678W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25442 | PA      | $644.04       | 0.00%             | 2030-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-4                                              | CUSIP: 91678YAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17500 | PA      | $986343.95    | 0.04%             | 2032-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-1                                              | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2015715 | PA      | $2053789.26   | 0.08%             | 2033-02-20      | Fixed         | 11.10%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-1                                              | CUSIP: 91679K104<br>LEI: 5493001JGB0VWKP2NJ75 | Long             | ABS-O            | CORP              | US        |     20143 | PA      | $267426.07    | 0.01%             | 2026-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-2                                              | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2063127 | PA      | $1731431.86   | 0.07%             | 2032-05-20      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST4                                       | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8452371 | PA      | $20039.70     | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-1                                              | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5661745 | PA      | $3058325.34   | 0.12%             | 2032-03-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST5                                       | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $251187.48    | 0.01%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series                                                | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $328586.32    | 0.01%             | 2030-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST6                                       | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9416000 | PA      | $672712.42    | 0.03%             | 2027-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST3                                       | CUSIP: 91681PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11400000 | PA      | $301395.54    | 0.01%             | 2027-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST7                                       | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $116088.99    | 0.00%             | 2029-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST8                                       | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $234400.59    | 0.01%             | 2029-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST9                                       | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1629000 | PA      | $227155.44    | 0.01%             | 2029-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2022-ST1                                       | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $486882.73    | 0.02%             | 2030-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    950000 | PA      | $972291.75    | 0.04%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |   3880000 | PA      | $3415731.89   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2025-1                                              | CUSIP: 92511BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1556340.75   | 0.06%             | 2032-05-17      | Fixed         | 8.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1391257 | PA      | $1192978.20   | 0.05%             | 2066-07-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2099217.50   | 0.08%             | 2067-02-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5296000 | PA      | $4150337.50   | 0.16%             | 2067-02-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6743650 | PA      | $5565453.42   | 0.21%             | 2067-02-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1909160.00   | 0.07%             | 2066-06-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1344763.00   | 0.05%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270000 | PA      | $1781334.83   | 0.07%             | 2066-06-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD               | Viking Cruises Ltd                                                               | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   2100000 | PA      | $2129949.47   | 0.08%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES1                                       | CUSIP: 92839HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1042979.00   | 0.04%             | 2054-05-25      | Variable      | 10.35%                | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES3                                       | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1779954.75   | 0.07%             | 2055-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2025-CES3                                       | CUSIP: 92842MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7733000 | PA      | $7895501.26   | 0.30%             | 2055-11-25      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2025-CES3                                       | CUSIP: 92842MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2012498.00   | 0.08%             | 2055-11-25      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2025-CES2                                       | CUSIP: 92842UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3342790.75   | 0.13%             | 2055-08-25      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1      | Boston Lending Trust 2021-1                                                      | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3343088 | PA      | $3287846.46   | 0.12%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAC6<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |   1283503 | PA      | $1270740.85   | 0.05%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAD4<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |   4861309 | PA      | $4827756.57   | 0.18%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2025-CES2                                        | CUSIP: 10568RAC7<br>LEI: 254900H5A4PX072RRR06 | Long             | ABS-MBS          | CORP              | US        |   3421000 | PA      | $3444557.01   | 0.13%             | 2055-07-26      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7049257 | PA      | $5604772.45   | 0.21%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3586492 | PA      | $2676792.85   | 0.10%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237000 | PA      | $622942.07    | 0.02%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $952108.50    | 0.04%             | 2052-02-26      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3126027 | PA      | $2523310.52   | 0.10%             | 2052-02-26      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177110 | PA      | $839079.62    | 0.03%             | 2052-02-26      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3562729 | PA      | $2879849.95   | 0.11%             | 2052-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118581 | PA      | $860104.80    | 0.03%             | 2052-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11964059 | PA      | $405091.09    | 0.02%             | 2052-06-25      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4479935 | PA      | $3822778.10   | 0.14%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4623686 | PA      | $3711599.45   | 0.14%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    722394 | PA      | $549788.82    | 0.02%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-PJ3                                     | CUSIP: 362924AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3848842 | PA      | $3222366.38   | 0.12%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842870 | PA      | $2617299.84   | 0.10%             | 2036-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20132962 | PA      | $78357.49     | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-2                                                   | CUSIP: 550279BD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28365804 | PA      | $283.66       | 0.00%             | 2046-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-5                                                   | CUSIP: 55027XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23659513 | PA      | $236.60       | 0.00%             | 2036-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1415256.00   | 0.05%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-NR1 LLC                                                                | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5359870 | PA      | $5413485.21   | 0.21%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N2                                           | CUSIP: 14686LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6827919.80   | 0.26%             | 2030-04-10      | Fixed         | 9.94%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N3                                           | CUSIP: 14686RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4248481.20   | 0.16%             | 2030-09-10      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust           | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2758389.00   | 0.10%             | 2046-02-25      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC         | Celanese US Holdings LLC                                                         | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1058966.48   | 0.04%             | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CENTURY ALUMINUM COMPANY         | Century Aluminum Co                                                              | CUSIP: 156431AS7<br>LEI: 549300U5ODNGEYWKSW73 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1067921.05   | 0.04%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Cerberus                         | Cerberus Loan Funding XLVI LP                                                    | CUSIP: 15675BAD9<br>LEI: 635400QFSCXQUKSANU86 | Long             | ABS-CBDO         | CORP              | US        |   3660000 | PA      | $3688654.14   | 0.14%             | 2036-07-15      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| CHAMP ACQUISITION CORP           | Champ Acquisition Corp                                                           | CUSIP: 15807XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1998495.18   | 0.08%             | 2031-12-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Home Lending Mortgage Trust Series 2024-7                                  | CUSIP: 16159TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5673593 | PA      | $5749987.81   | 0.22%             | 2055-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3212787 | PA      | $3263038.23   | 0.12%             | 2047-04-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1189473 | PA      | $1226843.15   | 0.05%             | 2047-04-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2493102 | PA      | $2609861.61   | 0.10%             | 2057-10-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    797141 | PA      | $850515.76    | 0.03%             | 2057-10-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1531034 | PA      | $1591693.42   | 0.06%             | 2057-10-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1873527 | PA      | $1781729.48   | 0.07%             | 2050-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RJS4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5141509.50   | 0.19%             | 2029-06-20      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC              | Axon Enterprise Inc                                                              | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1244106.00   | 0.05%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3261622.00   | 0.12%             | 2042-02-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| B&G FOODS INC                    | B&G Foods Inc                                                                    | CUSIP: 05508WAC9<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | DBT              | CORP              | US        |    390000 | PA      | $368551.60    | 0.01%             | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938164 | PA      | $1770016.70   | 0.07%             | 2050-02-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775170 | PA      | $693101.85    | 0.03%             | 2050-02-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                    | Ballyrock CLO 21 Ltd                                                             | CUSIP: 05874JAU4<br>LEI: 254900FOV48Z8K26JH50 | Long             | ABS-CBDO         | CORP              | JE        |   1220000 | PA      | $1227675.02   | 0.05%             | 2037-10-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110879 | PA      | $62800.31     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159000 | PA      | $2012650.03   | 0.08%             | 2050-02-25      | Floating      | 10.20%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825785 | PA      | $1333613.53   | 0.05%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477373 | PA      | $1395626.64   | 0.05%             | 2047-05-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-A Trust                                             | CUSIP: 05952DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570101 | PA      | $521045.92    | 0.02%             | 2047-02-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-8 Trust                                             | CUSIP: 05953LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2592572 | PA      | $1870343.99   | 0.07%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1678584 | PA      | $720513.85    | 0.03%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2014-R1 Trust                                            | CUSIP: 05990MAB8<br>LEI: 549300JQM1BUDI007938 | Long             | ABS-MBS          | CORP              | US        |   3146302 | PA      | $2934537.45   | 0.11%             | 2037-06-26      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Bank                             | BANK 2025-BNK51                                                                  | CUSIP: 06541HAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1431064.00   | 0.05%             | 2067-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANKGUAM HOLDING CO              | BankGuam Holding Co                                                              | CUSIP: 06644AAB2<br>LEI: 549300UZSAYMXQIF8W75 | Long             | SN               | CORP              | GU        |   2000000 | PA      | $1953431.26   | 0.07%             | 2031-07-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust     | Barclays Mortgage Loan Trust 2021-NQM1                                           | CUSIP: 06744UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699083 | PA      | $1554772.99   | 0.06%             | 2051-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-3R                                                              | CUSIP: 12648GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391142 | PA      | $307143.63    | 0.01%             | 2036-03-27      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-7R                                                              | CUSIP: 12648WCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2137738 | PA      | $1989928.00   | 0.08%             | 2037-07-27      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust     | Barclays Mortgage Loan Trust 2025-NQM3                                           | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7069485 | PA      | $7152247.12   | 0.27%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO 2023-I Ltd                                             | CUSIP: 06763KAC3<br>LEI: 254900NXSC4FPWNV4296 | Long             | ABS-CBDO         | CORP              | BM        |   5986247 | PA      | $6001314.54   | 0.23%             | 2036-01-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BEACON MOBILITY CORP             | Beacon Mobility Corp                                                             | CUSIP: 073644AA4<br>LEI: 254900EBTYFG24UQEM31 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1571250.00   | 0.06%             | 2030-08-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu   | Bear Stearns Asset Backed Securities I Trust 2005-AC5                            | CUSIP: 073879ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028268 | PA      | $692202.52    | 0.03%             | 2035-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M   | Bear Stearns ARM Trust 2005-6                                                    | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046967 | PA      | $905402.72    | 0.03%             | 2035-08-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2025-1 Ltd                                                         | CUSIP: 07876NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1530700.50   | 0.06%             | 2035-10-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2025-1 Ltd                                                         | CUSIP: 07876NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2639392.60   | 0.10%             | 2035-10-25      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2023-1 Ltd                                                         | CUSIP: 07876XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   6200000 | PA      | $6325227.60   | 0.24%             | 2033-10-25      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2023-1 Ltd                                                         | CUSIP: 07876XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    538000 | PA      | $571983.31    | 0.02%             | 2033-10-25      | Floating      | 10.40%                | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   5430000 | PA      | $5564625.99   | 0.21%             | 2034-08-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $1038241.00   | 0.04%             | 2034-08-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC            | Belron UK Finance PLC                                                            | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $611742.77    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2517000 | PA      | $2710121.86   | 0.10%             | 2035-10-17      | Fixed         | 9.73%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd            | Black Diamond CLO 2025-2 Ltd                                                     | CUSIP: 09201EAJ6<br>LEI: 254900EVXJM7UW31BZ09 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6051180.00   | 0.23%             | 2038-10-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd            | Black Diamond CLO 2022-1 Ltd                                                     | CUSIP: 09203GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2507862.50   | 0.09%             | 2035-10-25      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR           | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |    940000 | PA      | $1008182.90   | 0.04%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BLACKROCK ELBERT CLO V, LLC      | BlackRock Elbert CLO V LLC/KY                                                    | CUSIP: 092913AJ1<br>LEI: 54930088K41XQK16ML36 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5041660.00   | 0.19%             | 2034-06-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| BLACKROCK RAINIER CLO LTD        | Blackrock MT Lassen Clo XV LLC                                                   | CUSIP: 092916AG0<br>LEI: 529900270ZC9EIH17Z28 | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4055652.00   | 0.15%             | 2037-07-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $996607.50    | 0.04%             | 2066-08-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM4 Trust                                                             | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597877 | PA      | $517332.85    | 0.02%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2022-NQM1 Trust                                                             | CUSIP: 36168VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2464991 | PA      | $2434361.38   | 0.09%             | 2067-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                 | GGAM Finance Ltd                                                                 | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |   1560000 | PA      | $1587768.00   | 0.06%             | 2030-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3127305 | PA      | $2836421.71   | 0.11%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $5286616.67   | 0.20%             | 2037-02-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5709149 | PA      | $4824647.67   | 0.18%             | 2037-02-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $21637.69     | 0.00%             | 2031-07-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-3                                         | CUSIP: 36267PAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2666019.00   | 0.10%             | 2030-08-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2024-4                                         | CUSIP: 36270YAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1559871.60   | 0.06%             | 2031-08-15      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2025-1                                         | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1045735.00   | 0.04%             | 2032-03-15      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage Backed Securities Trust 2025 CES2                                    | CUSIP: 36273BAF6<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2503232.50   | 0.09%             | 2055-09-25      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust         | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7260129 | PA      | $7132023.60   | 0.27%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-4                                         | CUSIP: 362929AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5270000 | PA      | $5684310.54   | 0.22%             | 2030-08-15      | Fixed         | 9.72%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd             | Gallatin CLO XI 2024-1 Ltd                                                       | CUSIP: 36362HAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3000000 | PA      | $3026166.00   | 0.11%             | 2037-10-20      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd             | Gallatin CLO X 2023-1 Ltd                                                        | CUSIP: 36362MAU1<br>LEI: 984500E5ACG7837D0749 | Long             | ABS-CBDO         | CORP              | BM        |   6000000 | PA      | $6047700.00   | 0.23%             | 2036-10-14      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| GENESEE & WYOMING INC            | Genesee & Wyoming Inc                                                            | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    520000 | PA      | $535973.88    | 0.02%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2030000 | PA      | $2119587.96   | 0.08%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA BANKING CO INC           | Georgia Banking Co Inc                                                           | CUSIP: 37312RAA3<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   4000000 | PA      | $3895525.04   | 0.15%             | 2031-06-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2024-3                                         | CUSIP: 37989AAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1030774.10   | 0.04%             | 2031-06-16      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                       | goeasy Ltd                                                                       | CUSIP: 380355AR8<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |   2250000 | PA      | $2116784.93   | 0.08%             | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5293944 | PA      | $5097801.03   | 0.19%             | 2051-06-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1438763 | PA      | $1397875.99   | 0.05%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Mortgage Pass-Th   | Goldman Sachs Mortgage Pass-Through Trust 2022-1                                 | CUSIP: 38151AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41610661 | PA      | $37705666.73  | 1.43%             | 2053-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                  | Goodgreen 2017-2 Trust                                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2673887 | PA      | $2444866.23   | 0.09%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | GoodLeap Sustainable Home Solutions Trust 2021-3                                 | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    921894 | PA      | $736672.29    | 0.03%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | Goodleap Sustainable Home Solutions Trust 2023-2                                 | CUSIP: 38237AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $471978.36    | 0.02%             | 2055-05-20      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER           | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BS9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1629457.44   | 0.06%             | 2030-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                   | Gray Media Inc                                                                   | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2179118.65   | 0.08%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE&DOCK          | Great Lakes Dredge & Dock Corp                                                   | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2116542.78   | 0.08%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Greenacre Park CLO LLC           | Greenacre Park CLO LLC                                                           | CUSIP: 39355WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3031197.00   | 0.11%             | 2038-07-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688395 | PA      | $648939.96    | 0.02%             | 2045-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5915244 | PA      | $0.00         | 0.00%             | 2045-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2006-AR3                                       | CUSIP: 39538WHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13456685 | PA      | $453355.70    | 0.02%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                  | Gen Digital Inc                                                                  | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1036070.82   | 0.04%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co   | Triangle Re 2023-1 Ltd                                                           | CUSIP: 89589AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1768118 | PA      | $1777907.89   | 0.07%             | 2033-11-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| GEARY US                         | GEARY US                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     70688 | NS      | $7887750.01   | 0.30%             |  |  |  | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6433013 | PA      | $5530963.46   | 0.21%             | 2057-08-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM5 Trust                                                             | CUSIP: 12663DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $482094.50    | 0.02%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust    | CarNow Auto Receivables Trust 2022-1                                             | CUSIP: 14367LAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1724876 | PA      | $1619395.39   | 0.06%             | 2027-09-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| CARS.COM INC                     | Cars.com Inc                                                                     | CUSIP: 14575EAA3<br>LEI: 5493002G6J07LNGX4M98 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2102405.13   | 0.08%             | 2028-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N1                                           | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590747 | PA      | $588974.35    | 0.02%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N4                                           | CUSIP: 14687HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16826034 | PA      | $16404467.90  | 0.62%             | 2028-09-11      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540V2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1614375 | PA      | $1518984.66   | 0.06%             | 2032-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1942856 | PA      | $643536.08    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF41 Mortgage Trust                                                   | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600479 | PA      | $563899.43    | 0.02%             | 2026-11-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC             | Fiesta Purchaser Inc                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1480575.78   | 0.06%             | 2032-09-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE1                                                             | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940946 | PA      | $967493.83    | 0.04%             | 2054-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2025-HE5                                                             | CUSIP: 31684MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3568432.00   | 0.14%             | 2055-08-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2025-HE7                                                             | CUSIP: 31684RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4986765.00   | 0.19%             | 2055-11-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2867898 | PA      | $2267647.23   | 0.09%             | 2051-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 170736899 | PA      | $1917887.59   | 0.07%             | 2041-09-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418549 | PA      | $387309.50    | 0.01%             | 2041-09-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1211408 | PA      | $782444.60    | 0.03%             | 2041-09-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAD0<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |   4040000 | PA      | $4123373.48   | 0.16%             | 2033-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1230532.50   | 0.05%             | 2049-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145091 | PA      | $965941.48    | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2379317 | PA      | $2020318.90   | 0.08%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523773 | PA      | $760993.80    | 0.03%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| MAGNERA CORP                     | Magnera Corp                                                                     | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1627882.92   | 0.06%             | 2029-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Man Glg Us Clo 2018-2 Ltd        | MAN US CLO 2023-1 LTD                                                            | CUSIP: 56166RAE2<br>LEI: 254900N9T03W7ZI61W42 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2014576.00   | 0.08%             | 2035-07-20      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Man US CLO Ltd                   | Man US CLO 2024-1 Ltd                                                            | CUSIP: 56167CAN4<br>LEI: 2549007JRE3Q11AV7970 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2015294.00   | 0.08%             | 2037-07-20      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| Maranon Loan Funding Ltd         | Maranon Loan Funding 2025-1 Ltd                                                  | CUSIP: 56575QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3006921.00   | 0.11%             | 2037-10-15      | Floating      | 10.84%                | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG2                                      | CUSIP: 585494CJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1540628 | PA      | $1147866.33   | 0.04%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495EU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503724 | PA      | $279023.76    | 0.01%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $224469.47    | 0.01%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2023-1                                                  | CUSIP: 67571BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6038000 | PA      | $6333039.62   | 0.24%             | 2030-08-20      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Recievables Trust 2024-RPT1                                               | CUSIP: 67578QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3243000 | PA      | $3297758.06   | 0.12%             | 2030-02-22      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-2                                                  | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3220065.90   | 0.12%             | 2032-07-20      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-RVM1                                               | CUSIP: 67579FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3288000 | PA      | $3489460.36   | 0.13%             | 2046-01-22      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-1                                              | CUSIP: 69548VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1243102 | PA      | $1215998.60   | 0.05%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-5                                              | CUSIP: 69548XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999961 | PA      | $948859.33    | 0.04%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-2                                              | CUSIP: 69548YAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999895 | PA      | $960166.24    | 0.04%             | 2032-10-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya Ai Debt Grantor Trust 2025-6                                              | CUSIP: 69549CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6819887.28   | 0.26%             | 2033-04-15      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5213750 | PA      | $4879600.76   | 0.18%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159619 | PA      | $1161419.74   | 0.04%             | 2051-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-MF1                                 | CUSIP: 79582KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6884819 | PA      | $6637516.41   | 0.25%             | 2029-11-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-4                                                    | CUSIP: 81743JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706732 | PA      | $709531.08    | 0.03%             | 2053-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2007-1                                                    | CUSIP: 81744HAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1575666 | PA      | $1122619.32   | 0.04%             | 2046-10-20      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2021-1                                                    | CUSIP: 81747KCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2308069 | PA      | $1435176.07   | 0.05%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-5                                                    | CUSIP: 81749FCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191000 | PA      | $979278.31    | 0.04%             | 2053-12-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                     | VT Topco Inc                                                                     | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2091856.80   | 0.08%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2004-AR10 Trust                   | CUSIP: 92922FXD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6420289 | PA      | $577.83       | 0.00%             | 2044-07-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| WFLD MORTGAGE TRUST              | WFLD 2014-MONT Mortgage Trust                                                    | CUSIP: 92939GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1551716 | PA      | $1504700.23   | 0.06%             | 2031-08-10      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| WALKER & DUNLOP INC              | Walker & Dunlop Inc                                                              | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1046176.26   | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO         | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1006123.14   | 0.04%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC            | Williams Scotsman Inc                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1036786.00   | 0.04%             | 2030-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd               | Wind River 2023-1 CLO Ltd                                                        | CUSIP: 97316RAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4034336.00   | 0.15%             | 2038-07-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 72108PAP9<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    591621 | PA      | $591167.62    | 0.02%             | 2026-07-24      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    171076 | PA      | $171417.29    | 0.01%             | 2037-04-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    214663 | PA      | $219479.39    | 0.01%             | 2037-08-24      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    259880 | PA      | $261719.77    | 0.01%             | 2037-05-24      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184893 | PA      | $1115741.53   | 0.04%             | 2047-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3242670 | PA      | $629707.04    | 0.02%             | 2037-03-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196304 | PA      | $1062143.03   | 0.04%             | 2035-07-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1704530 | PA      | $1532841.48   | 0.06%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ6                                     | CUSIP: 36268FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1751941 | PA      | $1784287.19   | 0.07%             | 2054-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-RPL2                                    | CUSIP: 36269MAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4756040.00   | 0.18%             | 2061-07-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ3                                     | CUSIP: 36269TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340000 | PA      | $1987605.36   | 0.08%             | 2054-08-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ5                                     | CUSIP: 36269XCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613000 | PA      | $1485539.13   | 0.06%             | 2054-09-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-HE1                                     | CUSIP: 36270AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2947000 | PA      | $2935889.81   | 0.11%             | 2054-08-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ6                                     | CUSIP: 36270CCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1584000 | PA      | $1415478.24   | 0.05%             | 2054-10-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ4                                     | CUSIP: 36270XAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120330 | PA      | $2148880.66   | 0.08%             | 2054-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ8                                     | CUSIP: 36272LCS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1734000 | PA      | $1527010.69   | 0.06%             | 2055-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-RPL4                                    | CUSIP: 362948AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3373293.00   | 0.13%             | 2061-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2025-RPL3                                    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4523866 | PA      | $4440025.16   | 0.17%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $802475.20    | 0.03%             | 2037-05-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $802919.20    | 0.03%             | 2037-05-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-9                                            | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1374327 | PA      | $1247858.79   | 0.05%             | 2034-12-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4157179 | PA      | $6160.94      | 0.00%             | 2035-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-3                                            | CUSIP: 41161PNK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27692430 | PA      | $276.92       | 0.00%             | 2035-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20900123 | PA      | $209.00       | 0.00%             | 2035-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-10                                           | CUSIP: 41161PTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20248021 | PA      | $202.48       | 0.00%             | 2035-11-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-11                                           | CUSIP: 41161PUN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6187671 | PA      | $61.88        | 0.00%             | 2045-08-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6848481 | PA      | $68.48        | 0.00%             | 2035-10-19      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-13                                           | CUSIP: 41161PWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9874632 | PA      | $98.75        | 0.00%             | 2036-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-14                                           | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14232824 | PA      | $13688461.22  | 0.52%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395289 | PA      | $1250732.69   | 0.05%             | 2037-08-19      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BRISTOW GROUP INC                | Bristow Group Inc                                                                | CUSIP: 11040GAB9<br>LEI: 5493005Q24EN3UC1PV68 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253046.45    | 0.01%             | 2033-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BROOKLINE BANCORP INC            | Brookline Bancorp Inc                                                            | CUSIP: 11373MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003762.89   | 0.04%             | 2029-09-15      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-5                                       | CUSIP: 30165BAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3103038.30   | 0.12%             | 2032-05-17      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust      | Extended Stay America Trust 2025-ESH                                             | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1012042.00   | 0.04%             | 2042-10-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust      | Extended Stay America Trust 2025-ESH                                             | CUSIP: 30227TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2738658.60   | 0.10%             | 2042-10-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                       | EZCORP Inc                                                                       | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1580304.04   | 0.06%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I,    | FAT Brands Fazoli's Native I LLC                                                 | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1929600 | PA      | $1391525.59   | 0.05%             | 2051-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H74A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7185000 | PA      | $6450218.79   | 0.24%             | 2032-03-25      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HAMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $20113360.00  | 0.76%             | 2033-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HB2X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15455160.00  | 0.59%             | 2033-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HHHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14464000 | PA      | $14479592.19  | 0.55%             | 2034-09-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10084420.00  | 0.38%             | 2030-06-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750000 | PA      | $1741822.25   | 0.07%             | 2035-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10057950.00  | 0.38%             | 2030-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10067300.00  | 0.38%             | 2030-07-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5024555.00   | 0.19%             | 2030-05-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9750000 | PA      | $9776237.25   | 0.37%             | 2035-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN ELEC CO                 | Hawaiian Electric Co Inc                                                         | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1066465.05   | 0.04%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS           | Helix Energy Solutions Group Inc                                                 | CUSIP: 42330PAL1<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |    950000 | PA      | $1000809.80   | 0.04%             | 2029-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                   | Hertz Corp/The                                                                   | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1057690.20   | 0.04%             | 2029-07-15      | Fixed         | 12.62%                | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAR0<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3954593.60   | 0.15%             | 2028-06-26      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $846199.68    | 0.03%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2021-2 Ltd                                                               | CUSIP: 43730VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   7031011 | PA      | $7068247.63   | 0.27%             | 2034-01-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8071560.00   | 0.31%             | 2030-09-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $4740434.10   | 0.18%             | 2035-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3037485.00   | 0.12%             | 2030-09-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ADFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3896249 | PA      | $3953906.06   | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AGLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109016 | PA      | $1141045.54   | 0.04%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AQYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2780329 | PA      | $2785525.02   | 0.11%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2023-1 Ltd                                                               | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3219888.00   | 0.12%             | 2033-10-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| ICNQ Mortgage Trust              | ICNQ 2024-MF Mortgage Trust                                                      | CUSIP: 450953AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3285824.75   | 0.12%             | 2034-12-10      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ARQC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19633240 | PA      | $19639247.98  | 0.74%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2619985 | PA      | $2662850.35   | 0.10%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140NGD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2432837 | PA      | $2477201.88   | 0.09%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6467470 | PA      | $5515484.54   | 0.21%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3677068 | PA      | $3272424.66   | 0.12%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3166528 | PA      | $2705852.78   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7309350 | PA      | $6772023.11   | 0.26%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2818846 | PA      | $2771810.32   | 0.10%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2718491 | PA      | $2476942.50   | 0.09%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                | Imperial Fund Mortgage Trust 2021-NQM1                                           | CUSIP: 452764AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $2080024.36   | 0.08%             | 2056-06-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QT3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3749811 | PA      | $3849830.17   | 0.15%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUVC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3234784 | PA      | $3327130.65   | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8674946 | PA      | $8808739.79   | 0.33%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12150166 | PA      | $10378343.98  | 0.39%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418E4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8907663 | PA      | $8521720.49   | 0.32%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8018577 | PA      | $6530162.13   | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19946224 | PA      | $17735644.05  | 0.67%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16215648 | PA      | $14432231.10  | 0.55%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY FINANCIAL CORP          | Fidelity Financial Corp                                                          | CUSIP: 316144AC8<br>LEI: 549300MH8LY2P6Y7NV11 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2844477.60   | 0.11%             | 2032-04-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| RENASANT CORP                    | Renasant Corp                                                                    | CUSIP: 318916AB9<br>LEI: 549300OVE6OZHW2UUH81 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1018972.86   | 0.04%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518493 | PA      | $221163.90    | 0.01%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468101 | PA      | $868968.79    | 0.03%             | 2035-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328820 | PA      | $850535.16    | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846479 | PA      | $567391.56    | 0.02%             | 2046-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2606338 | PA      | $2397338.45   | 0.09%             | 2050-06-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189705 | PA      | $170010.63    | 0.01%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ACA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1505834 | PA      | $1315067.78   | 0.05%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939826 | PA      | $1573918.27   | 0.06%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695806 | PA      | $1336372.96   | 0.05%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695806 | PA      | $946892.16    | 0.04%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2892133 | PA      | $2281627.07   | 0.09%             | 2051-12-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-13                                                 | CUSIP: 46592XAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1048560.00   | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3284845 | PA      | $3186923.82   | 0.12%             | 2055-02-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2597975 | PA      | $1762032.64   | 0.07%             | 2055-02-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2023-9                                                  | CUSIP: 465988AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2942610 | PA      | $2744958.12   | 0.10%             | 2054-04-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619707 | PA      | $1296439.79   | 0.05%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877409 | PA      | $2489877.06   | 0.09%             | 2050-11-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3458743 | PA      | $2718873.27   | 0.10%             | 2051-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2258064 | PA      | $1556747.45   | 0.06%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-INV6                                               | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010931 | PA      | $849255.75    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2023-7                                                  | CUSIP: 46657DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035500 | PA      | $871238.64    | 0.03%             | 2054-02-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512639 | PA      | $2296019.57   | 0.09%             | 2054-12-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795000 | PA      | $1490706.22   | 0.06%             | 2054-12-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-8                                           | CUSIP: 46658GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2611000 | PA      | $2391383.57   | 0.09%             | 2055-01-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2366000 | PA      | $1997512.06   | 0.08%             | 2054-11-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-12                                                 | CUSIP: 46658TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5987684 | PA      | $6068307.91   | 0.23%             | 2055-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-11                                                 | CUSIP: 46659AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4485670 | PA      | $4546069.56   | 0.17%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2025-CES7                                        | CUSIP: 46660GAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4369000 | PA      | $4392361.04   | 0.17%             | 2056-04-25      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL   | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22432 | PA      | $22482.36     | 0.00%             | 2028-12-26      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES          | K Hovnanian Enterprises Inc                                                      | CUSIP: 48251UAQ1<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1043215.20   | 0.04%             | 2033-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd            | KKR Clo 32 Ltd                                                                   | CUSIP: 482937AC3<br>LEI: 5493004Y6G18HN4CQ515 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1303827.20   | 0.05%             | 2037-04-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP              | Kinetik Holdings LP                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607534.20    | 0.02%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Kingstone Cos Inc                | Kingstone Cos Inc                                                                | CUSIP: 496719105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32996 | NS      | $509788.19    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| KNIFE RIVER CORP                 | Knife River Corp                                                                 | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $626940.00    | 0.02%             | 2031-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC          | Kodiak Gas Services LLC                                                          | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1055495.59   | 0.04%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LMST 2019-1 CERT                 | LMST 2019-1 CERT                                                                 | CUSIP: 510861AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2125593 | PA      | $2110429.25   | 0.08%             | 2049-08-15      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC            | LD Holdings Group LLC                                                            | CUSIP: 521088AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $474209.85    | 0.02%             | 2028-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2021-GS3                                             | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4112036 | PA      | $4191135.32   | 0.16%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15131 | PA      | $11149.94     | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489564 | PA      | $1308755.85   | 0.05%             | 2035-09-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1957647.50   | 0.07%             | 2057-01-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust     | Morgan Stanley Resecuritization Trust 2015-R4                                    | CUSIP: 61690WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010309 | PA      | $878079.76    | 0.03%             | 2047-08-26      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45861553 | PA      | $348639.53    | 0.01%             | 2046-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2883850 | PA      | $2480803.23   | 0.09%             | 2036-12-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2007-5                                       | CUSIP: 026936AU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10756123 | PA      | $123265.17    | 0.00%             | 2047-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4529529.00   | 0.17%             | 2041-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4528980.00   | 0.17%             | 2041-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                     | Ares LVIII CLO Ltd                                                               | CUSIP: 04018ABJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3024024.00   | 0.11%             | 2038-04-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2013-RR1 Trust                                                          | CUSIP: 05490BBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570640 | PA      | $1520803.74   | 0.06%             | 2036-05-26      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO Ltd 2018-I                                             | CUSIP: 06761NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    428329 | PA      | $12849.86     | 0.00%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                | Battalion CLO XXIX Ltd                                                           | CUSIP: 07135TAJ8<br>LEI: 254900BHK74DPDADPT35 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5073175.00   | 0.19%             | 2038-03-31      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition    | Bayview Financial Mortgage Pass-Through Trust 2005-D                             | CUSIP: 07325NBX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112146 | PA      | $91199.31     | 0.00%             | 2035-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWQ0<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |  12753204 | PA      | $365506.82    | 0.01%             | 2036-03-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-5AR                                      | CUSIP: 61748HYR6<br>LEI: 549300T1OKVUI6WNLP63 | Long             | ABS-MBS          | CORP              | US        |  13239615 | PA      | $68448.81     | 0.00%             | 2036-04-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-NQM3                                        | CUSIP: 105690AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350449 | PA      | $1277950.61   | 0.05%             | 2060-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM8                                        | CUSIP: 10571DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1762635 | PA      | $1730193.51   | 0.07%             | 2053-08-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur   | Bridgecrest Lending Auto Securitization Trust 2023-1                             | CUSIP: 108056AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10958718.00  | 0.42%             | 2030-07-15      | Fixed         | 10.37%                | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362000 | PA      | $2113276.68   | 0.08%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-14                                                   | CUSIP: 12667GCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8017763 | PA      | $53278.03     | 0.00%             | 2035-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-16                                                   | CUSIP: 12667GMK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13294429 | PA      | $132.94       | 0.00%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5368838 | PA      | $4117.90      | 0.00%             | 2035-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-59R                                 | CUSIP: 12668AR98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9052689 | PA      | $769.48       | 0.00%             | 2035-12-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-20                                          | CUSIP: 12669F2R3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3992496 | PA      | $166435.16    | 0.01%             | 2034-10-25      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-25                                          | CUSIP: 12669GKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8668203 | PA      | $86.68        | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAD4<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |   1598770 | PA      | $1410390.57   | 0.05%             | 2037-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742356 | PA      | $432670.98    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                 | Cinemark USA Inc                                                                 | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2081156.01   | 0.08%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,    | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973R35<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     26991 | PA      | $18794.34     | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $508798.51    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093000 | PA      | $557115.22    | 0.02%             | 2051-06-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2325462 | PA      | $2169018.87   | 0.08%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT Funding LLC                                                                 | CUSIP: 19688DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2862000 | PA      | $2458435.10   | 0.09%             | 2064-12-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $654592.28    | 0.02%             | 2051-07-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921951 | PA      | $1112284.75   | 0.04%             | 2051-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5498421.50   | 0.21%             | 2041-06-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC           | Comstock Resources Inc                                                           | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1913564.27   | 0.07%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                         | CUSIP: 617946AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3410000 | PA      | $3045051.57   | 0.12%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6437185 | PA      | $0.00         | 0.00%             | 2036-04-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    723638 | PA      | $564844.25    | 0.02%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD         | Moss Creek Resources Holdings Inc                                                | CUSIP: 61965RAC9<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |    800000 | PA      | $778502.24    | 0.03%             | 2031-09-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-9                                                     | CUSIP: 52522XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8932 | PA      | $7562.07      | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust 2007-9                                                           | CUSIP: 52524MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12326794 | PA      | $123.27       | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Corporate One Auto Receivables   | Corporate One Auto Receivables Trust 2026-1                                      | CUSIP: 22004UAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $749678.70    | 0.03%             | 2034-07-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAH8<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |   2897500 | PA      | $2902376.49   | 0.11%             | 2069-11-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                 | MP CLO VIII Ltd                                                                  | CUSIP: 62481WAQ0<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3010122.00   | 0.11%             | 2034-04-28      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE   | Multifamily Connecticut Avenue Securities Trust 2020-01                          | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8271248.00   | 0.31%             | 2050-03-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAJ4<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |   2739000 | PA      | $2708473.85   | 0.10%             | 2069-11-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-CES2                                                                   | CUSIP: 28225GAE4<br>LEI: 254900G4WO4UX6N3D818 | Long             | ABS-MBS          | CORP              | US        |   2854000 | PA      | $2887648.66   | 0.11%             | 2060-02-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| NBBLUE 2025-1A B                 | NBBLUE 2025-1A B                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3117150.00   | 0.12%             | 2040-04-15      | Fixed         | 9.74%                 | No            |                  3 | On Loan: No      |
| NCL CORPORATION LTD              | NCL Corp Ltd                                                                     | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1060000 | PA      | $1066354.70   | 0.04%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Inc          | Ellington Financial Inc                                                          | CUSIP: 28852N109<br>LEI: 60GS1D1R1YY5G1W7IT74 | Long             | EC               | CORP              | US        |    103500 | NS      | $1329975.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-2                                       | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9300000 | PA      | $9089044.38   | 0.34%             | 2029-10-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                   | NRG Energy Inc                                                                   | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2115832.18   | 0.08%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NARRAGANSETT FINANCIAL           | Narragansett Financial Corp                                                      | CUSIP: 631004AE8<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   2000000 | PA      | $1971511.40   | 0.07%             | 2031-05-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9436000 | PA      | $10021686.86  | 0.38%             | 2030-04-15      | Fixed         | 10.45%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-6                                       | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5835603.40   | 0.22%             | 2030-06-17      | Fixed         | 11.61%                | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC            | NESCO Holdings II Inc                                                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |    300000 | PA      | $295804.53    | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers   | Neuberger Berman Loan Advisers LaSalle Street Lending CLO II Ltd                 | CUSIP: 64135QAA4<br>LEI: 254900IOVQ7KBVZKPZ16 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5033310.00   | 0.19%             | 2038-04-20      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-12N                                                  | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1126512 | PA      | $1101649.03   | 0.04%             | 2047-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus   | LendingPoint Pass-Through Trust Series 2022-ST3                                  | CUSIP: 52607TAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576000 | PA      | $189087.89    | 0.01%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                | Lithia Motors Inc                                                                | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1258276.63   | 0.05%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181513 | PA      | $866540.71    | 0.03%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5020710.00   | 0.19%             | 2035-10-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HPU84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $25031150.00  | 0.95%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| NEW FLYER HOLDINGS               | New Flyer Holdings Inc                                                           | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    980000 | PA      | $1056510.29   | 0.04%             | 2030-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2018-2                                       | CUSIP: 64828CEN5<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   1179845 | PA      | $949487.57    | 0.04%             | 2058-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16091 | PA      | $12948.39     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QA2 Trust                                                       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4232785 | PA      | $3702620.10   | 0.14%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HPUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $11894280.00  | 0.45%             | 2035-12-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVWR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11558796 | PA      | $11573175.32  | 0.44%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-6                                       | CUSIP: 64828GCH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11809219 | PA      | $739162.63    | 0.03%             | 2059-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2017-2                                       | CUSIP: 64829KBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2154509 | PA      | $2110339.75   | 0.08%             | 2057-03-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140W14N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11031830 | PA      | $11319186.71  | 0.43%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2199588 | PA      | $1872116.86   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800554 | PA      | $685956.06    | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91987 | PA      | $43985.34     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4982434 | PA      | $4190002.87   | 0.16%             | 2057-12-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2480833.01   | 0.09%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XQMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3957180 | PA      | $4020684.32   | 0.15%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4225104 | PA      | $4123591.55   | 0.16%             | 2037-02-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2021-NQM3                                    | CUSIP: 64831TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729000 | PA      | $2343015.70   | 0.09%             | 2056-11-27      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAG3<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |   5116000 | PA      | $5208809.36   | 0.20%             | 2065-04-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487886 | PA      | $0.00         | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150541 | PA      | $77998.92     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-1                                         | CUSIP: 36266XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7870000 | PA      | $8539477.29   | 0.32%             | 2030-03-15      | Fixed         | 11.42%                | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD          | Global Aircraft Leasing Co Ltd                                                   | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2880000 | PA      | $2984777.28   | 0.11%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-2                                         | CUSIP: 379928AL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3195690.90   | 0.12%             | 2030-01-15      | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10633005 | PA      | $81214.89     | 0.00%             | 2045-06-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66680 | PA      | $42267.12     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA7 Trust                                                       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4159726 | PA      | $3807738.09   | 0.14%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20281660 | PA      | $231434.02    | 0.01%             | 2045-08-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                | Imperial Fund Mortgage Trust 2022-NQM1                                           | CUSIP: 452766AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $5423674.25   | 0.21%             | 2067-02-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAJ7<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |  11758000 | PA      | $10370179.73  | 0.39%             | 2065-04-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2025-NQM3                                    | CUSIP: 64832CAG8<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   2884000 | PA      | $2948229.56   | 0.11%             | 2065-05-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR10                                       | CUSIP: 45660LKZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22275141 | PA      | $222.75       | 0.00%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2004-AR12                                       | CUSIP: 45660N5L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1315498 | PA      | $13.15        | 0.00%             | 2034-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                | Newell Brands Inc                                                                | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1059646.55   | 0.04%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEXBANK CAPITAL INC              | NexBank Capital Inc                                                              | CUSIP: 65341TAG2<br>LEI: 549300H29S945S4X7A03 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $953414.78    | 0.04%             | 2032-07-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                    | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $1524750.50   | 0.06%             | 2031-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8315497 | PA      | $6969442.55   | 0.26%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2014-3R                                            | CUSIP: 65540LCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3306185 | PA      | $2743006.06   | 0.10%             | 2037-03-26      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                     | Novelis Corp                                                                     | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    550000 | PA      | $533390.06    | 0.02%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-4                                           | CUSIP: 46657WBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2974389 | PA      | $2905478.20   | 0.11%             | 2054-10-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  81899381 | PA      | $3716184.42   | 0.14%             | 2054-11-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10017 | PA      | $8280.64      | 0.00%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                    | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1467103.78   | 0.06%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2588690 | PA      | $2537193.17   | 0.10%             | 2054-11-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN         | Jefferson Capital Holdings LLC                                                   | CUSIP: 472481AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1602598.00   | 0.06%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL1 Trust                                                             | CUSIP: 69392FAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3772708.00   | 0.14%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL2 Trust                                                             | CUSIP: 69392LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7703704.00   | 0.29%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-7N                                                   | CUSIP: 52524GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2251567 | PA      | $2168378.17   | 0.08%             | 2047-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2022-A Asset Securitization Trust                                   | CUSIP: 52605AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3320000 | PA      | $33.20        | 0.00%             | 2029-06-15      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL2 Trust                                                             | CUSIP: 69392LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2754000 | PA      | $2607343.99   | 0.10%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                   | PMT Loan Trust 2025-J3                                                           | CUSIP: 69392XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2786986 | PA      | $2802902.48   | 0.11%             | 2056-11-27      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2021-B Asset Securitization Trust                                   | CUSIP: 52607HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57535 | PA      | $57259.26     | 0.00%             | 2029-02-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90479 | PA      | $44337.64     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14760 | PA      | $8873.91      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14951 | PA      | $0.15         | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PHH ESCROW ISS LCC/PHH C         | PHH Escrow Issuer LLC/PHH Corp                                                   | CUSIP: 716964AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1484771.00   | 0.06%             | 2029-11-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $413991.24    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25303 | PA      | $14446.31     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10835 | PA      | $5609.81      | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517235 | PA      | $1214988.28   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1511621 | PA      | $1210549.65   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    600000 | PA      | $625060.80    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PHOENIX AVIATION CAPITAL         | Phoenix Aviation Capital Ltd                                                     | CUSIP: 71910DAA9<br>LEI: 8945008YQAKXZQ3VYJ15 | Long             | DBT              | CORP              | IE        |   2810000 | PA      | $2947141.85   | 0.11%             | 2030-07-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA9 Trust                                                       | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1268213 | PA      | $626645.51    | 0.02%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330747 | PA      | $151624.40    | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 5                                                                 | CUSIP: 72133QAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $960626.00    | 0.04%             | 2037-10-20      | Floating      | 11.49%                | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 14 2023 Ltd                                                       | CUSIP: 72134CAU5<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2513960.00   | 0.10%             | 2038-07-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24617 | PA      | $14978.37     | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UPBOUND GROUP INC                | Upbound Group Inc                                                                | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2083150.86   | 0.08%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CEW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253878 | PA      | $124562.94    | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717323 | PA      | $337433.99    | 0.01%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966251 | PA      | $1659841.87   | 0.06%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060819 | PA      | $911719.50    | 0.03%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $617880.30    | 0.02%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $514801.30    | 0.02%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2005-S7 Trust                                                       | CUSIP: 76111XA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10809 | PA      | $5943.94      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3864867 | PA      | $1841454.31   | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A   | Research-Driven Pagaya Motor Asset Trust 2025-3                                  | CUSIP: 76091FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002486.70   | 0.04%             | 2034-02-27      | Fixed         | 11.09%                | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A   | Research-Driven Pagaya Motor Trust 2025-6                                        | CUSIP: 76100HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $499152.60    | 0.02%             | 2034-08-25      | Fixed         | 10.53%                | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-2                                                | CUSIP: 73071PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3249329 | PA      | $3241095.43   | 0.12%             | 2055-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-2                                                | CUSIP: 73071PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1277961.00   | 0.05%             | 2055-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S4 Trust                                                       | CUSIP: 762010AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102284 | PA      | $66839.62     | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                     | US Foods Inc                                                                     | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210092.40    | 0.01%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164192 | PA      | $108226.34    | 0.00%             | 2035-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QA13 Trust                                                      | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2922887 | PA      | $2611944.30   | 0.10%             | 2035-12-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-1                                                | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937020 | PA      | $944094.29    | 0.04%             | 2055-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                | Post Holdings Inc                                                                | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2107792.17   | 0.08%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock HEA Trust 2025-2                                                          | CUSIP: 914917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4890000 | PA      | $4824508.23   | 0.18%             | 2041-11-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock HEA Trust 2025-2                                                          | CUSIP: 914917AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $389367.50    | 0.01%             | 2041-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1368878 | PA      | $1217105.99   | 0.05%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118QB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212397 | PA      | $141316.41    | 0.01%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2023-1                                                          | CUSIP: 91528JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16450000 | PA      | $16203529.65  | 0.61%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-2                                              | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2121882.80   | 0.08%             | 2033-06-20      | Fixed         | 11.87%                | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust          | PowerPay Issuance Trust 2024-1                                                   | CUSIP: 73934RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $521430.40    | 0.02%             | 2039-02-18      | Fixed         | 8.46%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus   | Prestige Auto Receivables Trust 2024-1                                           | CUSIP: 74113QAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6682000 | PA      | $6261094.81   | 0.24%             | 2031-04-15      | Fixed         | 7.94%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                   | Rocket Cos Inc                                                                   | CUSIP: 77311WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2080718.13   | 0.08%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS/SALLY CAP         | Sally Holdings LLC / Sally Capital Inc                                           | CUSIP: 79546VAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $933565.50    | 0.04%             | 2032-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2025-4                                              | CUSIP: 91684AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1011583.40   | 0.04%             | 2035-11-20      | Fixed         | 7.67%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN         | USA Compression Partners LP / USA Compression Finance Corp                       | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $652669.92    | 0.02%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3943420 | PA      | $1163297.08   | 0.04%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEAVENWORTH US                   | LEAVENWORTH US                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     29450 | NS      | $3648000.01   | 0.14%             |  |  |  | No            |                  3 | On Loan: No      |
| PRIMIS FINANCIAL CORP            | Primis Financial Corp                                                            | CUSIP: 843395AA2<br>LEI: 549300JNX3M2EENG1F11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.04%             | 2027-01-31      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| HELIOS 2024-1                    | HELIOS 2024-1                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGSE             | US        |  68766714 | PA      | $72895123.63  | 2.76%             | 2034-06-06      | Fixed         | 12.63%                | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust Series 2024-CES2                                | CUSIP: 92841YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1022046.00   | 0.04%             | 2054-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17439900 | PA      | $174.40       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10379600 | PA      | $103.80       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18101564 | PA      | $13539.97     | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970205 | PA      | $926756.81    | 0.04%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-12                                          | CUSIP: 125432AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11746956 | PA      | $48949.57     | 0.00%             | 2036-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881851 | PA      | $688695.52    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2023-D                                                | CUSIP: 12598VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6120000 | PA      | $6687159.98   | 0.25%             | 2031-05-15      | Fixed         | 10.13%                | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-B                                                | CUSIP: 12627SAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6362791.20   | 0.24%             | 2031-11-17      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-B                                    | CUSIP: 12630SAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2226000 | PA      | $2325821.85   | 0.09%             | 2033-03-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-A                                    | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1863195.48   | 0.07%             | 2032-08-16      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2025-C                                                | CUSIP: 12634SAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3995208.80   | 0.15%             | 2033-02-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2022-D                                                | CUSIP: 12663UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4474520.65   | 0.17%             | 2030-06-17      | Fixed         | 12.12%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16806382 | PA      | $36721.94     | 0.00%             | 2035-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1439188 | PA      | $266773.62    | 0.01%             | 2035-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GN82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15550662 | PA      | $155.51       | 0.00%             | 2035-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-41                                                   | CUSIP: 12667GS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3299216 | PA      | $6684.21      | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-38                                                   | CUSIP: 12667GZ71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31784926 | PA      | $508.56       | 0.00%             | 2035-09-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11405280 | PA      | $819914.21    | 0.03%             | 2035-11-20      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ADC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9376780 | PA      | $61024.09     | 0.00%             | 2035-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17501712 | PA      | $155905.25    | 0.01%             | 2035-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2503700 | PA      | $1181633.79   | 0.04%             | 2035-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-58R                                 | CUSIP: 12668AP66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31884839 | PA      | $312248.23    | 0.01%             | 2035-12-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1345892 | PA      | $777834.06    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668AQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13176980 | PA      | $54249.63     | 0.00%             | 2035-11-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-HY10                                                 | CUSIP: 12668BA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2274436 | PA      | $43214.28     | 0.00%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9498651 | PA      | $23015.23     | 0.00%             | 2036-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA1                                                  | CUSIP: 126694A24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7574803 | PA      | $73187.75     | 0.00%             | 2046-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253722 | PA      | $12.54        | 0.00%             | 2035-02-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816092 | PA      | $31293.04     | 0.00%             | 2035-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3009205 | PA      | $2386958.92   | 0.09%             | 2035-03-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6251289 | PA      | $62.51        | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-1                                           | CUSIP: 12669GRP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2523146 | PA      | $121.11       | 0.00%             | 2035-03-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-11                                          | CUSIP: 12669GUT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2940578 | PA      | $145223.37    | 0.01%             | 2035-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                   | CQS US CLO 5 Ltd                                                                 | CUSIP: 12676EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011440.00   | 0.08%             | 2039-01-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-C                                                | CUSIP: 223920AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4207220.80   | 0.16%             | 2032-03-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-D                                    | CUSIP: 223936AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2068939.60   | 0.08%             | 2033-05-16      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-A                                                | CUSIP: 22411CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1052352.40   | 0.04%             | 2031-08-15      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-D                                                | CUSIP: 22411JAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2055136.80   | 0.08%             | 2032-06-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                 | Credit Acceptance Corp                                                           | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1604570.19   | 0.06%             | 2030-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-01

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

**Signature:** /s/ Michael Colombo

**Name of Signer:** Michael Colombo

**Title:** Secretary