# EDGAR Filing Document

**Accession Number:** 0001829774
**File Stem:** 0001752724-23-013481
**Filing Date:** 2023-1
**Character Count:** 302171
**Document Hash:** 3a52371fac4ca259952fc8576e5f1bb2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-013481.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-013481

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230125

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** James Alpha Funds Trust
- **CENTRAL INDEX KEY:** 0001829774
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23611
- **FILM NUMBER:** 23553672

**BUSINESS ADDRESS:**
- **STREET 1:** 515 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** 888-814-8180

**MAIL ADDRESS:**
- **STREET 1:** 515 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

## Series and Classes Contracts Data

### Easterly Income Opportunities Fund (Series ID: S000070607)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000224285 | Easterly Income Opportunities Fund Class A  | JASVX           |
| C000224286 | Easterly Income Opportunities Fund Class C  | JSVCX           |
| C000224287 | Easterly Income Opportunities Fund Class R6 | JASSX           |
| C000224288 | Easterly Income Opportunities Fund Class I  | JSVIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** James Alpha Funds Trust

- **b. Investment Company Act file number:** 811-23611

- **c. CIK number of Registrant:** 0001829774

- **d. LEI of Registrant:** 5493007JDS1R5QEQGK05

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

  - **Street Address 1:** 515 Madison Ave

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022

  - **Telephone number:** 646-201-4042

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

- **a. Name of Series:** Easterly Income Opportunity Fund

- **b. EDGAR series identifier (if any):** S000070607

- **c. LEI of Series:** 5493001V2WFB1F6L7V25

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

- **a. Date of fiscal year-end:** 2022-11-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $316789673.87

**Total Liabilities:** $1318585.02

**Net Assets:** $315471088.85

**Cash Not Reported:** $1516036.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 131.27726600 | **1-Year:** 14530.46680600 | **5-Year:** 19249.69823600 | **10-Year:** 57899.80787600 | **30-Year:** 33663.34921600

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

- **3-Month:** 281.86343600 | **1-Year:** 7222.41559500 | **5-Year:** 11091.74847100 | **10-Year:** 20291.31666000 | **30-Year:** 9659.21671000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000224285 | -1.63%               | -1.07%               | 0.39%                |
| Class ID C000224287 | -1.52%               | -1.06%               | 0.42%                |
| Class ID C000224286 | -1.63%               | -1.16%               | 0.34%                |
| Class ID C000224288 | -1.55%               | -1.07%               | 0.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $71571.44                | $-7180233.43                               |
| Month 2  | $36877.29                | $-4843301.13                               |
| Month 3  | $-464623.94              | $863807.27                                 |

**Designated Index Information**

- **Index Name:** U.S. Aggregate

- **Index Identifier:** I00001US-USD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CSMC 2021-RPL2 TRUST                                                                                      | CSMC 2021-RPL2 M3      | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279423 | PA      | $180392.00    | 0.06%             | 2060-01-25      | Floating      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse, Nassau Branch                                                                              | CS 10 01/29/31         | CUSIP: 22546VTV8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    220000 | PA      | $146850.00    | 0.05%             | 2031-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                                                           | RAST 2003-A10 A5       | CUSIP: 45660NUH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586099 | PA      | $524882.45    | 0.17%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                                                    | SEMT 2017-1 B3         | CUSIP: 81746TCD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81605 | PA      | $53791.03     | 0.02%             | 2047-02-25      | Floating      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| SHELLPOINT CO-ORIGINATOR TRUST                                                                            | SCOT 2017-1 B4         | CUSIP: 82280RCE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83454 | PA      | $53608.85     | 0.02%             | 2047-04-25      | Floating      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                 | GMACM 2005-AR5 4A1     | CUSIP: 76112BYD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2514327 | PA      | $2209251.53   | 0.70%             | 2035-09-19      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                                            | CFMT 2019-RM3 D        | CUSIP: 147271AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2743056 | PA      | $2225409.43   | 0.71%             | 2069-06-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                                               | LMAT 2020-GS5 A1       | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361161 | PA      | $349286.92    | 0.11%             | 2060-06-25      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-G                                                                       | GSMS 2014-GC18 B       | CUSIP: 36252RBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1702000 | PA      | $1560039.24   | 0.49%             | 2047-01-10      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-2                                                             | VCC 2022-2 M1          | CUSIP: 92259UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1476373 | PA      | $1410753.29   | 0.45%             | 2052-04-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 09/27/28      | CUSIP: 61760QDJ0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $751100.00    | 0.24%             | 2028-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                    | JPMCC 2012-WLDN A      | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3068180 | PA      | $2472296.41   | 0.78%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE TRUST                                                                           | CAFL 2021-2 D          | CUSIP: 21873BAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $720900.00    | 0.23%             | 2054-07-15      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS CDS USD SR 5Y D14   | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              | CORP              | N/A       |  20000000 | PA      | $-161654.51   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE TRUST                                                                          | PFMT 2021-2 A1         | CUSIP: 74388JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1773307 | PA      | $1582676.11   | 0.50%             | 2051-04-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse AG London Branch                                                                            | CS FLOAT 10/31/31      | CUSIP: 22548QKB0<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   1024000 | PA      | $697600.00    | 0.22%             | 2031-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                            | C FLOAT 12/29/34       | CUSIP: 1730T03J6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    507000 | PA      | $291525.00    | 0.09%             | 2034-12-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2005-1 Trust                                                                 | WFALT 2005-1 2A3       | CUSIP: 94981FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1112441 | PA      | $1083013.44   | 0.34%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2007-4 1A1        | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180836 | PA      | $135366.58    | 0.04%             | 2036-01-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                                       | GMSL 2004-A A1         | CUSIP: 378961AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   8089601 | PA      | $7623432.46   | 2.42%             | 2032-11-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2004-7 1A1         | CUSIP: 36228F4P8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     13937 | PA      | $12170.64     | 0.00%             | 2034-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 05/29/35      | CUSIP: 61760QGD0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     73000 | PA      | $56940.00     | 0.02%             | 2035-05-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                                                          | GECMS 1999-HE1 A6      | CUSIP: 36157RD77<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91561 | PA      | $84537.53     | 0.03%             | 2029-04-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SASC 2004-4XS 1A5      | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119330 | PA      | $111940.66    | 0.04%             | 2034-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                                                  | AOMT 2019-4 B1         | CUSIP: 03463UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2689882.80   | 0.85%             | 2049-07-26      | Floating      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-28CB 3A1    | CUSIP: 12667FYS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88193 | PA      | $77605.44     | 0.02%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 12/31/34         | CUSIP: 61760QFN9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    230000 | PA      | $131100.00    | 0.04%             | 2034-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 9 01/31/37          | CUSIP: 61766YAZ4<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   1269000 | PA      | $888300.00    | 0.28%             | 2037-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                                                                        | JPALT 2005-S1 1A8      | CUSIP: 46627MAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246790 | PA      | $11975.76     | 0.00%             | 2035-12-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-J11 1A3     | CUSIP: 12668AJB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52993 | PA      | $31899.26     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 09/30/30         | CUSIP: 61760QHJ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    285000 | PA      | $199500.00    | 0.06%             | 2030-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                                                                        | SARM 2005-4 1A1        | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225695 | PA      | $178696.90    | 0.06%             | 2035-03-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mtg Inv Trust                                                                               | MLCC 2007-3 2A2        | CUSIP: 59022XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48652 | PA      | $36700.63     | 0.01%             | 2037-09-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 06/29/29      | CUSIP: 61761JRD3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87000.00     | 0.03%             | 2029-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 03/31/35      | CUSIP: 61760QFU3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    438000 | PA      | $260610.00    | 0.08%             | 2035-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                                | NOMURA FLOAT 02/28/34  | CUSIP: 65539ABB5<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |     65000 | PA      | $37409.84     | 0.01%             | 2034-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 04/30/30      | CUSIP: 61760QFX7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3588000 | PA      | $2511600.00   | 0.80%             | 2030-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WINWATER MTG LN TR 2015-4                                                                                 | WIN 2015-1 B2          | CUSIP: 97652TBC6<br>LEI: 5493006H0W2XGUBIBK91 | Long             | ABS-O            | CORP              | US        |    219527 | PA      | $191614.70    | 0.06%             | 2045-01-20      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWALT 2003-J3 2A1      | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41779 | PA      | $40550.03     | 0.01%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                   | KNFP FLOAT 03/31/36    | CUSIP: 63873HEZ3<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |    618000 | PA      | $376980.00    | 0.12%             | 2036-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| National City Mtg                                                                                         | NATCM 2008-1 2A2       | CUSIP: 635419AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27570 | PA      | $26386.57     | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                          | MSAC 2003-SD1 M2       | CUSIP: 61746RCG4<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    300453 | PA      | $266200.54    | 0.08%             | 2033-03-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Preferred Term Securities IV Ltd/Inc                                                                      | PRETSL FLOAT 12/23/31  | CUSIP: 74040TAC7<br>LEI: 549300EDHELI2Z97XO34 | Long             | ABS-O            | CORP              | KY        |    267852 | PA      | $256869.90    | 0.08%             | 2031-12-23      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                                                          | BALTA 2004-11 2A1      | CUSIP: 07386HMV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4139 | PA      | $3867.27      | 0.00%             | 2034-11-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                            | RALI 2005-QA4 A41      | CUSIP: 76110H4L0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17139 | PA      | $16053.16     | 0.01%             | 2035-04-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2004-1 21A1      | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12842 | PA      | $11482.45     | 0.00%             | 2034-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon 06-Ar3                                                                                        | FHASI 2006-AR3 1A1     | CUSIP: 32052EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118152 | PA      | $81415.05     | 0.03%             | 2036-11-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2003-7 6A1        | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56768 | PA      | $55327.95     | 0.02%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-3 2A1        | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70589 | PA      | $68760.33     | 0.02%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 9 11/30/35          | CUSIP: 61760QJD7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    109000 | PA      | $86110.00     | 0.03%             | 2035-11-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2005-8 9A9        | CUSIP: 2254582T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114081 | PA      | $75792.69     | 0.02%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Coml Mtg Tr 2018                                                                                | CGCMT 2018-C5 AS       | CUSIP: 17291DAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $44215.44     | 0.01%             | 2051-06-10      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BBH                                                                                                       | BBH SWEEP VEHICLE      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   8764618 | PA      | $8764618.09   | 2.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Aspen Funding I Ltd/(Delaware)Corp                                                                        | ASPEN 2002-1X B1       | CUSIP: G0538QAD8<br>LEI: 549300IVP8JA0QFOPS57 | Long             | ABS-CBDO         | CORP              | KY        |    486101 | PA      | $491448.02    | 0.16%             | 2037-07-10      | Fixed         | 9.06%                 | Yes           |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES  TRUST                                                              | AMMST 2020-MF1 E       | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $583087.10    | 0.18%             | 2053-05-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 14 04/30/33         | CUSIP: 61766YCR0<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    498000 | PA      | $336150.00    | 0.11%             | 2033-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance                                                                       | CBAC 2007-1A A         | CUSIP: 14984WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2821650 | PA      | $2475613.78   | 0.78%             | 2039-07-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                                                     | RPIT 2022-1 M1         | CUSIP: 74969XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $826880.90    | 0.26%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 04/30/35      | CUSIP: 61760QFY5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    532000 | PA      | $414960.00    | 0.13%             | 2035-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                        | SASC 2005-RF2 A        | CUSIP: 86359DEX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86853 | PA      | $80134.97     | 0.03%             | 2035-04-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mtg Corp                                                                                          | CDMC 2004-1 A7         | CUSIP: 151314GB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043035 | PA      | $969986.67    | 0.31%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                                    | FHR 4910 MI            | CUSIP: 3137FNH29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1028992 | PA      | $173469.58    | 0.05%             | 2049-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aps Resecuritization Tr                                                                                   | APS 2016-3 3A          | CUSIP: 00214WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344844 | PA      | $344756.55    | 0.11%             | 2046-09-27      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| GOODGREEN TRUST                                                                                           | GOODG 2021-1A C        | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2215752 | PA      | $1755410.20   | 0.56%             | 2056-10-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Homebanc Mtg Trust                                                                                        | HMBT 2005-3 M3         | CUSIP: 43739EBN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $81520.15     | 0.03%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2005-J2 3A12      | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    571141 | PA      | $353122.52    | 0.11%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Sec                                                                                        | MSSTR 2004-1 4A1       | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63031 | PA      | $56230.85     | 0.02%             | 2032-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Csmc Tr                                                                                                   | CSMC 2015-1 B4         | CUSIP: 12649NAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419252 | PA      | $1118880.44   | 0.35%             | 2045-01-25      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-12R A3      | CUSIP: 12667GAR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45887 | PA      | $40219.30     | 0.01%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                                     | LMT 2006-2 2A3         | CUSIP: 52520MGL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149368 | PA      | $149446.37    | 0.05%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2015-1                                                                          | TPMT 2015-1 A5         | CUSIP: 89171DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930000 | PA      | $895020.56    | 0.28%             | 2053-10-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                           | LLOYDS FLOAT 11/27/33  | CUSIP: 5394E8CE7<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    655000 | PA      | $395722.18    | 0.13%             | 2033-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                    | C 10 03/29/34          | CUSIP: 17326YL95<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $159000.00    | 0.05%             | 2034-03-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                            | MSC 2014-150E AS       | CUSIP: 61764BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $368233.61    | 0.12%             | 2032-09-09      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| LONGTRAIN LEASING III LLC                                                                                 | LTRAN 2015-1A A2       | CUSIP: 543190AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350002 | PA      | $323508.37    | 0.10%             | 2045-01-15      | Fixed         | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-54CB 1A11   | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36454 | PA      | $28525.69     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                                                         | MSM 2006-8AR 4A2       | CUSIP: 61749LAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23428 | PA      | $21293.56     | 0.01%             | 2036-06-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                   | BAYC 2008-2 A4A        | CUSIP: 07326HAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2575157 | PA      | $2493328.86   | 0.79%             | 2038-04-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Nomura Home Equity                                                                                        | NHELI 2006-HE2 M1      | CUSIP: 65536MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104990 | PA      | $90291.76     | 0.03%             | 2036-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                                                                | MFCC 2021-1A B         | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $692860.50    | 0.22%             | 2026-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| Equity One, Inc.                                                                                          | EQABS 2002-3 M1        | CUSIP: 294751AV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124009 | PA      | $119655.31    | 0.04%             | 2032-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Jpmccmst 2016-Nine                                                                                        | JPMCC 2016-NINE A      | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $86289.71     | 0.03%             | 2038-09-06      | Floating      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2005-6 A1        | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58495 | PA      | $52198.44     | 0.02%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp                                                                                 | IMSA 2006-1 2A1        | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93787 | PA      | $85647.80     | 0.03%             | 2036-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital Llc                                                                              | CDMC 2004-4 A8         | CUSIP: 15132EJW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98667 | PA      | $89471.82     | 0.03%             | 2034-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                         | BACR 10 10/18/28       | CUSIP: 06741TS24<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $37375.00     | 0.01%             | 2028-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2002-9 1A2        | CUSIP: 22540VG71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297989 | PA      | $276529.78    | 0.09%             | 2032-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bayview Cml Asst T                                                                                        | BAYC 2007-3 M4         | CUSIP: 07325YAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1084491 | PA      | $905857.70    | 0.29%             | 2037-07-25      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                         | BACR FLOAT 08/15/33    | CUSIP: 06741TZW0<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $45000.00     | 0.01%             | 2033-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN PACIFIC SECD ASSETS CORP                                                                         | SPSAC 1997-2 M1F       | CUSIP: 843590BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213328 | PA      | $212434.98    | 0.07%             | 2027-05-25      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                                | JPMMT 2014-IVR3 B3     | CUSIP: 46643BBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2291418 | PA      | $2210582.02   | 0.70%             | 2044-09-25      | Floating      | 2.67%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                                                 | CHASE 2020-CL1 M3      | CUSIP: 46591HAJ9<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    185538 | PA      | $178981.86    | 0.06%             | 2057-10-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2003-S4 CB1       | CUSIP: 9292275Q5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504438 | PA      | $462254.21    | 0.15%             | 2033-06-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                                                                | CWL 2004-SD3 B1        | CUSIP: 126673FP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75256 | PA      | $73887.55     | 0.02%             | 2032-11-25      | Floating      | 8.54%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2005-AR3 2A1       | CUSIP: 36242D4S9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     14559 | PA      | $11262.87     | 0.00%             | 2035-05-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-11 8A1      | CUSIP: 55265K2N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47205 | PA      | $43817.22     | 0.01%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-25 1A8       | CUSIP: 22541QYL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76160 | PA      | $69140.79     | 0.02%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                                                                            | RPIT 2021-2 M1         | CUSIP: 74969VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023086 | PA      | $814802.07    | 0.26%             | 2061-09-25      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 9 09/30/36          | CUSIP: 61766YAP6<br>LEI: 549300YTG00DJS1TOQ38 | Long             | DBT              | CORP              | US        |    788000 | PA      | $559480.00    | 0.18%             | 2036-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                                                         | MSM 2004-8AR 2A        | CUSIP: 61748HED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25644 | PA      | $22630.53     | 0.01%             | 2034-10-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 10/30/30      | CUSIP: 61760QHW7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    151000 | PA      | $100037.50    | 0.03%             | 2030-10-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| C-Bass                                                                                                    | CBASS 2004-CB4 A5      | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1109926 | PA      | $977000.68    | 0.31%             | 2035-05-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                                           | MSDWC 2003-HYB1 A3     | CUSIP: 61746WB90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104873 | PA      | $92278.99     | 0.03%             | 2033-03-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                     | SOCGEN 21 10/29/32     | CUSIP: 83369EE55<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    744000 | PA      | $472440.00    | 0.15%             | 2032-10-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-Ms1                                                                   | MSC 2015-MS1 D         | CUSIP: 61765DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $165229.26    | 0.05%             | 2048-05-15      | Floating      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 09/16/31      | CUSIP: 61745EL58<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    228200 | PA      | $146048.00    | 0.05%             | 2031-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                     | FNGT 2002-T10 A1       | CUSIP: 31392DUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     85065 | PA      | $82924.94     | 0.03%             | 2032-06-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                                                                          | VSTA 2020-2 B1         | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $79717.88     | 0.03%             | 2065-04-25      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                                                    | VCC 2018-1 M6          | CUSIP: 92257AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481081 | PA      | $372410.06    | 0.12%             | 2048-04-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 10/30/30         | CUSIP: 61760QHY3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    171000 | PA      | $106934.68    | 0.03%             | 2030-10-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                                                              | BSABS 2006-AC2 21A6    | CUSIP: 07387UGU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    603442 | PA      | $215709.29    | 0.07%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                           | HMH 2017-NSS A         | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $658180.84    | 0.21%             | 2031-07-05      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Csail Commercial Mortgage Trust                                                                           | CSAIL 2015-C2 C        | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1180384.65   | 0.37%             | 2057-06-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                         | NWG FLOAT 08/26/31     | CUSIP: 78009PBK6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $60000.00     | 0.02%             | 2031-08-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2004-7 M4          | CUSIP: 45254NKN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36452 | PA      | $34844.38     | 0.01%             | 2034-11-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| US AUTO FUNDING TRUST 2021-1                                                                              | USAUT 2021-1A D        | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3168770.50   | 1.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 10/31/34      | CUSIP: 61760QFE9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    233000 | PA      | $139800.00    | 0.04%             | 2034-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2005-RP2 1AF     | CUSIP: 36242DT52<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     35010 | PA      | $32848.43     | 0.01%             | 2035-03-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SASC 2004-4XS A3A      | CUSIP: 86359BHJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15336 | PA      | $14391.96     | 0.00%             | 2034-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 8 08/31/37         | CUSIP: 47233JAV0<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    446000 | PA      | $256450.00    | 0.08%             | 2037-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-25 1A11      | CUSIP: 22541QF56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228479 | PA      | $207711.07    | 0.07%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-J8 2A1      | CUSIP: 12667FSH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136991 | PA      | $123159.60    | 0.04%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2015-1                                                                          | TPMT 2015-1 B1         | CUSIP: 89171DAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $194723.16    | 0.06%             | 2053-10-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                            | C 10 08/31/35          | CUSIP: 1730T3AV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     55000 | PA      | $31075.00     | 0.01%             | 2035-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB FLOAT 11/26/34      | CUSIP: 25152RXG3<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    961000 | PA      | $547770.00    | 0.17%             | 2034-11-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 8 12/23/35          | CUSIP: 61760QJF2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    134000 | PA      | $104520.00    | 0.03%             | 2035-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Z Capital Credit Partners CLO 2021-1 Ltd/LLC                                                              | ZCCP 2018-1A B         | CUSIP: 98878CAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   3000000 | PA      | $2953482.00   | 0.94%             | 2031-01-16      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                    | VCC 2020-1 M2          | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96843 | PA      | $82258.29     | 0.03%             | 2050-02-25      | Floating      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SARM 2004-2 4A1        | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61129 | PA      | $54308.30     | 0.02%             | 2034-03-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-11 9A6      | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58984 | PA      | $55854.40     | 0.02%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                    | C FLOAT 11/22/32       | CUSIP: 17324CP34<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     35000 | PA      | $26250.00     | 0.01%             | 2032-11-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mellon Residential                                                                                        | MRFC 2000-TBC3 B4      | CUSIP: 585525EU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188245 | PA      | $163619.99    | 0.05%             | 2030-12-15      | Floating      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2004-4 1A3       | CUSIP: 36242DJT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346117 | PA      | $330151.36    | 0.10%             | 2034-06-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Interstar Millennium 2004-4E Trust                                                                        | IMT 2004-4E A1         | CUSIP: Q7788NAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    209056 | PA      | $202766.46    | 0.06%             | 2036-11-14      | Floating      | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                    | MLMI 2003-A4 3A        | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37072 | PA      | $32659.66     | 0.01%             | 2033-05-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Ellington Clo Ii Llc                                                                                      | ECLO 2017-2A C         | CUSIP: 28852EAE9<br>LEI: 254900YE647HYXEP3N43 | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2423505.00   | 0.77%             | 2029-02-15      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF FLOAT 02/28/38     | CUSIP: 47233JBJ6<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    762000 | PA      | $502920.00    | 0.16%             | 2038-02-28      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2003-4 3M2         | CUSIP: 45254NEK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71159 | PA      | $66478.71     | 0.02%             | 2033-07-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                                                              | OT 2017-OT E           | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $259384.66    | 0.08%             | 2039-05-10      | Floating      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Hudson's Bay Simon JV Trust                                                                               | HBCT 2015-HB7 A7       | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2366000 | PA      | $2104871.91   | 0.67%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| MFA 2022-RPL1 TRUST                                                                                       | MFRA 2022-RPL1 M1      | CUSIP: 55285TAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $756664.00    | 0.24%             | 2061-08-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS4                                                                     | GSMS 2016-GS4 C        | CUSIP: 36251XAY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $854582.20    | 0.27%             | 2049-11-10      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Wf-Rbs Com Mg Tst                                                                                         | WFRBS 2014-C25 D       | CUSIP: 92939LAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460148 | PA      | $365408.08    | 0.12%             | 2047-11-15      | Floating      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 02/27/35      | CUSIP: 61760QFR0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    473000 | PA      | $264880.00    | 0.08%             | 2035-02-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES  TRUST                                                              | AMMST 2020-MF1 D       | CUSIP: 03881BAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    723000 | PA      | $448901.16    | 0.14%             | 2053-05-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2005-1 2A9       | CUSIP: 57643MKL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73978 | PA      | $58007.90     | 0.02%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                                                  | COLT 2021-3R A2        | CUSIP: 19688DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46648 | PA      | $36588.43     | 0.01%             | 2064-12-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 01/21/26      | CUSIP: 61745E2K6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57750.00     | 0.02%             | 2026-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                                                                        | WAMMS 2005-RA1 3B4     | CUSIP: 9393364V2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13825 | PA      | $10913.73     | 0.00%             | 2035-01-25      | Floating      | 3.03%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                                                           | INDX 2004-AR11 2A      | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19203 | PA      | $17024.55     | 0.01%             | 2034-12-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2013-IVR5                                                                                      | CSMC 2013-IVR5 B4      | CUSIP: 12647VBC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1006215 | PA      | $927019.75    | 0.29%             | 2043-10-25      | Floating      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 03/31/31      | CUSIP: 61745E6X4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15400.00     | 0.00%             | 2031-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB 7 1/2 01/31/33      | CUSIP: 25152RUV3<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    120000 | PA      | $68400.00     | 0.02%             | 2033-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                  | JPMMT 2004-S2 4A5      | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26967 | PA      | $23653.42     | 0.01%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2003-5 1A1       | CUSIP: 07384MWF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58811 | PA      | $53957.32     | 0.02%             | 2033-08-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2015-RP2 A       | CUSIP: 17323TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50945 | PA      | $47239.81     | 0.01%             | 2053-01-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Bayview Cml Asst T                                                                                        | BAYC 2007-3 M2         | CUSIP: 07325YAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438714 | PA      | $369716.26    | 0.12%             | 2037-07-25      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                                                                         | SBM7 2002-WMC1 M1      | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14332 | PA      | $13692.00     | 0.00%             | 2032-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST 2022-4                                                                               | CHNGE 2022-4 A1        | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    491400 | PA      | $477394.36    | 0.15%             | 2057-10-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWALT 2003-J2 A1       | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120054 | PA      | $110763.50    | 0.04%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                                                               | DELHE 1999-3 A2F       | CUSIP: 24763LFV7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | CORP              | US        |    143341 | PA      | $131470.96    | 0.04%             | 2029-09-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                    | SLMA 2005-8 B          | CUSIP: 78442GQT6<br>LEI: 549300H0EHPP0GTD9V95 | Long             | ABS-O            | USGA              | US        |     31539 | PA      | $28240.55     | 0.01%             | 2055-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-J9 2A6       | CUSIP: 12669GFL0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     66094 | PA      | $63368.85     | 0.02%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                                                                    | CMHAT 2019-MH1 M       | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $917191.00    | 0.29%             | 2044-11-01      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                                                                    | NAA 2007-1 1A3         | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90690 | PA      | $84111.03     | 0.03%             | 2047-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage                                                                                              | PHHMC 2008-CIM1 21A1   | CUSIP: 69337LAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467179 | PA      | $437996.59    | 0.14%             | 2038-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2004-6 3A        | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101908 | PA      | $86954.11     | 0.03%             | 2034-09-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 08/29/34         | CUSIP: 61760QES9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    121000 | PA      | $70936.25     | 0.02%             | 2034-08-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ryland Mortgage Se                                                                                        | RYMS 1994-1 B          | CUSIP: 783766QB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1414 | PA      | $261.53       | 0.00%             | 2030-04-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                        | CMSI 2007-4 1A5        | CUSIP: 17312XAE4<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |    192390 | PA      | $165482.78    | 0.05%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI As Ln 2007-Ar2                                                                                        | HALO 2007-AR2 4A1      | CUSIP: 44329EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200414 | PA      | $159805.24    | 0.05%             | 2037-09-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Financial Asset Securities Corp.                                                                          | AAA 2005-1A 1A3B       | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172753 | PA      | $155188.87    | 0.05%             | 2035-02-27      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2003-S3 1A4       | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37876 | PA      | $35641.39     | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 10 10/31/37        | CUSIP: 47233JBB3<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    240000 | PA      | $142200.00    | 0.05%             | 2037-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSAMP 2002-WF A2B      | CUSIP: 36228FJP2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     42151 | PA      | $41819.83     | 0.01%             | 2032-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-J11 3A1     | CUSIP: 12667FXN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46861 | PA      | $45546.87     | 0.01%             | 2032-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loan Tst                                                                       | SNMLT 2005-2A A4       | CUSIP: 81441PCT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1438717.20   | 0.46%             | 2035-02-25      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| DWRS 2016-1                                                                                               | DWRS 2016-1A UCF       | CUSIP: 23341DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7294617 | PA      | $2078965.71   | 0.66%             | 2032-04-23      | Fixed         | 1.04%                 | Yes           |                  2 | On Loan: No      |
| Nassau 2018-I Ltd / Llc                                                                                   | NCC 2018-IA E          | CUSIP: 63170NAA9<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $200744.00    | 0.06%             | 2031-07-15      | Floating      | 9.93%                 | Yes           |                  2 | On Loan: No      |
| Strats Trust for Goldman Sachs Capital I Securities                                                       | STRATS FLOAT 02/15/34  | CUSIP: 86312BAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $104408.76    | 0.03%             | 2034-02-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                                            | ARMT 2005-6A 2A2       | CUSIP: 007036PH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    574035 | PA      | $173748.60    | 0.06%             | 2035-11-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2005-3 B1         | CUSIP: 81744FHP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375995 | PA      | $270062.58    | 0.09%             | 2035-05-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                 | HVMLT 2003-1 A         | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241345 | PA      | $194246.52    | 0.06%             | 2033-05-19      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 8 09/29/37          | CUSIP: 61766YBY6<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    158000 | PA      | $112180.00    | 0.04%             | 2037-09-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2003-R4 2A        | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107679 | PA      | $82067.86     | 0.03%             | 2034-01-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                                | JPMCC 2013-LC11 E      | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $343006.85    | 0.11%             | 2046-04-15      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                                       | GMSL 2004-A A3         | CUSIP: 378961AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1465508 | PA      | $1485392.39   | 0.47%             | 2032-11-25      | Floating      | 9.52%                 | Yes           |                  2 | On Loan: No      |
| PHH Mtg Cap Llc                                                                                           | PHHMC 2005-4 A8        | CUSIP: 69336RBN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429764 | PA      | $408102.16    | 0.13%             | 2035-07-18      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                                                                     | BOAA 2003-8 1CB1       | CUSIP: 05948XTV3<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    226509 | PA      | $214336.85    | 0.07%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                                                      | GFMT 2017-1 B4         | CUSIP: 36416UBN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1916067 | PA      | $1732431.47   | 0.55%             | 2056-07-25      | Floating      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities 2015-C29                                                             | JPMBB 2015-C29 C       | CUSIP: 46644RBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339000 | PA      | $300572.27    | 0.10%             | 2048-05-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| SFAVE COMMERCIAL MORTGAGE SECURITIES TRUST                                                                | SFAVE 2015-5AVE A1     | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-O            | CORP              | US        |    642500 | PA      | $439307.83    | 0.14%             | 2043-01-05      | Floating      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                       | BNS FLOAT 06/27/33     | CUSIP: 064159CK0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    190000 | PA      | $109725.00    | 0.03%             | 2033-06-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                     | FN 257064              | CUSIP: 31371NQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37083 | PA      | $36261.27     | 0.01%             | 2037-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2004-AR5 11A2     | CUSIP: 22541SJL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21722 | PA      | $21716.26     | 0.01%             | 2034-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage 2012-Lc4                                                                              | COMM 2012-LC4 B        | CUSIP: 126192AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82764 | PA      | $82621.46     | 0.03%             | 2044-12-10      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2005-AR3 1A1       | CUSIP: 36242D4R1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     46643 | PA      | $37504.38     | 0.01%             | 2035-05-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust 2012-C4                                                            | UBSBB 2012-C4 D        | CUSIP: 90270RAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129428 | PA      | $126457.88    | 0.04%             | 2045-12-10      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group PLC                                                                                         | NWG FLOAT 08/18/31     | CUSIP: 78009PBE0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $76250.00     | 0.02%             | 2031-08-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities                                                                              | CMSI 2005-4 1A5        | CUSIP: 172973W47<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |    140801 | PA      | $128475.54    | 0.04%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                                                          | CFAB 2002-4 2A1        | CUSIP: 161546DQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8335 | PA      | $7949.14      | 0.00%             | 2032-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                                                    | CWALT 2006-40T1 2A1    | CUSIP: 02148KAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105076 | PA      | $31520.94     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SG Structured Products, Inc.                                                                              | SOCGEN FLOAT 03/31/26  | CUSIP: 78423AJ45<br>LEI: 549300D8JJ608SOIGA98 | Long             | DBT              | CORP              | US        |    202000 | PA      | $166650.00    | 0.05%             | 2026-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                                                    | SEQUOIA MORTGAGE TRUST | CUSIP: 81745LAF0<br>LEI: 549300BU8OEB78D7JI24 | Long             | ABS-O            | CORP              | US        |    288356 | PA      | $254983.15    | 0.08%             | 2044-11-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                   | BAYC 2007-4A A1        | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4527469 | PA      | $4092196.03   | 1.30%             | 2037-09-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Csmc Tr                                                                                                   | CSMC 2007-5R A5        | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309180 | PA      | $77939.96     | 0.02%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                                                                          | ACCSS 2004-2 B         | CUSIP: 00432CBZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44000 | PA      | $40028.17     | 0.01%             | 2043-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2003-2F M2         | CUSIP: 45254NDT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64451 | PA      | $61389.40     | 0.02%             | 2033-01-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-12 1A1      | CUSIP: 55265K3J6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82308 | PA      | $80722.99     | 0.03%             | 2024-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PEAKS CLO 2 LTD                                                                                           | PEAKS 2017-2A CR       | CUSIP: 70469XAS3<br>LEI: 549300BU7U9SZMLBY924 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $468007.50    | 0.15%             | 2031-07-20      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| HALCYON LOAN ADVISORS FUNDING LTD                                                                         | HLA 2013-1A C          | CUSIP: 40537XAG0<br>LEI: 549300SU2HGHNRLL0O32 | Long             | ABS-CBDO         | CORP              | KY        |    368556 | PA      | $365170.52    | 0.12%             | 2025-04-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                                | NOMURA FLOAT 12/31/33  | CUSIP: 655365AA2<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |    274000 | PA      | $163030.00    | 0.05%             | 2033-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2001-26 5A1       | CUSIP: 22540VFQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152096 | PA      | $151582.02    | 0.05%             | 2031-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                                                   | AHM 2004-1 2M1         | CUSIP: 02660TAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94388 | PA      | $81023.15     | 0.03%             | 2044-04-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2005-R2 2A4       | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19947 | PA      | $19153.94     | 0.01%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-16CB 1A1    | CUSIP: 12667FLT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10742 | PA      | $10220.64     | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                                               | CSFB 2004-6 1A3        | CUSIP: 2254W0GW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181142 | PA      | $164874.13    | 0.05%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                                                                         | MELLO 2018-MTG1 B3     | CUSIP: 585498BJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104327 | PA      | $86172.25     | 0.03%             | 2048-03-25      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 01/30/35      | CUSIP: 61760QFP4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    304000 | PA      | $188480.00    | 0.06%             | 2035-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                   | KNFP FLOAT 07/31/34    | CUSIP: 63873HLU6<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $841330.00    | 0.27%             | 2034-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                           | LLOYDS FLOAT 01/31/33  | CUSIP: 5394E8BK4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $114000.00    | 0.04%             | 2033-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2001-33 3B1       | CUSIP: 22540VRV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139311 | PA      | $126374.01    | 0.04%             | 2032-01-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Raac Ser 2007 Rp3                                                                                         | RAAC 2007-RP3 A        | CUSIP: 74978BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    599889 | PA      | $561238.23    | 0.18%             | 2046-10-25      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2006-RP1 1A2     | CUSIP: 3623413E7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    135105 | PA      | $116688.26    | 0.04%             | 2036-01-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Rbsgc Structured T                                                                                        | RBSGC 2008-A A1        | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354119 | PA      | $297310.86    | 0.09%             | 2035-11-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                                                                     | MARM 2003-2 4A1        | CUSIP: 576433DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16655 | PA      | $15589.46     | 0.00%             | 2033-07-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                               | FFML 2002-FF1 M2       | CUSIP: 32027NAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362293 | PA      | $329786.18    | 0.10%             | 2032-04-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-11 1A31      | CUSIP: 22541QBS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83739 | PA      | $79496.12     | 0.03%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| L2L Ed Ln Tr 06-1                                                                                         | LTLRN 2006-1A A3       | CUSIP: 50246NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109666 | PA      | $105885.76    | 0.03%             | 2031-06-15      | Floating      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Argentina (Republic of)                                                                                   | ARGENT 0 1/8 07/09/35  | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1185000 | PA      | $278516.59    | 0.09%             | 2035-07-09      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                                   | BAYV 2004-B A1         | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3271604 | PA      | $2573568.41   | 0.82%             | 2039-05-28      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                                                                | AMRES 1999-1 A         | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380693 | PA      | $343640.07    | 0.11%             | 2029-06-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2007-HF1 4PO      | CUSIP: 55291YAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    866093 | PA      | $25951.95     | 0.01%             | 2047-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CNL Coml Mortgage Loan Trust                                                                              | CNL 2003-1A A1         | CUSIP: 12614MAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482477 | PA      | $468782.65    | 0.15%             | 2031-05-15      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                 | GMACM 2004-J2 A8       | CUSIP: 36185N2E9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96958 | PA      | $92766.26     | 0.03%             | 2034-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWALT 1998-4 IIA3      | CUSIP: 12669ATG9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     39240 | PA      | $37178.59     | 0.01%             | 2028-08-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                                                                        | WAMMS 2003-MS7 A12     | CUSIP: 939336TS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167735 | PA      | $162600.66    | 0.05%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust 2015-3                                                                    | LNSTR 2015-3 D         | CUSIP: 54910JAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3473123.20   | 1.10%             | 2048-04-20      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-2                                                                     | RPIT 2022-2 M3         | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $639131.10    | 0.20%             | 2062-06-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2004-4 1A2       | CUSIP: 36242DJS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1044824 | PA      | $992444.37    | 0.31%             | 2034-06-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-R1 2A        | CUSIP: 12669F7L1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21282 | PA      | $19166.25     | 0.01%             | 2034-11-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm                                                                                          | BSARM 2007-3 2A1       | CUSIP: 073881AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    998633 | PA      | $766823.37    | 0.24%             | 2047-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Business Loan 07-A                                                                                        | BLX 2007-AA A          | CUSIP: 12328RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    132434 | PA      | $122377.06    | 0.04%             | 2040-10-20      | Floating      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2003-AR9 1A7      | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17876 | PA      | $15723.39     | 0.00%             | 2033-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GC FTPYME Pastor 4 FTA                                                                                    | PAST 4 E               | CUSIP: E5650RAB3<br>LEI: 54930081SHHWJEY6G124 | Long             | ABS-O            | CORP              | ES        |    200000 | PA      | $124523.44    | 0.04%             | 2045-07-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                                                          | BOAA 2007-1 1A1        | CUSIP: 059496AA7<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     65578 | PA      | $53560.74     | 0.02%             | 2057-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| CAPTIAL FUNDING MORTGAGE TRUST-015                                                                        | CFGMS 2021-15 A        | CUSIP: 14020PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $986331.20    | 0.31%             | 2024-03-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2004-NCM2 1CB2   | CUSIP: 17307GGY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51190 | PA      | $47957.16     | 0.02%             | 2034-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-AR24 3A1     | CUSIP: 22541QUP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99587 | PA      | $90071.49     | 0.03%             | 2033-10-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                                   | BAYV 2005-A M1         | CUSIP: 073250BQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1552318 | PA      | $1429002.23   | 0.45%             | 2040-02-28      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Multi Sec Asset Trust                                                                                     | MSAT 2005-RR4A N       | CUSIP: 62544HAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242836 | PA      | $206628.35    | 0.07%             | 2035-11-28      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                    | C FLOAT 03/29/34       | CUSIP: 17326YVR4<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     60000 | PA      | $45600.00     | 0.01%             | 2034-03-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2004-4 1A5        | CUSIP: 22541STP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516553 | PA      | $468043.96    | 0.15%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                                                          | MHL 2004-2 B2          | CUSIP: 61913PAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157091 | PA      | $152228.34    | 0.05%             | 2034-12-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE TRUST                                                                              | RCMT 2019-5 E          | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $399179.60    | 0.13%             | 2052-02-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                  | GNR 2016-H24 AI        | CUSIP: 38376RE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1388105 | PA      | $75284.14     | 0.02%             | 2066-11-20      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2002-AR2 A        | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26285 | PA      | $22579.20     | 0.01%             | 2034-02-27      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust LLC                                                                          | WMLT 2006-A 4A1        | CUSIP: 92977TAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292251 | PA      | $271333.44    | 0.09%             | 2036-05-20      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 06/30/31      | CUSIP: 61745EX63<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $80000.00     | 0.03%             | 2031-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1                                                              | HCCLT 2019-1 M5        | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1146141.88   | 0.36%             | 2031-11-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2003-1 WB1       | CUSIP: 17307GCR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62486 | PA      | $58650.26     | 0.02%             | 2031-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming                                                                                        | MARP 2006-2 2A1        | CUSIP: 57645LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150454 | PA      | $136441.09    | 0.04%             | 2036-05-25      | Floating      | 3.39%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-HYB2 2A      | CUSIP: 12669FTH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59047 | PA      | $54193.88     | 0.02%             | 2034-07-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SASC 2003-37A B1I      | CUSIP: 86359BCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5533 | PA      | $4938.79      | 0.00%             | 2033-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                                                               | DELHE 1999-2 A1A       | CUSIP: 24763LFS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133299 | PA      | $129033.02    | 0.04%             | 2030-08-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Tropic Cdo IV Ltd / Tropic Cdo Corp                                                                       | TROPC 2004-4A A3L      | CUSIP: 89707YAC8<br>LEI: 549300G4EB8Y4RLPO182 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2445798.00   | 0.78%             | 2035-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Washington Mut Mtg                                                                                        | WAMU 2005-AR1 A1A      | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47518 | PA      | $43738.38     | 0.01%             | 2045-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Banc America Funding 2007-2 Trust                                                                         | BAFC 2007-2 1A8        | CUSIP: 05951GAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94033 | PA      | $17671.55     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                                 | GS 0 03/19/29          | CUSIP: 38147QST4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    365000 | PA      | $268731.25    | 0.09%             | 2029-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                                                          | CFAB 2004-1 1A7        | CUSIP: 161546HU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66197 | PA      | $61097.13     | 0.02%             | 2033-11-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-3 A4         | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31950 | PA      | $30354.44     | 0.01%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 11/30/30         | CUSIP: 61760QJC9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $32500.00     | 0.01%             | 2030-11-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                                              | RBSSP 2010-4 6A2       | CUSIP: 74927DAM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193424 | PA      | $185610.64    | 0.06%             | 2036-02-26      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                                                    | GSR 2006-1F 2A16       | CUSIP: 362334AN4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    117563 | PA      | $61761.33     | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2005-6F 1A7        | CUSIP: 362341DR7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      6539 | PA      | $6319.01      | 0.00%             | 2035-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| International Bank for Reconstruction and Development                                                     | IBRD Float 06/30/34    | CUSIP: 45905UPL2<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |    964000 | PA      | $578400.00    | 0.18%             | 2034-06-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-28CB 2A4    | CUSIP: 12667FYL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    437058 | PA      | $398001.49    | 0.13%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PEAKS CLO 2 LTD                                                                                           | PEAKS 2017-2A DR       | CUSIP: 70469XAU8<br>LEI: 549300BU7U9SZMLBY924 | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2439307.75   | 0.77%             | 2031-07-20      | Floating      | 9.24%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                                                           | RAST 2003-A9 A3        | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560388 | PA      | $1508280.13   | 0.48%             | 2033-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SASC 2003-40A 3A2      | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33284 | PA      | $31457.62     | 0.01%             | 2034-01-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| MTG Eq Cnv Asset                                                                                          | MECA 2007-FF2 A        | CUSIP: 61911CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5862600 | PA      | $5599943.67   | 1.78%             | 2042-02-25      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                                                       | BAFC 2005-E 8A1        | CUSIP: 05946XXW8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     43335 | PA      | $31787.99     | 0.01%             | 2035-06-20      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 07/31/35      | CUSIP: 61760QGS7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    268000 | PA      | $209040.00    | 0.07%             | 2035-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-6 6A1        | CUSIP: 576434SJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770224 | PA      | $731750.86    | 0.23%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 10/15/28      | CUSIP: 61760QDM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    753000 | PA      | $557220.00    | 0.18%             | 2028-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-6CB 1A6     | CUSIP: 12667F5H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145473 | PA      | $123798.36    | 0.04%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                  | JPMMT 2005-A7 1A4      | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32008 | PA      | $30694.52     | 0.01%             | 2035-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mtg Corp                                                                                         | AMAC 2003-11 A4        | CUSIP: 000780MP8<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |    151393 | PA      | $142276.34    | 0.05%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                    | MLMI 2005-A4 1A        | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166319 | PA      | $80811.13     | 0.03%             | 2035-07-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation Trust                                                                           | HALO 2007-AR1 4A1      | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199721 | PA      | $148515.48    | 0.05%             | 2037-01-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-15 1A2      | CUSIP: 12667FPW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55816 | PA      | $51559.31     | 0.02%             | 2034-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                                              | SAST 2003-3 M2         | CUSIP: 805564PF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35445 | PA      | $31477.50     | 0.01%             | 2033-12-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 08/19/30      | CUSIP: 61760QGY4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    290000 | PA      | $202275.00    | 0.06%             | 2030-08-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 09/30/35      | CUSIP: 61760QHH0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     79000 | PA      | $61620.00     | 0.02%             | 2035-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Mtg Ac                                                                                        | RAMC 2002-3 M2         | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128342 | PA      | $114344.24    | 0.04%             | 2032-12-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln 07-Ar2                                                                                         | GSR 2007-AR2 2A1       | CUSIP: 3622N6AC3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     76442 | PA      | $47103.76     | 0.01%             | 2037-05-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2017                                                                                           | CSMC 2017-FHA1 A1      | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217171 | PA      | $187350.57    | 0.06%             | 2047-04-25      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB FLOAT 06/30/34      | CUSIP: 25152RXB4<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    245000 | PA      | $143325.00    | 0.05%             | 2034-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-J8 1A5      | CUSIP: 12667GJ46<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142295 | PA      | $108679.69    | 0.03%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS FLOAT 11/29/36      | CUSIP: 61766YAV3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   4218000 | PA      | $2952600.00   | 0.94%             | 2036-11-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2004-10 4M2        | CUSIP: 45254NLX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24571 | PA      | $21200.75     | 0.01%             | 2035-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                           | CWHL 2006-R2 AF1       | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101923 | PA      | $93509.24     | 0.03%             | 2036-07-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ML                                                                                         | MSM 2004-8AR 4A1       | CUSIP: 61748HEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25538 | PA      | $22088.29     | 0.01%             | 2034-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                    | C FLOAT 12/14/36       | CUSIP: 17290JAA9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $30500.00     | 0.01%             | 2036-12-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU                                                                            | BSABS 2001-A B         | CUSIP: 07384JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161299 | PA      | $163387.36    | 0.05%             | 2031-02-15      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding 2013-2 Ltd./LLC                                                             | HLA 2013-2A D          | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | KY        |   1715905 | PA      | $1390948.30   | 0.44%             | 2025-08-01      | Floating      | 8.24%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                                                    | SLMA 2005-5 B          | CUSIP: 78442GPS9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     16287 | PA      | $12834.22     | 0.00%             | 2040-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic of)                                                                                   | ARGENT 1 07/09/29      | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     24086 | PA      | $6189.72      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO 2013-2 Ltd.                                                                              | BLUEM 2013-2A A2R      | CUSIP: 09626YAQ3<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $731958.75    | 0.23%             | 2030-10-22      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding Ltd                                                                         | HLA 2014-2A C          | CUSIP: 40538BAJ1<br>LEI: 549300U92YP85EMXX728 | Long             | ABS-CBDO         | CORP              | KY        |    619600 | PA      | $608590.23    | 0.19%             | 2025-04-28      | Floating      | 7.87%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                         | BACR FLOAT 07/31/34    | CUSIP: 06741UFM1<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     70000 | PA      | $42700.00     | 0.01%             | 2034-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust 2012-C4                                                            | UBSBB 2013-C5 C        | CUSIP: 90270YAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639842 | PA      | $556489.89    | 0.18%             | 2046-03-10      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 06/30/30      | CUSIP: 61760QGJ7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    403000 | PA      | $282100.00    | 0.09%             | 2030-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB FLOAT 12/23/35      | CUSIP: 25152R2W2<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |     75000 | PA      | $41625.00     | 0.01%             | 2035-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AASET TRUST                                                                                               | AASET 2020-1A A        | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156427 | PA      | $125823.49    | 0.04%             | 2040-01-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-14 4A1       | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41875 | PA      | $36965.63     | 0.01%             | 2034-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                                    | STACR 2019-DNA3 B2     | CUSIP: 35564TBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $974594.20    | 0.31%             | 2049-07-25      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-6 8A1        | CUSIP: 576434SL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411277 | PA      | $378150.86    | 0.12%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 8 07/31/37          | CUSIP: 61766YBS9<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    267000 | PA      | $189570.00    | 0.06%             | 2037-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LB Small Bal Coml                                                                                         | LBSBC 2007-1A 1A       | CUSIP: 52521GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103829 | PA      | $100617.44    | 0.03%             | 2037-03-25      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2004-S3 3A2       | CUSIP: 92922FVF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88220 | PA      | $83552.04     | 0.03%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hudson's Bay Simon JV Trust                                                                               | HBCT 2015-HBFL AFL     | CUSIP: 44422PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220809 | PA      | $194556.52    | 0.06%             | 2034-08-05      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                                              | SAST 2001-2 AF5        | CUSIP: 805564JL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29852 | PA      | $30263.27     | 0.01%             | 2029-03-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                                   | CCMFC 2005-4A A2       | CUSIP: 16678REU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209242 | PA      | $145677.69    | 0.05%             | 2036-10-25      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                  | G2 BU6365              | CUSIP: 3617N8CA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84854 | PA      | $83877.82     | 0.03%             | 2070-04-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 02/29/36      | CUSIP: 61760QJN5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    816000 | PA      | $526320.00    | 0.17%             | 2036-02-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2004-9 4A1       | CUSIP: 57643MFQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2874522 | PA      | $2300350.28   | 0.73%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2004-13F 2A1       | CUSIP: 36242DLR2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    370455 | PA      | $340278.87    | 0.11%             | 2034-11-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-28CB 6A1    | CUSIP: 12667FYV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43211 | PA      | $39104.41     | 0.01%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-6 2A1        | CUSIP: 12669FVH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52605 | PA      | $47142.23     | 0.01%             | 2034-05-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                  | JPMMT 2006-A2 5A4      | CUSIP: 466247L27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49970 | PA      | $44663.01     | 0.01%             | 2033-11-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                                                            | AMSI 2004-FR1W A6      | CUSIP: 03072SRC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29843 | PA      | $29370.04     | 0.01%             | 2034-05-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2005-RP3 1AF     | CUSIP: 362341LL1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    181438 | PA      | $149076.92    | 0.05%             | 2035-09-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Washington Mut Mtg                                                                                        | WAMMS 2003-MS9 2A      | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73228 | PA      | $71954.08     | 0.02%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                                                      | FREMF 2017-KF37 B      | CUSIP: 302953AA2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2848068 | PA      | $2761987.71   | 0.88%             | 2027-06-25      | Floating      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-27 4A4       | CUSIP: 22541QL75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71896 | PA      | $66608.34     | 0.02%             | 2033-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2000-1 A         | CUSIP: 36228FCQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1323324 | PA      | $1170679.03   | 0.37%             | 2029-06-19      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                            | RALI 2005-QA12 CB1     | CUSIP: 761118MY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113123 | PA      | $54192.16     | 0.02%             | 2035-12-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                                                 | CHASE 2020-CL1 M1      | CUSIP: 46591HAG5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    485341 | PA      | $445188.40    | 0.14%             | 2057-10-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SASC 2003-40A 3A1      | CUSIP: 86359BEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188611 | PA      | $162117.09    | 0.05%             | 2034-01-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                  | GNR 2012-27 IO         | CUSIP: 38378BQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     69397 | PA      | $246.16       | 0.00%             | 2053-04-16      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-61 2A1      | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107033 | PA      | $93599.12     | 0.03%             | 2035-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                                           | CFCRE 2011-C2 D        | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385453 | PA      | $367625.37    | 0.12%             | 2047-12-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-3CB 1A9     | CUSIP: 12667FX75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36094 | PA      | $30153.54     | 0.01%             | 2035-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| U.S. AUTO FUNDING TRUST                                                                                   | USAUT 2020-1A D        | CUSIP: 90353QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1650070.62   | 0.52%             | 2027-03-15      | Fixed         | 9.35%                 | Yes           |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                                               | LMAT 2019-SL2 A        | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693448 | PA      | $644591.68    | 0.20%             | 2059-02-25      | Floating      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 07/31/34      | CUSIP: 61760QEL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    220000 | PA      | $123750.00    | 0.04%             | 2034-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 10 05/31/34        | CUSIP: 47233JAP3<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |     97000 | PA      | $56745.00     | 0.02%             | 2034-05-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse, Nassau Branch                                                                              | CS FLOAT 09/30/30      | CUSIP: 22546VLJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    627000 | PA      | $385605.00    | 0.12%             | 2030-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                                                           | FHASI 2005-AR5 1A1     | CUSIP: 32051GXN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61542 | PA      | $53678.54     | 0.02%             | 2035-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust-2017                                                                  | NRZT 2017-2A B2        | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    383791 | PA      | $320611.71    | 0.10%             | 2057-03-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Ows Cre Funding I LLC                                                                                     | OWSCRE FLOAT 09/15/23  | CUSIP: 67114QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $953826.50    | 0.30%             | 2023-09-15      | Floating      | 8.67%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 06/28/28      | CUSIP: 61760QCQ5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     56000 | PA      | $40740.00     | 0.01%             | 2028-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2002-AR18 A       | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46290 | PA      | $43605.17     | 0.01%             | 2033-01-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-J10 2CB1    | CUSIP: 12667FVB8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     87951 | PA      | $83634.85     | 0.03%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 07/31/30      | CUSIP: 61760QGR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    182000 | PA      | $126490.00    | 0.04%             | 2030-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                                      | CSMC 2010-18R 4A4      | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37215 | PA      | $35288.54     | 0.01%             | 2038-04-26      | Floating      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Prime Mtg Trust                                                                                           | PRIME 2003-3 A9        | CUSIP: 74160MCS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391325 | PA      | $366370.45    | 0.12%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                         | BACR FLOAT 01/23/26    | CUSIP: 06747P3T4<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $68549.10     | 0.02%             | 2026-01-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2004-1 1A12      | CUSIP: 55265K5N5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10076 | PA      | $9347.20      | 0.00%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2018-L1                                                                    | MSC 2018-L1 B          | CUSIP: 61691QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72000 | PA      | $61707.39     | 0.02%             | 2051-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST                                                                   | GRADE 2020-FIG1 A1     | CUSIP: 795811AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    739386 | PA      | $725508.35    | 0.23%             | 2050-09-25      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 06/30/35      | CUSIP: 61760QGK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $93600.00     | 0.03%             | 2035-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 9 06/30/36          | CUSIP: 61766YAE1<br>LEI: 549300YTG00DJS1TOQ38 | Long             | DBT              | CORP              | US        |    541000 | PA      | $359765.00    | 0.11%             | 2036-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Finance Corp                                                                                           | GS 6 03/24/31          | CUSIP: 40057FSG0<br>LEI: 549300FR80KBVO6DRL61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $295000.00    | 0.09%             | 2031-03-24      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                     | FNW 2005-W3 3A         | CUSIP: 31394FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    226505 | PA      | $240919.90    | 0.08%             | 2045-04-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2005-8 2M1         | CUSIP: 45254NRV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658767 | PA      | $562665.88    | 0.18%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KF46 Mortgage Trust                                                                            | FREMF 2018-KF46 B      | CUSIP: 302955AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1889649 | PA      | $1848798.99   | 0.59%             | 2028-03-25      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                                                     | RPIT 2022-1 A1         | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242941 | PA      | $209122.28    | 0.07%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Rbsgc Mtg Loan Tst                                                                                        | RBSGC 2007-B 3B1       | CUSIP: 74927XAR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10976 | PA      | $10038.75     | 0.00%             | 2035-07-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                 | RAAC 2004-SP1 AII      | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44325 | PA      | $40797.02     | 0.01%             | 2034-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2007-1 30PO       | CUSIP: 55275SAW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26646 | PA      | $14855.02     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                                                           | RAST 2003-A10 A2       | CUSIP: 45660NUE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128000 | PA      | $117776.36    | 0.04%             | 2033-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LTD                                                                           | LSTRZ 2019-4 A1        | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2373686 | PA      | $2318692.16   | 0.73%             | 2024-05-01      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE                                                                         | MELLO 2018-MTG2 B5     | CUSIP: 585499BU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $575896.64    | 0.18%             | 2048-10-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2014-EB1                                                              | GSMBS 2014-EB1A B3     | CUSIP: 36250BAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    613089 | PA      | $586495.76    | 0.19%             | 2044-07-25      | Floating      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                                           | SCRT 2020-2 M          | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3400000 | PA      | $2828443.00   | 0.90%             | 2059-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Citygroup Commercial Mortgage 2015-P1                                                                     | CGCMT 2016-C2 B        | CUSIP: 17291CBU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87229.33     | 0.03%             | 2049-08-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-J5 A4        | CUSIP: 12669FF24<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    123245 | PA      | $114541.25    | 0.04%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                                                           | WFRBS 2014-C24 B       | CUSIP: 92939KBR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90850.94     | 0.03%             | 2047-11-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Preferred Term Securities X, Ltd.                                                                         | PRETSL FLOAT 07/03/33  | CUSIP: 74040YAB8<br>LEI: 549300FIXBQYXV3XRC38 | Long             | ABS-CBDO         | CORP              | KY        |     80244 | PA      | $74844.27     | 0.02%             | 2033-07-03      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TRUST                                                                    | AOMT 2020-SBC1 B1      | CUSIP: 03465BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700350 | PA      | $1698954.10   | 0.54%             | 2050-05-25      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                                           | CWHL 2007-15 2A2       | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50751 | PA      | $21905.68     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC USA, Inc.                                                                                            | HSBC FLOAT 05/21/29    | CUSIP: 40432XZ79<br>LEI: 549300LBOHZ4QSIWU288 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72750.00     | 0.02%             | 2029-05-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC AMERICA FDG 2015-R4                                                                                  | BAFC 2015-R4 5A1       | CUSIP: 05990RAP6<br>LEI: 549300R847L762RQF071 | Long             | ABS-O            | CORP              | US        |     52348 | PA      | $51724.90     | 0.02%             | 2036-10-25      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-19 1A19      | CUSIP: 22541QMR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535111 | PA      | $523766.25    | 0.17%             | 2033-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MID Ocean Cbo 2001-1 Ltd/Corp                                                                             | MID 2001-1X A1L        | CUSIP: G6106WAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3521754 | PA      | $673225.63    | 0.21%             | 2036-11-05      | Floating      | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                            | C FLOAT 06/11/33       | CUSIP: 1730T0TQ2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    430000 | PA      | $261225.00    | 0.08%             | 2033-06-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                                                          | GT 1996-8 M1           | CUSIP: 393505QQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234121 | PA      | $232213.45    | 0.07%             | 2026-11-15      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Csmlt Trust                                                                                               | CSMLT 2015-2 B4        | CUSIP: 12637LAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1802038 | PA      | $1382723.87   | 0.44%             | 2045-08-25      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GE WMC Mortgage Securities LLC                                                                            | GEWMC 2005-2 M1        | CUSIP: 367910AW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84159 | PA      | $64211.55     | 0.02%             | 2035-12-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 9 08/31/36          | CUSIP: 61766YAM3<br>LEI: 549300YTG00DJS1TOQ38 | Long             | DBT              | CORP              | US        |   3474000 | PA      | $2431800.00   | 0.77%             | 2036-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cd Mtg Tr 2017-Cd3                                                                                        | CD 2017-CD3 D          | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72000 | PA      | $46942.23     | 0.01%             | 2050-02-10      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 05/29/30         | CUSIP: 61760QGC2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1388000 | PA      | $971600.00    | 0.31%             | 2030-05-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                                              | WFMBS 2019-4 A2        | CUSIP: 95002FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73178 | PA      | $60037.90     | 0.02%             | 2049-09-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2002-NP14 M1      | CUSIP: 22541NDH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245492 | PA      | $147212.03    | 0.05%             | 2031-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Perpetual Trustee Company Ltd as trustee for the Trust in respect of the RESIMAC Bastille Series 2019-1NC | RESI 2019-1NCA A1      | CUSIP: 76119UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |     74910 | PA      | $75626.81     | 0.02%             | 2057-09-05      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                                                                        | SARM 2004-18 1A3       | CUSIP: 863579FS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72974 | PA      | $62989.25     | 0.02%             | 2034-12-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                                         | SASC 2000-5 B3         | CUSIP: 8635722B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72095 | PA      | $38179.20     | 0.01%             | 2030-11-25      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage                                                                                              | PHHMC 2008-CIM1 11A1   | CUSIP: 69337LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       415 | PA      | $384.40       | 0.00%             | 2038-05-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                                                               | DELHE 2000-1 M2        | CUSIP: 24763LGL8<br>LEI: 9695008K5N8MKIT4XJ91 | Long             | ABS-O            | CORP              | US        |    346146 | PA      | $286584.30    | 0.09%             | 2030-05-15      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-11 2A10     | CUSIP: 55265KX61<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18525 | PA      | $16075.44     | 0.01%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| National City Mtg                                                                                         | NATCM 2008-1 2A1       | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565330 | PA      | $540907.80    | 0.17%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                                | JPMMT 2018-8 A3        | CUSIP: 46650MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22811 | PA      | $20459.60     | 0.01%             | 2049-01-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                                        | SASC 2005-RF3 2A       | CUSIP: 86359DME4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119645 | PA      | $102478.08    | 0.03%             | 2035-06-25      | Floating      | 3.37%                 | Yes           |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                                                                  | DSLA 2004-AR4 2A1A     | CUSIP: 23332UBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39147 | PA      | $30302.78     | 0.01%             | 2045-01-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust 2017-5                                                                    | LNSTR 2017-5 D         | CUSIP: 54910TAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1190309.70   | 0.38%             | 2050-03-10      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                                    | FHMS K092 X3           | CUSIP: 3137FLYY4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    847054 | PA      | $96316.73     | 0.03%             | 2047-05-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                                                                        | JPALT 2008-R4 1A1      | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1002600 | PA      | $538139.07    | 0.17%             | 2036-12-27      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2004-8 3B          | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88525 | PA      | $73558.49     | 0.02%             | 2034-08-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 03/21/27      | CUSIP: 61760QAJ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    115000 | PA      | $94012.50     | 0.03%             | 2027-03-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming                                                                                        | MARP 2005-2 1A4        | CUSIP: 57643QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19501 | PA      | $15138.80     | 0.00%             | 2035-05-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                                                           | INDX 2004-AR15 3A1     | CUSIP: 45660LBG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286329 | PA      | $255251.27    | 0.08%             | 2035-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| American Tower Trust I                                                                                    | AMETOW 3.652 03/23/28  | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $100172.27    | 0.03%             | 2028-03-23      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMS 2000-1A A         | CUSIP: 36228FCU8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    128311 | PA      | $121184.90    | 0.04%             | 2023-03-20      | Floating      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2007-2 1B1        | CUSIP: 81744LAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315152 | PA      | $230099.86    | 0.07%             | 2036-06-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CG-CCRE Commercial Mortgage Trust 2014-1FL1                                                               | CGCC 2014-FL1 B        | CUSIP: 12528MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1990236 | PA      | $1968751.04   | 0.62%             | 2031-06-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Steele Creek Clo 2018-2                                                                                   | STCR 2018-2A D         | CUSIP: 85816LAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $436107.00    | 0.14%             | 2031-08-18      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                                                          | CFCC 2022-A A          | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $956631.80    | 0.30%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Mastr Asset Sec Tr                                                                                        | MASTR 2006-3 2A1       | CUSIP: 55274SAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1004760 | PA      | $157901.38    | 0.05%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2005-1 5A1        | CUSIP: 576434E34<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2258 | PA      | $1901.70      | 0.00%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2002-39 A37       | CUSIP: 12669DVM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125455 | PA      | $114741.66    | 0.04%             | 2033-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB FLOAT 03/27/35      | CUSIP: 25152RYF4<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    738000 | PA      | $416970.00    | 0.13%             | 2035-03-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                    | MLMI 2003-A3 1A        | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245618 | PA      | $218981.55    | 0.07%             | 2033-05-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Cps Auto Receivables Trust 2018-B                                                                         | CPS 2018-B E           | CUSIP: 12595PAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1645527 | PA      | $1643402.70   | 0.52%             | 2024-12-16      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                                    | FSPC T-61 1A1          | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |     22409 | PA      | $22573.77     | 0.01%             | 2044-07-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSMPS 2004-4 1AF       | CUSIP: 36242DJQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1165785 | PA      | $1001358.35   | 0.32%             | 2034-06-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                                           | SCRT 2017-3 B          | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     46964 | PA      | $7685.90      | 0.00%             | 2056-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2004-10 12A5     | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48830 | PA      | $44818.95     | 0.01%             | 2035-01-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Structured Reverse                                                                                        | SASC 2007-RM1 M4       | CUSIP: 86363BAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1959583 | PA      | $1710177.01   | 0.54%             | 2047-05-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| MortgageIT Trust                                                                                          | MHL 2005-3 M2          | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288049 | PA      | $265581.86    | 0.08%             | 2035-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                             | STACR 2022-HQA1 M2     | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $940133.00    | 0.30%             | 2042-03-25      | Floating      | 8.77%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-HYB5 6A2     | CUSIP: 12669F3H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61112 | PA      | $54253.96     | 0.02%             | 2035-04-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2022-NQM5                                                                    | IMPRL 2022-NQM5 M1     | CUSIP: 45276QAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $444124.80    | 0.14%             | 2067-08-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| American Residential Helt 98-1                                                                            | AMHEL 1998-1 B         | CUSIP: 02926WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64604 | PA      | $69927.78     | 0.02%             | 2029-05-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF FLOAT 01/31/38     | CUSIP: 47233JBG2<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    110000 | PA      | $63937.50     | 0.02%             | 2038-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-6 4A1        | CUSIP: 576434SG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    861013 | PA      | $829654.47    | 0.26%             | 2034-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                                | JPMMT 2014-IVR3 B2     | CUSIP: 46643BAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570679 | PA      | $549864.12    | 0.17%             | 2044-09-25      | Floating      | 2.67%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-6                                                                           | AOMT 2021-6 M1         | CUSIP: 03465JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $889326.60    | 0.28%             | 2066-09-25      | Floating      | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Mastr Seasoned Sec                                                                                        | MSSTR 2003-1 2A1       | CUSIP: 55265WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378871 | PA      | $346980.41    | 0.11%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mtg 2007-S3                                                                                         | CHASE 2007-S3 AP       | CUSIP: 16163HBE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495942 | PA      | $133079.89    | 0.04%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                                            | BNP FLOAT 04/30/33     | CUSIP: 05574LHR2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    177000 | PA      | $102660.00    | 0.03%             | 2033-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                                                              | BSABS 2004-FR2 M4      | CUSIP: 073879FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50276 | PA      | $45622.95     | 0.01%             | 2034-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Business Loan Express Loan Trust                                                                          | BLX 2006-AA C          | CUSIP: 12328MAY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24652 | PA      | $23070.00     | 0.01%             | 2038-10-20      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| OCWEN RESIDENTIAL MBS CORPORAT                                                                            | OCMBS 1998-R3 AWAC     | CUSIP: 675748BD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3808971 | PA      | $342807.42    | 0.11%             | 2038-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                              | GSMS 2014-GC20 C       | CUSIP: 36252WBE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26000 | PA      | $23042.72     | 0.01%             | 2047-04-10      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                                                                     | BOAMS 2005-E 2A1       | CUSIP: 05949A6C9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     55562 | PA      | $46097.27     | 0.01%             | 2035-06-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                                                                     | BOAMS 2005-H 2A1       | CUSIP: 05949CFW1<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     28213 | PA      | $23169.48     | 0.01%             | 2035-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                                                                        | SARM 2006-1 2A2        | CUSIP: 863579P28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931167 | PA      | $780793.62    | 0.25%             | 2036-02-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2005-3 7A5        | CUSIP: 225458LM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29050 | PA      | $27714.20     | 0.01%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                 | GMACM 2005-AR3 5A2     | CUSIP: 36185N7M6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15737 | PA      | $13873.87     | 0.00%             | 2035-06-19      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                                                    | C FLOAT 04/25/32       | CUSIP: 17324CHH2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |     41000 | PA      | $25777.97     | 0.01%             | 2032-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cg-Ccre Commercial Mortgage Trust                                                                         | CGCC 2014-FL2 A        | CUSIP: 12528PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1494034 | PA      | $1415450.61   | 0.45%             | 2031-11-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2014-10 4A1      | CUSIP: 17323FAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82982 | PA      | $79652.62     | 0.03%             | 2037-02-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2003-60 2A1       | CUSIP: 12669FJD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121795 | PA      | $101960.03    | 0.03%             | 2034-02-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Ellington Clo I Limted                                                                                    | ECLO 2018-3A D         | CUSIP: 28852LAL7<br>LEI: 254900V20GCNJI0I7591 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $453626.50    | 0.14%             | 2030-07-20      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp                                                                                 | IMSA 2003-2 A2         | CUSIP: 45254TMT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214764 | PA      | $182796.68    | 0.06%             | 2033-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                     | SOCGEN 12 1/2 01/31/35 | CUSIP: 83369FHQ3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    203000 | PA      | $158340.00    | 0.05%             | 2035-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Reverse                                                                                        | SASC 2007-RM1 M3       | CUSIP: 86363BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2101932 | PA      | $1855346.38   | 0.59%             | 2047-05-25      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Chase Mtg 2007-S3                                                                                         | CHASE 2007-S3 1A17     | CUSIP: 16163HAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275826 | PA      | $59450.69     | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2004-8 13A1      | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    906753 | PA      | $813362.06    | 0.26%             | 2034-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 09/30/34      | CUSIP: 61760QEW0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $69600.00     | 0.02%             | 2034-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-1                                                                | NRZT 2020-1A A1B       | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94451 | PA      | $87090.54     | 0.03%             | 2059-10-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bmd 2 Re-Remic Tr 2019-Frr1                                                                               | BMD2 2019-FRR1 5A1     | CUSIP: 055631BQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $430310.93    | 0.14%             | 2052-05-25      | Floating      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                       | BNS FLOAT 01/30/34     | CUSIP: 064159DF0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $69600.00     | 0.02%             | 2034-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Times Square Hotel Tr                                                                                     | TIMSQU 8.528 08/01/26  | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    619366 | PA      | $611128.07    | 0.19%             | 2026-08-01      | Fixed         | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                                                          | BOAA 2004-6 3A1        | CUSIP: 05948KSJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110151 | PA      | $104373.20    | 0.03%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-11 7A5      | CUSIP: 55265K2K4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67682 | PA      | $62952.86     | 0.02%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CBASS 2004-CB3 B1      | CUSIP: 17307GES3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92241 | PA      | $94617.40     | 0.03%             | 2034-03-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                                 | ABFC 2004-OPT2 A2      | CUSIP: 04542BFV9<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |     68106 | PA      | $64086.54     | 0.02%             | 2033-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                                                                        | SARM 2005-15 1A1       | CUSIP: 863579UL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363055 | PA      | $224539.91    | 0.07%             | 2035-07-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG London Branch                                                                            | CS 10 04/29/31         | CUSIP: 22548Q2R5<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    766000 | PA      | $486410.00    | 0.15%             | 2031-04-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-J10 3A1     | CUSIP: 12667FVD4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |     25449 | PA      | $25323.10     | 0.01%             | 2053-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                                                           | FHASI 2007-AR3 1A1     | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287119 | PA      | $150344.05    | 0.05%             | 2037-11-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2004-1 124M      | CUSIP: 07384MG89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127752 | PA      | $114361.50    | 0.04%             | 2034-04-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Chec Loan Trust                                                                                           | CHEC 2004-1 M2         | CUSIP: 162765AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269461 | PA      | $261296.22    | 0.08%             | 2034-07-25      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                    | VCC 2021-2 M1          | CUSIP: 92259MAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2557721 | PA      | $2056087.69   | 0.65%             | 2051-08-25      | Floating      | 1.82%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWALT 2003-J3 1A3      | CUSIP: 12669FEZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144024 | PA      | $138037.47    | 0.04%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2002-19 1A1       | CUSIP: 12669DBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103248 | PA      | $86482.44     | 0.03%             | 2032-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                                                   | WBCMT 2004-C12 IO      | CUSIP: 929766SJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596956 | PA      | $3364.79      | 0.00%             | 2041-07-15      | Floating      | 0.85%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                                    | FSPC T-62 1A1          | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    163022 | PA      | $163393.93    | 0.05%             | 2044-10-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                                                           | FHASI 2005-AR3 2A1     | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537823 | PA      | $369031.44    | 0.12%             | 2035-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                                                | FCAT 2020-3 E          | CUSIP: 33844TAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334000 | PA      | $290989.35    | 0.09%             | 2027-12-15      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| J P Morgan Tax Exempt Pass Thru Tr Ser 2012-3                                                             | JPTEP 2012-3 A         | CUSIP: 46637UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129370 | PA      | $117205.07    | 0.04%             | 2042-10-27      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 9 08/31/37         | CUSIP: 47233JAX6<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $87375.00     | 0.03%             | 2037-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST                                                                           | CSAIL 2019-C16 C       | CUSIP: 12596WAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $363547.34    | 0.12%             | 2052-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                                                               | TAH 2017-SFR2 F        | CUSIP: 89613FAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010000 | PA      | $976541.93    | 0.31%             | 2036-01-17      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                                                                                  | JPMMT 2020-LTV1 A11    | CUSIP: 46591NBC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36858 | PA      | $36305.52     | 0.01%             | 2050-06-25      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                  | GNR 2012-H27 AI        | CUSIP: 38375BZC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    471608 | PA      | $12814.06     | 0.00%             | 2062-10-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding Ltd                                                                         | HLA 2014-3A D          | CUSIP: 40538FAL7<br>LEI: 549300NL4H585I318G08 | Long             | ABS-CBDO         | CORP              | KY        |   1500425 | PA      | $1462522.70   | 0.46%             | 2025-10-22      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| Washington Mut Mtg                                                                                        | WAMU 2002-AR14 B1      | CUSIP: 939336DA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43751 | PA      | $38129.85     | 0.01%             | 2032-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                      | DMSI 2004-1 1A1        | CUSIP: 251563CG5<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     34725 | PA      | $33139.11     | 0.01%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2003-S5 1A13      | CUSIP: 9292272R6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51872 | PA      | $48993.45     | 0.02%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2003-8 2A1       | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46823 | PA      | $42388.70     | 0.01%             | 2034-01-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 08/31/30         | CUSIP: 61760QHC1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    216000 | PA      | $150120.00    | 0.05%             | 2030-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                            | MSC 2014-150E D        | CUSIP: 61764BAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347000 | PA      | $284344.73    | 0.09%             | 2032-09-09      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                           | IMM 2005-4 2M2         | CUSIP: 45254NPP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157801 | PA      | $127280.12    | 0.04%             | 2035-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2005-8F 3A4        | CUSIP: 362341WA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27685 | PA      | $12065.57     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-5 2A9        | CUSIP: 12669FWD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76916 | PA      | $73497.15     | 0.02%             | 2034-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Naac Reperforming                                                                                         | NAA 2004-R1 A2         | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166548 | PA      | $143958.58    | 0.05%             | 2034-03-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse, Nassau Branch                                                                              | CS FLOAT 09/30/30      | CUSIP: 22546VMD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    300000 | PA      | $183000.00    | 0.06%             | 2030-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RADNOR RE LTD                                                                                             | RMIR 2019-1 M1B        | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-O            | CORP              | BM        |    223485 | PA      | $218798.62    | 0.07%             | 2029-02-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                 | RAAC 2005-SP1 4A1      | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27764 | PA      | $26286.55     | 0.01%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2004-J10 5CB1    | CUSIP: 12667FVG7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    663496 | PA      | $616083.95    | 0.20%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 8 09/30/37         | CUSIP: 47233JAY4<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    248000 | PA      | $141980.00    | 0.05%             | 2037-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                                              | SAST 2003-3 AF5        | CUSIP: 805564PA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241259 | PA      | $214317.72    | 0.07%             | 2033-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                                                 | MSBAM 2013-C11 AS      | CUSIP: 61762TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6175000 | PA      | $5927289.88   | 1.88%             | 2046-08-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2003-7 6A        | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5238 | PA      | $4858.31      | 0.00%             | 2033-10-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                                                           | LLOYDS 10 10/25/33     | CUSIP: 5394E8CC1<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    136000 | PA      | $77520.00     | 0.02%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alt                                                                                         | FHAMS 2007-FA4 1A8     | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74040 | PA      | $32221.96     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS 10 03/31/34         | CUSIP: 61760QEE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    209000 | PA      | $117040.00    | 0.04%             | 2034-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-12 6A2      | CUSIP: 55265K4A4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49878 | PA      | $41140.98     | 0.01%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 13 LTD                                                                                           | ZAIS 2019-13A D1       | CUSIP: 98876NAL8<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $417770.00    | 0.13%             | 2032-07-15      | Floating      | 8.60%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                                 | RAAC 2005-SP2 2A       | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    454245 | PA      | $350346.90    | 0.11%             | 2044-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                                       | MABS 2004-FRE1 M7      | CUSIP: 57643LEA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1038748 | PA      | $946100.98    | 0.30%             | 2034-07-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation Trust                                                                           | HALO 2007-1 2A12       | CUSIP: 40431TAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208305 | PA      | $89770.15     | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                                                         | MSM 2005-10 5A1        | CUSIP: 61748HSL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73978 | PA      | $30717.32     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST                                                                                | PNT 2021-1 A1          | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1411640 | PA      | $1353524.46   | 0.43%             | 2052-02-25      | Floating      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                                         | AFC 1999-3 1A          | CUSIP: 00105HEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178005 | PA      | $122252.32    | 0.04%             | 2029-09-28      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                                                                         | SBM7 1997-HUD2 B2      | CUSIP: 79548KXR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110578 | PA      | $11242.46     | 0.00%             | 2024-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Beacon Hill CBO III Ltd.                                                                                  | GALLA 5A B             | CUSIP: 073605AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   5640297 | PA      | $5417567.34   | 1.72%             | 2037-09-19      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Strctrd Asset Invt                                                                                        | SAIL 2003-BC9 M3       | CUSIP: 86358EDM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527273 | PA      | $476984.02    | 0.15%             | 2033-08-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                                                                          | VSTA 2020-1 M1         | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538000 | PA      | $489922.11    | 0.16%             | 2065-03-25      | Floating      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| DLJ Mortgage Acceptance Corportion                                                                        | DLJMA 1993-19 B2       | CUSIP: 23321PGH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       969 | PA      | $900.38       | 0.00%             | 2024-01-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                                                  | COLT 2021-3R M1        | CUSIP: 19688DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2125000 | PA      | $1243847.50   | 0.39%             | 2064-12-25      | Floating      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-72 A3       | CUSIP: 12668A3Q6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149690 | PA      | $131051.26    | 0.04%             | 2036-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Belvedere SPV S.r.l.                                                                                      | BLVDR 1 A              | CUSIP: T30242AA8<br>LEI: 815600EE6F87DF1A1266 | Long             | ABS-O            | CORP              | IT        |   1510326 | PA      | $1060068.79   | 0.34%             | 2038-12-31      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                                                                     | MARM 2003-6 7A1        | CUSIP: 576433GN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22225 | PA      | $20597.61     | 0.01%             | 2033-12-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                                                       | BABS 2021-RM1 M1       | CUSIP: 10638CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3190246 | PA      | $2128367.78   | 0.67%             | 2063-10-25      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV3                                                                         | HAWT 2021-INV3 B1      | CUSIP: 44555QBZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790981 | PA      | $601893.37    | 0.19%             | 2051-10-25      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                                                           | NHEL 2003-4 A1         | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324933 | PA      | $314183.84    | 0.10%             | 2034-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                   | BAYC 2005-2A M1        | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34568 | PA      | $29754.14     | 0.01%             | 2035-08-25      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2005-8R A5        | CUSIP: 12669GQJ3<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    149986 | PA      | $142062.26    | 0.05%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loan Tst                                                                       | SNMLT 2005-2A A3       | CUSIP: 81441PCP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406016 | PA      | $395020.22    | 0.13%             | 2036-02-25      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE                                                                         | MELLO 2021-MTG1 B1     | CUSIP: 585495EC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575926 | PA      | $389676.38    | 0.12%             | 2051-04-25      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-7 9A1        | CUSIP: 576434TM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1133496 | PA      | $1097159.24   | 0.35%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                  | JPMMT 2004-A3 3A3      | CUSIP: 466247CZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18776 | PA      | $15577.22     | 0.00%             | 2034-07-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                                            | GSMSC 2008-2R 2A1      | CUSIP: 3622X1AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    798163 | PA      | $178838.60    | 0.06%             | 2036-10-25      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Cml Asst T                                                                                        | BAYC 2007-3 M3         | CUSIP: 07325YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575118 | PA      | $480945.53    | 0.15%             | 2037-07-25      | Floating      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                                            | SAMI 2005-AR6 1A1      | CUSIP: 86359LMW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1181980 | PA      | $1032973.66   | 0.33%             | 2045-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Nomura America Finance LLC                                                                                | NOMURA FLOAT 07/29/34  | CUSIP: 65539ABE9<br>LEI: 549300U646RSSKIVOJ29 | Long             | DBT              | CORP              | US        |    890000 | PA      | $516200.00    | 0.16%             | 2034-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                                 | GMACM 2006-AR1 1A1     | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117550 | PA      | $84284.53     | 0.03%             | 2036-04-19      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                                                          | WFMBS 2007-7 A6        | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83361 | PA      | $67642.24     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2004-10 A1A       | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36844 | PA      | $32521.98     | 0.01%             | 2034-11-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2005-2 A1         | CUSIP: 81744FGY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77333 | PA      | $64875.84     | 0.02%             | 2035-03-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2003-12 6A1      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20403 | PA      | $18809.82     | 0.01%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp                                                       | CSFB 2003-21 1A4       | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32215 | PA      | $29210.57     | 0.01%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2005-2 2A11      | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     50955 | PA      | $48721.78     | 0.02%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Trust                                                                              | RCMT 2018-4 D          | CUSIP: 75575KAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7630000 | PA      | $6504225.55   | 2.06%             | 2051-02-27      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Mtg Ln                                                                        | BFAT 2007-SR1A A       | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557108 | PA      | $538881.35    | 0.17%             | 2037-03-25      | Floating      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF FLOAT 07/31/37     | CUSIP: 47233JAT5<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |   1168000 | PA      | $689120.00    | 0.22%             | 2037-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                                                                | PROG 2021-SFR3 F       | CUSIP: 74333VAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $85463.06     | 0.03%             | 2026-05-17      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2006-AR8 1A1      | CUSIP: 93362FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132875 | PA      | $96033.74     | 0.03%             | 2046-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                                                   | FSMT 2018-3INV B5      | CUSIP: 33851JAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2291954 | PA      | $1809520.69   | 0.57%             | 2048-05-25      | Floating      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Ubs Barclays Commercial Mortgage Trust                                                                    | UBSCM 2017-C2 B        | CUSIP: 90276CAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332000 | PA      | $281992.15    | 0.09%             | 2050-08-15      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-6 7A1        | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77227 | PA      | $70405.62     | 0.02%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                                                              | MASD 2005-3 M1         | CUSIP: 576436CP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74522 | PA      | $68587.67     | 0.02%             | 2035-11-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                        | CMSI 2006-6 A4         | CUSIP: 173100AD0<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     42770 | PA      | $39366.16     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 01/30/34      | CUSIP: 61760QDW1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    117000 | PA      | $71955.00     | 0.02%             | 2034-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                                                         | MSM 2004-2AR 2A        | CUSIP: 61748HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21996 | PA      | $20376.68     | 0.01%             | 2034-02-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Prods Inc                                                                         | BSSP 2007-R6 1A1       | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208805 | PA      | $126397.14    | 0.04%             | 2036-01-26      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                            | C FLOAT 11/26/33       | CUSIP: 1730T0C56<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $609237.50    | 0.19%             | 2033-11-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Blackrock Cap Fin                                                                                         | BCF 1997-R2 1B1        | CUSIP: 05535DBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99409 | PA      | $71574.60     | 0.02%             | 2035-12-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                   | BAYC 2005-4A M1        | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29621 | PA      | $25710.26     | 0.01%             | 2036-01-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Fort Knox Military Housing Privatization Project                                                          | FTKNOX FLOAT 02/15/52  | CUSIP: 347508AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185987 | PA      | $130121.65    | 0.04%             | 2052-02-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Select Notes Trust                                                                                        | SELECT 6.05 02/22/33   | CUSIP: 81619PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    634876 | PA      | $511231.76    | 0.16%             | 2033-02-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB FLOAT 08/28/34      | CUSIP: 25152RXC2<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |   1257000 | PA      | $710205.00    | 0.23%             | 2034-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                   | BAYC 2005-2A B1        | CUSIP: 07324SBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53489 | PA      | $49633.54     | 0.02%             | 2035-08-25      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                                                                     | MARM 2003-1 2A1        | CUSIP: 576433DA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39884 | PA      | $35608.48     | 0.01%             | 2032-12-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-3 6A1        | CUSIP: 576434NZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471393 | PA      | $434725.68    | 0.14%             | 2034-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Cmbs 2015-Fl7                                                                             | JPMCC 2015-FL7 D       | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339015 | PA      | $313266.41    | 0.10%             | 2028-05-15      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2010-9 5A3       | CUSIP: 17317JBJ8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      2705 | PA      | $2612.09      | 0.00%             | 2037-03-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 5 03/20/40         | CUSIP: 47233JDA3<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |    280000 | PA      | $245990.32    | 0.08%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                                                    | IMPRL 2022-NQM4 M1     | CUSIP: 45276NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2025000.00   | 0.64%             | 2067-06-25      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| DEERPATH CAPITAL CLO 2020-1                                                                               | DPATH 2020-1A C1       | CUSIP: 24460RAG8<br>LEI: 9845003DAB58C69E1D91 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $950285.00    | 0.30%             | 2032-04-17      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 11/28/34      | CUSIP: 61760QFL3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     30000 | PA      | $17400.00     | 0.01%             | 2034-11-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                                                 | CIM 2019-J1 B3         | CUSIP: 12556MCR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    889229 | PA      | $673809.47    | 0.21%             | 2049-08-25      | Floating      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2003-5 8A1        | CUSIP: 576434FK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44046 | PA      | $40749.11     | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MM Community Funding III Ltd/Corp                                                                         | MMCFND FLOAT 05/01/32  | CUSIP: 55309YAD9<br>LEI: 54930037G3KLRZURXG36 | Long             | ABS-CBDO         | CORP              | KY        |   2548787 | PA      | $2319396.54   | 0.74%             | 2032-05-01      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Bella Vista Mortgage Trust                                                                                | BVMBS 2004-1 1A        | CUSIP: 07820QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37237 | PA      | $35437.76     | 0.01%             | 2034-11-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-1 4A1        | CUSIP: 576434LV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189038 | PA      | $174148.99    | 0.06%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2003-3 B2         | CUSIP: 576434ED2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170493 | PA      | $149557.56    | 0.05%             | 2033-05-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Hero Funding Trust 2015-2                                                                                 | HERO 2015-2A A         | CUSIP: 42770UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73621 | PA      | $67912.18     | 0.02%             | 2040-09-20      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Sofi Mtg Tr 2016-1                                                                                        | SFPMT 2016-1A B3       | CUSIP: 78471KBK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434926 | PA      | $278925.88    | 0.09%             | 2046-11-25      | Floating      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Tr 06-Aa2                                                                                        | BCAP 2011-RR5 12A1     | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2114050 | PA      | $2048848.29   | 0.65%             | 2037-03-26      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust 2015-3                                                                    | LNSTR 2015-3 AS        | CUSIP: 54910JAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37345 | PA      | $35672.28     | 0.01%             | 2048-04-20      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 03/31/31      | CUSIP: 61745E7D7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    167000 | PA      | $132765.00    | 0.04%             | 2031-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS-Bamll Trust 2012-WRM                                                                                  | UBSBM 2012-WRM A       | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274500 | PA      | $274134.41    | 0.09%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LTD                                                                           | LSTRZ 2019-3 A1        | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173540 | PA      | $167527.42    | 0.05%             | 2024-04-01      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| READYCAP LENDING SMALL BUSINESS LOAN TRUST                                                                | RCLT 2019-2 A          | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    691302 | PA      | $656670.57    | 0.21%             | 2044-12-27      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Natixis US Medium Term Note Program LLC                                                                   | KNFP FLOAT 04/30/34    | CUSIP: 63873HKC7<br>LEI: 549300MPTYP2BAQOK371 | Long             | DBT              | CORP              | US        |    282000 | PA      | $167790.00    | 0.05%             | 2034-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                                                           | RAST 2002-A12 A4       | CUSIP: 45660NHW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2032-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Soundview 06-Opt4                                                                                         | SVHE 2006-OPT4 1A1     | CUSIP: 83611YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71225 | PA      | $69392.89     | 0.02%             | 2036-06-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB1                                                                   | FAHB 2022-HB1 M3       | CUSIP: 31735JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473000 | PA      | $441127.75    | 0.14%             | 2025-11-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Csail Commercial Mortagage Trust                                                                          | CSAIL 2018-C14 D       | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $202483.74    | 0.06%             | 2051-11-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                                       | BNS FLOAT 08/28/34     | CUSIP: 064159FM3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $57500.00     | 0.02%             | 2034-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                                                                     | MARM 2004-15 4A1       | CUSIP: 576433VN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185724 | PA      | $173697.96    | 0.06%             | 2034-12-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2018-2                                                             | VCC 2018-2 M5          | CUSIP: 92259BAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    449231 | PA      | $371735.72    | 0.12%             | 2048-10-26      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                                                                             | MCMLT 2015-2 B1        | CUSIP: 599808BJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $527543.07    | 0.17%             | 2057-09-25      | Floating      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-27 2A1      | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205685 | PA      | $168630.63    | 0.05%             | 2035-08-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                                                                         | CBASS 2002-CB3 B2      | CUSIP: 79549ARB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $977760.30    | 0.31%             | 2032-06-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                                                    | VCC 2017-2 M5          | CUSIP: 92258VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295079 | PA      | $253228.30    | 0.08%             | 2047-11-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                                           | SCRT 2019-1 M          | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    860000 | PA      | $714657.16    | 0.23%             | 2058-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities                                                                              | CMSI 2005-7 2A1        | CUSIP: 1729733N7<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     17858 | PA      | $17438.03     | 0.01%             | 2055-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-14 2A1      | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82902 | PA      | $68914.98     | 0.02%             | 2035-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| EdLinc Student Loan Funding Trust 2012-1                                                                  | ESLFT 2012-1 B         | CUSIP: 28108QAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015000 | PA      | $965954.19    | 0.31%             | 2040-11-26      | Floating      | 8.26%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-6 10A1       | CUSIP: 576434SN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55611 | PA      | $51404.82     | 0.02%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-4 1A1        | CUSIP: 576434PX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27219 | PA      | $25831.04     | 0.01%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN HOME IMPROVEMENT TRUST 2022-GRN1 ISSUER TRUST                                                     | GHIT 2022-GRN1 D       | CUSIP: 38150YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $954226.50    | 0.30%             | 2052-06-25      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE LOAN TRUST                                                                     | PFMT 2020-1 B3         | CUSIP: 743874AY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469026 | PA      | $344630.67    | 0.11%             | 2050-02-25      | Floating      | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ML                                                                                         | MSM 2004-10AR 2A2      | CUSIP: 61748HFE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25681 | PA      | $23204.28     | 0.01%             | 2034-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mbs                                                                                             | JPMBS 2006-R1 6A1      | CUSIP: 46628AAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432146 | PA      | $329852.88    | 0.10%             | 2044-09-28      | Floating      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2003-1 3A4       | CUSIP: 17307GBT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12281 | PA      | $10742.49     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 9 04/28/37          | CUSIP: 61766YBH3<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |    361000 | PA      | $252700.00    | 0.08%             | 2037-04-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2002-AR17 1A      | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47246 | PA      | $39732.42     | 0.01%             | 2042-11-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2013-CR                                                                         | COMM 2013-CR12 B       | CUSIP: 12591KAH8<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93739.54     | 0.03%             | 2046-10-10      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                                                                         | SBM7 2002-HYB1 B2      | CUSIP: 79549ARL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4134 | PA      | $3459.22      | 0.00%             | 2032-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-7 10A1       | CUSIP: 576434TN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60371 | PA      | $53969.13     | 0.02%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                                                           | FHASI 2005-AR5 3A1     | CUSIP: 32051GXT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80229 | PA      | $41900.04     | 0.01%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                                | BSABS 2003-AC7 A1      | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624976 | PA      | $523369.18    | 0.17%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                                   | BAYC 2005-3A A1        | CUSIP: 07324SCB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    198634 | PA      | $176330.73    | 0.06%             | 2035-11-25      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| National Collegiat                                                                                        | NCT 2005-GATE B        | CUSIP: 63544AAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37058 | PA      | $33394.13     | 0.01%             | 2023-04-26      | Floating      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                                                | VERUS 2020-INV1 M1     | CUSIP: 92537TAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    593000 | PA      | $553378.41    | 0.18%             | 2060-04-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Argentina (Republic of)                                                                                   | ARGBON 0 1/2 07/09/30  | CUSIP: P8S090UG9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    200000 | PA      | $43260.80     | 0.01%             | 2030-07-09      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust 2015-Sbc5                                                             | WCMT 2015-SBC5 A       | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118640 | PA      | $116548.71    | 0.04%             | 2032-12-14      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                                                                   | EMCM 2001-A M1         | CUSIP: 268668AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255180 | PA      | $236532.56    | 0.07%             | 2040-05-25      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2006-J1 3A1       | CUSIP: 126694XX1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    111240 | PA      | $49617.20     | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS FLOAT 09/29/37      | CUSIP: 61766YBX8<br>LEI: 5493003FCPSE9RKT4B56 | Long             | DBT              | CORP              | US        |   2014000 | PA      | $1258750.00   | 0.40%             | 2037-09-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                                                                     | MARM 2003-6 2A1        | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32744 | PA      | $29038.65     | 0.01%             | 2033-12-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                                             | CMLTI 2009-4 7A5       | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    224526 | PA      | $201763.33    | 0.06%             | 2035-05-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST                                                                                   | FSMT 2018-5 B3         | CUSIP: 33849NAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913409 | PA      | $668135.59    | 0.21%             | 2048-09-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-7                                                                         | VERUS 2022-7 A2        | CUSIP: 92539NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481425 | PA      | $461736.18    | 0.15%             | 2067-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                                                     | WFCM 2013-LC12 B       | CUSIP: 94988QAQ4<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-O            | CORP              | US        |    256000 | PA      | $241938.25    | 0.08%             | 2046-07-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 07/29/31      | CUSIP: 61745E3S8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    114000 | PA      | $90060.00     | 0.03%             | 2031-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                                            | LBMLT 2003-2 M2        | CUSIP: 542514DV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78987 | PA      | $78512.09     | 0.02%             | 2033-06-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2005-AR4 2A1       | CUSIP: 362341FH7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    555193 | PA      | $314990.61    | 0.10%             | 2035-07-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Sec                                                                                        | MSSTR 2005-1 3A1       | CUSIP: 55265WCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32105 | PA      | $26319.77     | 0.01%             | 2032-10-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                            | BCAP 2014-RR2 7A2      | CUSIP: 05543DBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1155738 | PA      | $1066324.25   | 0.34%             | 2038-01-26      | Floating      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                                    | JPMCC 2007-LD11 AJ     | CUSIP: 46631BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658672 | PA      | $171732.66    | 0.05%             | 2049-06-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                                        | WAMU 2006-AR2 1A1      | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46264 | PA      | $41269.41     | 0.01%             | 2036-03-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                                    | MLMI 2003-A6 1A        | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35165 | PA      | $32017.56     | 0.01%             | 2033-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                                    | BSARM 2004-8 2A1       | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48593 | PA      | $44457.21     | 0.01%             | 2034-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                                                                | BAFC 2006-I 4A1        | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    844872 | PA      | $693734.02    | 0.22%             | 2046-10-20      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-13                                                             | CWL 2007-13 2A1        | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234660 | PA      | $210867.07    | 0.07%             | 2047-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables I LLC                                                                           | HENDR 2004-A A1        | CUSIP: 88576PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591282 | PA      | $581751.01    | 0.18%             | 2045-09-15      | Floating      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                                                | CSMC 2014-USA D        | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |   1390000 | PA      | $1112176.53   | 0.35%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13                                             | JPMMT 2014-IVR6 B2     | CUSIP: 46643QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88173 | PA      | $86203.46     | 0.03%             | 2044-07-25      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                                                            | CHASE 2004-S2 2A4      | CUSIP: 16162WGP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170988 | PA      | $160094.54    | 0.05%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST                                                                    | VCC 2019-3 M3          | CUSIP: 92257HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    659031 | PA      | $525404.77    | 0.17%             | 2049-10-25      | Floating      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Capital Llc                                                                              | CDMC 2005-1 A4         | CUSIP: 15132ELB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83404 | PA      | $76162.65     | 0.02%             | 2035-02-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Renaissance Mtg Ac                                                                                        | RAMC 2002-3 M1         | CUSIP: 75970NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    567175 | PA      | $523490.83    | 0.17%             | 2032-12-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria Panamanian Mortgage Trust 2021-1                                                           | LHIPO 2021-1 GA        | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960640 | PA      | $902743.77    | 0.29%             | 2051-06-13      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| CFK TRUST                                                                                                 | CFK 2020-MF2 A         | CUSIP: 12529AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $82336.87     | 0.03%             | 2039-03-15      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK SB COMMERCIAL MORTGAGE TRUST                                                                    | AOMT 2020-SBC1 B2      | CUSIP: 03465BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2124264 | PA      | $1331631.64   | 0.42%             | 2050-05-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                                       | CWALT 2005-J11 2A1     | CUSIP: 12668AJP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42085 | PA      | $22409.75     | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                                                  | COLT 2020-2 M1         | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422000 | PA      | $373448.56    | 0.12%             | 2065-03-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                                 | HVMLT 2005-14 2A1A     | CUSIP: 41161PWT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54083 | PA      | $42676.38     | 0.01%             | 2035-12-19      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 05/30/34      | CUSIP: 61760QEG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    287000 | PA      | $160720.00    | 0.05%             | 2034-05-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2013-10 B3        | CUSIP: 81745GAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895864 | PA      | $827143.68    | 0.26%             | 2043-08-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Finance LLC.                                                                               | MS 10 07/29/36         | CUSIP: 61766YAF8<br>LEI: 549300YTG00DJS1TOQ38 | Long             | DBT              | CORP              | US        |    215000 | PA      | $148350.00    | 0.05%             | 2036-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp                                                       | JPMCC 2011-C3 E        | CUSIP: 46635TBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193000 | PA      | $86338.49     | 0.03%             | 2046-02-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                  | JPMMT 2006-A4 3A1      | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17584 | PA      | $12593.46     | 0.00%             | 2036-06-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2005-2 6A1        | CUSIP: 576434K29<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300340 | PA      | $224631.06    | 0.07%             | 2043-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2022-HB1                                                                        | RBIT 2022-HB1 M3       | CUSIP: 76970HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $222851.05    | 0.07%             | 2032-04-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                         | BACR FLOAT 09/13/28    | CUSIP: 06741TF85<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $393750.00    | 0.12%             | 2028-09-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                              | MALT 2004-12 6A3       | CUSIP: 576434YR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1467326 | PA      | $1268379.83   | 0.40%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                                                            | CFMT 2018-RM2 D        | CUSIP: 14727QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585109 | PA      | $542898.15    | 0.17%             | 2068-10-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-3                                                             | VCC 2022-3 M1          | CUSIP: 92257BAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1433830 | PA      | $1366781.13   | 0.43%             | 2052-06-25      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| SG Structured Products, Inc.                                                                              | SOCGEN 0 07/29/31      | CUSIP: 78423A2D3<br>LEI: 549300D8JJ608SOIGA98 | Long             | DBT              | CORP              | US        |    185000 | PA      | $116550.00    | 0.04%             | 2031-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST I LLC                                                                            | AOMT 2019-2X B2        | CUSIP: U00298AF3<br>LEI: 549300DGLMLNBVBKK655 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2897954.10   | 0.92%             | 2049-03-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Group LLC/Jefferies Group Capital Finance Inc                                                   | JEF 10 06/30/37        | CUSIP: 47233JAQ1<br>LEI: NY9Q8VBNB6D1L6YV0J84 | Long             | DBT              | CORP              | US        |     30000 | PA      | $17475.00     | 0.01%             | 2037-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                                                | VERUS 2020-INV1 B2     | CUSIP: 92537TAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91042.52     | 0.03%             | 2060-03-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWHL 2004-5 2A2        | CUSIP: 12669FVW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90894 | PA      | $87865.10     | 0.03%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                                                         | SEMT 2013-8 B4         | CUSIP: 81745EAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37165 | PA      | $25114.03     | 0.01%             | 2043-06-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                                                       | BAFC 2005-1 1A1        | CUSIP: 05946XPV9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    232784 | PA      | $204475.95    | 0.06%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                                                         | BACR FLOAT 04/25/34    | CUSIP: 06741UBA1<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     58000 | PA      | $33350.00     | 0.01%             | 2034-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                                       | IR3335PJC 1/25/2024    | CUSIP: N/A<br>LEI: N/A                        | Long             | DIR              | CORP              | N/A       | 100000000 | PA      | $4243792.17   | 1.35%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2019-PJ1                                                              | GSMBS 2019-PJ1 B3      | CUSIP: 36257TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401423 | PA      | $307796.64    | 0.10%             | 2049-08-25      | Floating      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                                          | DB FLOAT 10/31/34      | CUSIP: 25152RXF5<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |   4009000 | PA      | $2285130.00   | 0.72%             | 2034-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                                       | PEMEX 6 3/4 09/21/47   | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    320000 | PA      | $203822.98    | 0.06%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                               | GSR 2005-4F 6A1        | CUSIP: 36242DY31<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47820 | PA      | $44622.53     | 0.01%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Student Ln Abs                                                                                            | SLART 2007-1 3A1       | CUSIP: 86386VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314761 | PA      | $304771.21    | 0.10%             | 2030-11-27      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 10/08/34      | CUSIP: 61760QFB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    238000 | PA      | $138040.00    | 0.04%             | 2034-10-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                                       | NRZT 2020-RPL1 B3      | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720000 | PA      | $393968.19    | 0.12%             | 2059-11-25      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                                 | CWALT 2003-22CB 1A1    | CUSIP: 12669FEE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20069 | PA      | $19428.43     | 0.01%             | 2033-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| First Alliance Mtg Loan Trust                                                                             | FAMLT 1999-1 A1        | CUSIP: 31846LCD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39217 | PA      | $38930.45     | 0.01%             | 2030-06-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                                       | MABS 2005-NC1 M2       | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260563 | PA      | $245368.35    | 0.08%             | 2034-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                                                 | TPMT 2019-MH1 B1       | CUSIP: 89177WAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2227736.75   | 0.71%             | 2058-11-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUST                                                                           | SHMLT 2020-SH1 B2      | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $80047.71     | 0.03%             | 2050-01-28      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                     | MCAS 2019-01 M10       | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | USGA              | US        |    951040 | PA      | $880569.48    | 0.28%             | 2049-10-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                                    | STACR 2020-DNA6 B1     | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    420000 | PA      | $380557.62    | 0.12%             | 2050-12-25      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                                                                     | BOAMS 2002-L 1A1       | CUSIP: 05948JAA0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |     27113 | PA      | $20140.15     | 0.01%             | 2032-12-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                        | CMSI 2007-2 APO        | CUSIP: 173107AP8<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     78800 | PA      | $40149.42     | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                            | MS FLOAT 05/31/31      | CUSIP: 61745ER60<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     89000 | PA      | $70310.00     | 0.02%             | 2031-05-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE TRUST                                                                           | CAFL 2019-3 XA         | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15465434 | PA      | $468465.00    | 0.15%             | 2052-10-15      | Floating      | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Wf-Rbs Com Mg Tst                                                                                         | WFRBS 2011-C4 C        | CUSIP: 92936CAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91559 | PA      | $89427.74     | 0.03%             | 2044-06-15      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| GCAT TRUST                                                                                                | GCAT 2021-NQM2 A3      | CUSIP: 36166XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510919 | PA      | $1156206.57   | 0.37%             | 2066-05-25      | Floating      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                                         | MASTR 2006-2 2A2       | CUSIP: 55274QBN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4115554 | PA      | $763718.86    | 0.24%             | 2036-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                                                                     | BOAMS 2005-F 3A1       | CUSIP: 05949CCD6<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     53827 | PA      | $43776.47     | 0.01%             | 2035-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                                                                        | SARM 2006-8 3AF        | CUSIP: 86361JAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7817 | PA      | $6746.35      | 0.00%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-28

**Name of Applicant:** James Alpha Funds Trust

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Asst Treasurer