# EDGAR Filing Document

**Accession Number:** 0001612930
**File Stem:** 0001145549-25-044410
**Filing Date:** 2025-6
**Character Count:** 603706
**Document Hash:** c27185e2b605c9ed47def1c1a65c3cb0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-044410.hdr.sgml**: 20250627

**ACCESSION NUMBER**: 0001145549-25-044410

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250627

**DATE AS OF CHANGE**: 20250627

**PERIOD START**: 20260131

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22980
- **FILM NUMBER:** 251086778

**BUSINESS ADDRESS:**
- **STREET 1:** 3344 PEACHTREE ROAD NE, SUITE 1725
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326
- **BUSINESS PHONE:** 404-953-4900

**MAIL ADDRESS:**
- **STREET 1:** 3344 PEACHTREE ROAD NE, SUITE 1725
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326

## Series and Classes Contracts Data

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

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

## Nport-Ex

---

| | | |
|:---|:---|:---|
| **Angel Oak Multi-Strategy Income Fund** | **Angel Oak Multi-Strategy Income Fund** | **Angel Oak Multi-Strategy Income Fund** |
| **Consolidated Schedule of Investments** | **Consolidated Schedule of Investments** | **Consolidated Schedule of Investments** |
| **April 30, 2025 (Unaudited)** | **April 30, 2025 (Unaudited)** | **April 30, 2025 (Unaudited)** |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 49.4%** | **Par** | **Value** |
|  A&D Mortgage LLC, Series 2024-NQM6, Class B2, 7.30%, 01/25/2070 <sup>(a)(b)</sup> | 2586000 | $2451125 |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust |  |
| &nbsp;&nbsp; Series 2005-12, Class 2A1, 4.96%, 03/25/2036 <sup>(b)</sup> | 1261455 | 956662 |
| &nbsp;&nbsp; Series 2007-2, Class 1A21, 4.99%, 06/25/2037 <sup>(b)</sup> | 1604261 | 1314470 |
| American Home Mortgage Assets LLC | American Home Mortgage Assets LLC |  |
| &nbsp;&nbsp; Series 2006-1, Class XC, 0.09%, 05/25/2046 <sup>(b)(c)</sup> | 12954950 | 111231 |
| &nbsp;&nbsp; Series 2006-6, Class XP, 0.04%, 12/25/2046 <sup>(b)(c)</sup> | 50247088 | 407152 |
| &nbsp;&nbsp; Series 2007-5, Class XP, 0.07%, 06/25/2047 <sup>(b)(c)</sup> | 11748800 | 141338 |
|  American Home Mortgage Investment Trust, Series 2006-3, Class 22A1, 6.39% (6 mo. Term SOFR + 2.18%), 12/25/2036, (11.57% Cap) <sup>(d)</sup> | 3186613 | 2702474 |
|  AMSR Trust, Series 2023-SFR1, Class C, 4.00%, 04/17/2040 <sup>(a)</sup> | 1000000 | 962183 |
|  Arroyo Mortgage Trust, Series 2022-1, Class M1, 3.65%, 12/25/2056 <sup>(a)</sup> | 2000000 | 1519866 |
| ATLX Trust | ATLX Trust |  |
| &nbsp;&nbsp; Series 2024-RPL1, Class A2, 4.30%, 04/25/2064 <sup>(a)(b)</sup> | 3000000 | 2862786 |
| &nbsp;&nbsp; Series 2024-RPL1, Class M1, 4.30%, 04/25/2064 <sup>(a)(b)</sup> | 3500000 | 3320629 |
| ATLXM Trust | ATLXM Trust |  |
| &nbsp;&nbsp; Series 2024-RPL2, Class A1, 3.85%, 04/25/2063 <sup>(a)(e)</sup> | 9609107 | 9194321 |
| &nbsp;&nbsp; Series 2024-RPL2, Class M1, 3.85%, 04/25/2063 <sup>(a)(b)</sup> | 10000000 | 9120530 |
|  Banc of America Alternative Loan Trust, Series 2006-9, Class 30PO, 0.00%, 01/25/2037 <sup>(f)</sup> | 119165 | 67650 |
| Banc of America Funding Corp. | Banc of America Funding Corp. |  |
| &nbsp;&nbsp; Series 2007-2, Class 1A16, 5.04% (1 mo. Term SOFR + 0.71%), 03/25/2037, (6.00% Cap) | 1908192 | 1398976 |
| &nbsp;&nbsp; Series 2007-8, Class 2A1, 7.00%, 10/25/2037 <sup>(d)</sup> | 2763570 | 2186885 |
| &nbsp;&nbsp; Series 2007-A, Class 2A2, 4.85% (1 mo. Term SOFR + 0.53%), 02/20/2047, (10.50% Cap) | 648388 | 577900 |
| &nbsp;&nbsp; Series 2007-B, Class A1, 4.85% (1 mo. Term SOFR + 0.53%), 04/20/2047 <sup>(d)</sup> | 2242398 | 1869231 |
| &nbsp;&nbsp; Series 2007-C, Class 7A4, 4.87% (1 mo. Term SOFR + 0.55%), 05/20/2047 <sup>(d)</sup> | 1607529 | 1495855 |
| &nbsp;&nbsp; Series 2014-R1, Class A2, 3.82% (1 mo. LIBOR US + 0.15%), 06/26/2037 <sup>(a)(d)(g)</sup> | 3488785 | 3240310 |
|  Bayview Financial Acquisition Trust, Series 2005-D, Class APO, 0.00%, 12/28/2035 <sup>(f)</sup> | 151737 | 121530 |
|  BCAP LLC Trust, Series 2013-RR1, Class 6A2, 4.72%, 05/26/2036 <sup>(a)(b)</sup> | 2760590 | 1795024 |
|  Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-6, Class 1A1, 5.40%, 08/25/2035 <sup>(b)</sup> | 1105012 | 960918 |
|  Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2, 5.44% (1 mo. Term SOFR + 1.11%), 08/25/2035, (5.50% Cap) | 1107958 | 722560 |
| Bellemeade Re Ltd. | Bellemeade Re Ltd. |  |
| &nbsp;&nbsp; Series 2023-1, Class B1, 11.05% (30 day avg SOFR US + 6.70%), 10/25/2033 <sup>(a)</sup> | 538000 | 579522 |
| &nbsp;&nbsp; Series 2023-1, Class M1B, 8.60% (30 day avg SOFR US + 4.25%), 10/25/2033 <sup>(a)</sup> | 6200000 | 6410651 |
| &nbsp;&nbsp; Series 2024-1, Class M1C, 8.30% (30 day avg SOFR US + 3.95%), 08/25/2034 <sup>(a)</sup> | 5430000 | 5547055 |
| &nbsp;&nbsp; Series 2024-1, Class M2, 8.95% (30 day avg SOFR US + 4.60%), 08/25/2034 <sup>(a)</sup> | 1000000 | 1042962 |
|  Boston Lending Trust, Series 2021-1, Class A, 2.00%, 07/25/2061 <sup>(a)(b)</sup> | 3551792 | 3316649 |
| BRAVO Residential Funding Trust | BRAVO Residential Funding Trust |  |
| &nbsp;&nbsp; Series 2021-NQM3, Class A2, 1.85%, 04/25/2060 <sup>(a)(b)</sup> | 1681542 | 1553484 |
| &nbsp;&nbsp; Series 2024-NQM4, Class A2, 4.35%, 01/25/2060 <sup>(a)(e)</sup> | 1389108 | 1364454 |
| &nbsp;&nbsp; Series 2024-NQM4, Class A3, 4.35%, 01/25/2060 <sup>(a)(e)</sup> | 926072 | 880974 |
|  Builder Capital Loan Acquisition Trust, Series 2024-NPL1, Class A1B, 9.00%, 09/25/2029 <sup>(a)(e)</sup> | 5000000 | 5116055 |
| Cascade Funding Mortgage Trust | Cascade Funding Mortgage Trust |  |
| &nbsp;&nbsp; Series 2024-NR1, Class A1, 6.41%, 11/25/2029 <sup>(a)(e)</sup> | 5668510 | 5765283 |
| &nbsp;&nbsp; Series 2024-R1, Class M1, 4.00%, 10/25/2054 <sup>(a)(e)</sup> | 1500000 | 1388451 |
|  Cascade MH Asset Trust, Series 2021-MH1, Class B3, 7.69%, 02/25/2046 <sup>(a)(b)</sup> | 3000000 | 2761095 |
| CC Funding Corp. | CC Funding Corp. |  |
| &nbsp;&nbsp; Series 2005-4A, Class NIO, 0.41%, 04/25/2037 <sup>(a)(b)(c)</sup> | 14604414 | 184819 |
| &nbsp;&nbsp; Series 2006-1A, Class A1, 4.59% (1 mo. Term SOFR + 0.26%), 12/25/2046 <sup>(a)(d)</sup> | 2569876 | 2374326 |
| &nbsp;&nbsp; Series 2006-2A, Class A1, 4.57% (1 mo. Term SOFR + 0.24%), 04/25/2047 <sup>(a)(d)</sup> | 8057384 | 7500152 |
| &nbsp;&nbsp; Series 2006-4A, Class A2, 4.62% (1 mo. Term SOFR + 0.29%), 11/25/2047 <sup>(a)(d)</sup> | 2948553 | 2479388 |
| Chase Mortgage Finance Corp. | Chase Mortgage Finance Corp. |  |
| &nbsp;&nbsp; Series 2021-CL1, Class B, 10.85% (30 day avg SOFR US + 6.50%), 02/25/2050 <sup>(a)</sup> | 2159000 | 2016607 |
| &nbsp;&nbsp; Series 2021-CL1, Class M3, 5.90% (30 day avg SOFR US + 1.55%), 02/25/2050 <sup>(a)</sup> | 2016442 | 1917499 |
| &nbsp;&nbsp; Series 2021-CL1, Class M4, 7.00% (30 day avg SOFR US + 2.65%), 02/25/2050 <sup>(a)</sup> | 2086010 | 1904973 |
| &nbsp;&nbsp; Series 2021-CL1, Class M5, 7.60% (30 day avg SOFR US + 3.25%), 02/25/2050 <sup>(a)</sup> | 834301 | 745984 |
| &nbsp;&nbsp; Series 2024-10, Class A3, 5.50%, 10/25/2055 <sup>(a)(b)</sup> | 2742436 | 2734977 |
|  Chaseflex Trust, Series 2005-2, Class 5A6, 5.00%, 06/25/2035 | 1333909 | 767689 |
| CIM Trust | CIM Trust |  |
| &nbsp;&nbsp; Series 2019-J1, Class B5, 3.92%, 08/25/2049 <sup>(a)(b)</sup> | 613000 | 399032 |
| &nbsp;&nbsp; Series 2021-J1, Class B4, 2.66%, 03/25/2051 <sup>(a)(b)</sup> | 1267037 | 685772 |
| &nbsp;&nbsp; Series 2021-J2, Class B4, 2.67%, 04/25/2051 <sup>(a)(b)</sup> | 1517907 | 858089 |
| &nbsp;&nbsp; Series 2021-J3, Class B4, 2.61%, 06/25/2051 <sup>(a)(b)</sup> | 1281000 | 632244 |
| &nbsp;&nbsp; Series 2025-NR1, Class A1, 5.00%, 06/25/2064 <sup>(a)(e)</sup> | 3447683 | 3407828 |
| Citimortgage Alternative Loan Trust | Citimortgage Alternative Loan Trust |  |
| &nbsp;&nbsp; Series 2006-A4, Class 1A3, 6.00%, 09/25/2036 <sup>(d)</sup> | 2525225 | 2259809 |
| &nbsp;&nbsp; Series 2006-A6, Class 1APO, 0.00%, 11/25/2036 <sup>(f)</sup> | 69930 | 38491 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A1, 6.00%, 12/25/2036, (7.50% Cap) <sup>(b)(d)</sup> | 1667516 | 1452777 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A9, 5.09% (1 mo. Term SOFR + 0.76%), 12/25/2036, (6.00% Cap) <sup>(d)</sup> | 3631997 | 2945981 |
| &nbsp;&nbsp; Series 2007-A3, Class 1A2, 5.04% (1 mo. Term SOFR + 0.71%), 03/25/2037, (6.00% Cap) <sup>(d)</sup> | 1900633 | 1520979 |
| &nbsp;&nbsp; Series 2007-A3, Class APO, 0.00%, 03/25/2037 <sup>(f)</sup> | 97666 | 52419 |
| &nbsp;&nbsp; Series 2007-A4, Class APO, 0.00%, 04/25/2037 <sup>(f)</sup> | 64687 | 35263 |
| &nbsp;&nbsp; Series 2007-A5, Class 1A3, 4.94% (1 mo. Term SOFR + 0.61%), 05/25/2037, (6.10% Cap) <sup>(d)</sup> | 3083603 | 2583911 |
|  CitiMortgage, Inc., Series 2005-2, Class 1APO, 0.00%, 03/25/2035 <sup>(f)</sup> | 27310 | 19054 |
| COLT Funding LLC | COLT Funding LLC |  |
| &nbsp;&nbsp; Series 2020-2R, Class B1, 4.12%, 10/26/2065 <sup>(a)(b)</sup> | 3605000 | 3108278 |
| &nbsp;&nbsp; Series 2021-3R, Class M1, 2.36%, 12/25/2064 <sup>(a)(b)</sup> | 2862000 | 2351751 |
| &nbsp;&nbsp; Series 2022-2, Class B1, 3.96%, 02/25/2067 <sup>(a)(b)</sup> | 1750000 | 1444265 |
| &nbsp;&nbsp; Series 2022-3, Class B1, 4.21%, 02/25/2067 <sup>(a)(b)</sup> | 2362000 | 2062118 |
| &nbsp;&nbsp; Series 2022-4, Class B1, 4.70%, 03/25/2067 <sup>(a)(b)</sup> | 3535000 | 3252423 |
| &nbsp;&nbsp; Series 2022-5, Class A1, 4.55%, 04/25/2067 <sup>(a)(b)</sup> | 1453486 | 1471593 |
| &nbsp;&nbsp; Series 2022-5, Class B1, 4.68%, 03/25/2067 <sup>(a)(b)</sup> | 4714000 | 4335009 |
| &nbsp;&nbsp; Series 2022-6, Class M1, 4.62%, 06/27/2067 <sup>(a)(b)</sup> | 969978 | 880021 |
| &nbsp;&nbsp; Series 2022-7, Class B1, 6.28%, 04/25/2067 <sup>(a)(b)</sup> | 3916000 | 3936868 |
| &nbsp;&nbsp; Series 2022-7, Class B2, 6.28%, 04/25/2067 <sup>(a)(b)</sup> | 4452000 | 4484028 |
| &nbsp;&nbsp; Series 2022-8, Class B2, 6.50%, 08/25/2067 <sup>(a)(b)</sup> | 1170000 | 1160886 |
| &nbsp;&nbsp; Series 2023-2, Class B1, 7.93%, 07/25/2068 <sup>(a)(b)</sup> | 2000000 | 2038928 |
| &nbsp;&nbsp; Series 2023-2, Class B2, 7.93%, 07/25/2068 <sup>(a)(b)</sup> | 2260000 | 2275956 |
| &nbsp;&nbsp; Series 2023-3, Class B1, 7.85%, 09/25/2068 <sup>(a)(b)</sup> | 2000000 | 2035414 |
| Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust |  |
| &nbsp;&nbsp; Series 2005-14, Class 2X, 0.06%, 05/25/2035 <sup>(b)(c)</sup> | 9665458 | 63328 |
| &nbsp;&nbsp; Series 2005-16, Class X2, 0.00%, 06/25/2035 <sup>(b)(c)</sup> | 14692164 | 147 |
| &nbsp;&nbsp; Series 2005-24, Class 1AX, 0.00%, 07/20/2035 <sup>(b)(c)</sup> | 6266912 | 4970 |
| &nbsp;&nbsp; Series 2005-27, Class 2X1, 0.00%, 08/25/2035 <sup>(b)(c)</sup> | 16579609 | 166 |
| &nbsp;&nbsp; Series 2005-38, Class X, 4.92%, 09/25/2035 <sup>(b)(c)</sup> | 35152223 | 633 |
| &nbsp;&nbsp; Series 2005-41, Class 2X2, 0.00%, 09/25/2035 <sup>(b)(c)</sup> | 3525958 | 7560 |
| &nbsp;&nbsp; Series 2005-44, Class 1X, 0.02%, 10/25/2035 <sup>(b)(c)</sup> | 17553970 | 40321 |
| &nbsp;&nbsp; Series 2005-51, Class 1X, 1.44%, 11/20/2035 <sup>(b)(c)</sup> | 13234185 | 986754 |
| &nbsp;&nbsp; Series 2005-51, Class 3X2, 0.05%, 11/20/2035 <sup>(b)(c)</sup> | 9890893 | 68178 |
| &nbsp;&nbsp; Series 2005-51, Class 4X, 0.03%, 11/20/2035 <sup>(b)(c)</sup> | 13840343 | 60621 |
| &nbsp;&nbsp; Series 2005-56, Class 4X, 0.00%, 11/25/2035 <sup>(b)(c)</sup> | 18507418 | 177079 |
| &nbsp;&nbsp; Series 2005-58R, Class A, 0.10%, 12/20/2035 <sup>(a)(b)(c)</sup> | 34128300 | 341454 |
| &nbsp;&nbsp; Series 2005-59R, Class A, 2.21%, 12/20/2035 <sup>(a)(b)(c)</sup> | 9052689 | 815 |
| &nbsp;&nbsp; Series 2005-J11, Class 1A4, 4.84% (1 mo. Term SOFR + 0.51%), 11/25/2035, (5.50% Cap) | 2563515 | 1334225 |
| &nbsp;&nbsp; Series 2005-J14, Class A8, 5.50%, 12/25/2035 | 1401741 | 879306 |
| &nbsp;&nbsp; Series 2006-29T1, Class 2A13, 4.74% (1 mo. Term SOFR + 0.41%), 10/25/2036, (8.00% Cap) | 1970236 | 897224 |
| &nbsp;&nbsp; Series 2006-HY10, Class 1X, 0.48%, 05/25/2036 <sup>(b)(c)</sup> | 2336912 | 43198 |
| &nbsp;&nbsp; Series 2006-OA1, Class 1X, 0.06%, 03/20/2046 <sup>(b)(c)</sup> | 8157016 | 85404 |
| &nbsp;&nbsp; Series 2006-OA10, Class XAD, 0.00%, 08/25/2046 <sup>(c)(e)</sup> | 18819988 | 44660 |
| &nbsp;&nbsp; Series 2006-OA10, Class XNB, 0.00%, 08/25/2046 <sup>(b)(c)</sup> | 18145061 | 181 |
| &nbsp;&nbsp; Series 2006-OA10, Class XPP, 0.00%, 08/25/2046 <sup>(b)(c)</sup> | 10791551 | 108 |
| &nbsp;&nbsp; Series 2006-OA3, Class X, 0.00%, 05/25/2036 <sup>(b)(c)</sup> | 10880137 | 28005 |
| Countrywide Home Loan Mortgage Pass Through Trust | Countrywide Home Loan Mortgage Pass Through Trust |  |
| &nbsp;&nbsp; Series 2004-20, Class X, 0.44%, 10/25/2034 <sup>(b)(c)</sup> | 4446723 | 192614 |
| &nbsp;&nbsp; Series 2004-25, Class 1X, 0.00%, 02/25/2035 <sup>(b)(c)</sup> | 10503211 | 105 |
| &nbsp;&nbsp; Series 2004-29, Class 1X, 0.00%, 02/25/2035 <sup>(b)(c)</sup> | 1478419 | 15 |
| &nbsp;&nbsp; Series 2005-1, Class 1X, 0.07%, 03/25/2035 <sup>(b)(c)</sup> | 2727273 | 150 |
| &nbsp;&nbsp; Series 2005-11, Class 4X, 0.05%, 04/25/2035 <sup>(b)(c)</sup> | 3670844 | 183898 |
| &nbsp;&nbsp; Series 2005-2, Class 2X, 0.00%, 03/25/2035 <sup>(b)(c)</sup> | 6542484 | 65 |
| &nbsp;&nbsp; Series 2005-7, Class 3A2, 3.45%, 03/25/2035 <sup>(b)(d)</sup> | 3090132 | 2480190 |
| &nbsp;&nbsp; Series 2005-7, Class 3X, 0.86%, 03/25/2035 <sup>(b)(c)</sup> | 838039 | 32510 |
| &nbsp;&nbsp; Series 2006-12, Class X, 0.12%, 07/25/2036 <sup>(b)(c)</sup> | 12862297 | 53314 |
| &nbsp;&nbsp; Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | 1881822 | 690911 |
|  Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 6A12, 5.50%, 11/25/2035 <sup>(d)</sup> | 1942856 | 742711 |
|  Credit Suisse Management LLC, Series 2002-18, Class 2A1, 7.50%, 06/25/2032 | 1782622 | 1679902 |
| Credit Suisse Mortgage Capital Certificates | Credit Suisse Mortgage Capital Certificates |  |
| &nbsp;&nbsp; Series 2006-4, Class 1A1, 5.14% (1 mo. Term SOFR + 0.81%), 05/25/2036, (6.00% Cap) | 1698375 | 797542 |
| &nbsp;&nbsp; Series 2014-3R, Class 1A1, 2.47% (1 mo. LIBOR US + 0.45%), 03/27/2036, (7.50% Cap) <sup>(a)(g)</sup> | 391142 | 307213 |
| &nbsp;&nbsp; Series 2017-RPL3, Class B5, 4.50%, 08/01/2057 <sup>(a)(b)</sup> | 6891816 | 5978458 |
| &nbsp;&nbsp; Series 2020-RPL4, Class B3, 4.00%, 01/25/2060 <sup>(a)(b)</sup> | 10124150 | 6804856 |
| &nbsp;&nbsp; Series 2020-RPL4, Class B4, 4.00%, 01/25/2060 <sup>(a)(b)</sup> | 10125738 | 5952709 |
| &nbsp;&nbsp; Series 2020-RPL4, Class XS, 1.53%, 01/25/2060 <sup>(a)(b)(c)</sup> | 165773804 | 3768039 |
| &nbsp;&nbsp; Series 2021-AFC1, Class B1, 3.25%, 03/25/2056 <sup>(a)(b)</sup> | 3031450 | 1954058 |
| &nbsp;&nbsp; Series 2021-AFC1, Class B2, 4.26%, 03/25/2056 <sup>(a)(b)</sup> | 1539950 | 1049582 |
| &nbsp;&nbsp; Series 2021-INV1, Class AIOS, 0.04%, 07/25/2056 <sup>(a)(b)(c)</sup> | 101614004 | 172033 |
| &nbsp;&nbsp; Series 2021-INV1, Class AX4, 0.40%, 07/25/2056 <sup>(a)(b)(c)</sup> | 6821189 | 115148 |
| &nbsp;&nbsp; Series 2021-INV1, Class B3, 3.08%, 07/25/2056 <sup>(a)(b)</sup> | 4012548 | 3377073 |
| &nbsp;&nbsp; Series 2021-INV2, Class A11X, 0.00% (-1 x 30 day avg SOFR US + 4.15%), 11/25/2056, (5.00% Cap) <sup>(a)(c)(h)</sup> | 18246491 | 600602 |
| &nbsp;&nbsp; Series 2021-INV2, Class A15X, 0.50%, 11/25/2056 <sup>(a)(b)(c)</sup> | 10931957 | 230172 |
| &nbsp;&nbsp; Series 2021-INV2, Class AIOS, 0.04%, 11/25/2056 <sup>(a)(b)(c)</sup> | 292925261 | 500609 |
| &nbsp;&nbsp; Series 2021-INV2, Class AX4, 0.15%, 11/25/2056 <sup>(a)(b)(c)</sup> | 16743756 | 105469 |
| &nbsp;&nbsp; Series 2021-NQM2, Class M1, 2.28%, 02/25/2066 <sup>(a)(b)</sup> | 1000000 | 779637 |
| &nbsp;&nbsp; Series 2021-NQM8, Class A2, 2.30%, 10/25/2066 <sup>(a)(b)</sup> | 1450914 | 1284789 |
| &nbsp;&nbsp; Series 2022-NQM4, Class A3, 4.82%, 06/25/2067 <sup>(a)(e)</sup> | 9420495 | 9433326 |
| &nbsp;&nbsp; Series 2022-NQM5, Class M1, 5.17%, 05/25/2067 <sup>(a)(b)</sup> | 500000 | 469097 |
|  Deephaven Residential Mortgage Trust, Series 2022-1, Class B1, 4.27%, 01/25/2067 <sup>(a)(b)</sup> | 2000000 | 1622972 |
| Deutsche ALT-A Securities, Inc. | Deutsche ALT-A Securities, Inc. |  |
| &nbsp;&nbsp; Series 2005-5, Class 2A4, 5.50%, 11/25/2035 <sup>(d)</sup> | 3142556 | 1658924 |
| &nbsp;&nbsp; Series 2006-AB2, Class A8, 4.72%, 06/25/2036 <sup>(b)(d)</sup> | 2331791 | 2146789 |
| &nbsp;&nbsp; Series 2007-AR1, Class A1, 4.68% (1 mo. Term SOFR + 0.35%), 01/25/2047, (10.50% Cap) <sup>(d)</sup> | 4888651 | 4665675 |
| &nbsp;&nbsp; Series 2007-AR1, Class A2, 4.80% (1 mo. Term SOFR + 0.47%), 01/25/2047, (10.50% Cap) | 849039 | 765166 |
| &nbsp;&nbsp; Series 2007-BAR1, Class A4, 4.92% (1 mo. Term SOFR + 0.59%), 03/25/2037 <sup>(d)</sup> | 83950000 | 5775172 |
|  Deutsche Mortgage Securities, Inc., Series 2009-RS6, Class A2B, 3.71%, 08/25/2037 <sup>(a)(b)(d)</sup> | 6161479 | 5711623 |
| Downey Savings & Loan Association Mortgage Loan Trust | Downey Savings & Loan Association Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2004-AR1, Class X2, 0.01%, 09/19/2044 <sup>(b)(c)</sup> | 10884684 | 4419 |
| &nbsp;&nbsp; Series 2004-AR2, Class C, 0.00%, 11/19/2044 <sup>(i)</sup> | 1000 | 1 |
| &nbsp;&nbsp; Series 2004-AR2, Class X2, 0.01%, 11/19/2044 <sup>(b)(c)</sup> | 10027007 | 9826 |
| &nbsp;&nbsp; Series 2004-AR4, Class X2, 0.00%, 01/19/2045 <sup>(b)(c)</sup> | 9453857 | 681 |
| &nbsp;&nbsp; Series 2005-AR1, Class 1A, 4.97% (1 mo. Term SOFR + 0.65%), 02/19/2045, (10.50% Cap) <sup>(d)</sup> | 15970047 | 12195606 |
| &nbsp;&nbsp; Series 2005-AR1, Class C, 0.00%, 02/19/2045 <sup>(i)</sup> | 1000000 | 10000 |
| &nbsp;&nbsp; Series 2005-AR1, Class X2, 0.00%, 02/19/2045 <sup>(b)(c)</sup> | 17128853 | 20812 |
| &nbsp;&nbsp; Series 2005-AR2, Class 2A1C, 4.87% (1 mo. Term SOFR + 0.55%), 03/19/2045, (10.50% Cap) <sup>(d)</sup> | 1003400 | 980080 |
| &nbsp;&nbsp; Series 2006-AR2, Class 2A1A, 4.63% (1 mo. Term SOFR + 0.31%), 10/19/2036 <sup>(d)</sup> | 17530045 | 11836725 |
| &nbsp;&nbsp; Series 2007-AR1, Class 1A1A, 4.57% (1 mo. Term SOFR + 0.25%), 04/19/2047 <sup>(d)</sup> | 30228352 | 24513108 |
|  DSLA Mortgage Loan Trust, Series 2005-AR2, Class C, 0.00%, 03/19/2045 | 1 | 4192 |
|  Eagle Re Ltd., Series 2021-2, Class M2, 8.60% (30 day avg SOFR US + 4.25%), 04/25/2034 <sup>(a)</sup> | 3000000 | 3104409 |
| Ellington Financial Mortgage Trust | Ellington Financial Mortgage Trust |  |
| &nbsp;&nbsp; Series 2021-2, Class M1, 2.30%, 06/25/2066 <sup>(a)(b)</sup> | 2710000 | 1867155 |
| &nbsp;&nbsp; Series 2021-3, Class B2, 4.29%, 09/25/2066 <sup>(a)(b)</sup> | 2910000 | 2178068 |
| &nbsp;&nbsp; Series 2022-4, Class AIOS, 0.25%, 09/25/2067 <sup>(a)(b)(c)</sup> | 276772998 | 739537 |
| &nbsp;&nbsp; Series 2022-4, Class B3, 5.93%, 09/25/2067 <sup>(a)(b)</sup> | 20820278 | 11371328 |
| &nbsp;&nbsp; Series 2022-4, Class X, 0.00%, 09/25/2067 <sup>(a)(b)(c)</sup> | 276772998 | 490995 |
| &nbsp;&nbsp; Series 2024-CES1, Class B1, 7.04%, 01/26/2060 <sup>(a)(b)</sup> | 1550000 | 1579889 |
| &nbsp;&nbsp; Series 2024-CES1, Class B2, 8.03%, 01/26/2060 <sup>(a)(b)</sup> | 1393000 | 1420028 |
| &nbsp;&nbsp; Series 2024-CES1, Class B3, 8.72%, 01/26/2060 <sup>(a)(b)</sup> | 3588553 | 3657643 |
| &nbsp;&nbsp; Series 2024-INV2, Class B3, 7.68%, 10/25/2069 <sup>(a)(b)</sup> | 6155807 | 5719194 |
| &nbsp;&nbsp; Series 2024-NQM1, Class B1A, 7.17%, 11/25/2069 <sup>(a)(b)</sup> | 1250000 | 1235526 |
| &nbsp;&nbsp; Series 2024-NQM1, Class B2, 7.65%, 11/25/2069 <sup>(a)(b)</sup> | 2897500 | 2804713 |
| &nbsp;&nbsp; Series 2024-NQM1, Class B3, 7.65%, 11/25/2069 <sup>(a)(b)</sup> | 2739000 | 2576317 |
| &nbsp;&nbsp; Series 2025-CES2, Class A3, 6.09%, 02/25/2060 <sup>(a)(e)</sup> | 2854000 | 2856089 |
| &nbsp;&nbsp; Series 2025-NQM1, Class B1B, 7.45%, 01/25/2070 <sup>(a)(b)</sup> | 4532000 | 4496650 |
| &nbsp;&nbsp; Series 2025-NQM1, Class B3, 7.45%, 01/25/2070 <sup>(a)(b)</sup> | 5008000 | 4663359 |
| FIGRE Trust | FIGRE Trust |  |
| &nbsp;&nbsp; Series 2024-HE1, Class A, 6.17%, 03/25/2054 <sup>(a)(b)</sup> | 3501456 | 3616419 |
| &nbsp;&nbsp; Series 2024-HE1, Class C, 6.75%, 03/25/2054 <sup>(a)(b)</sup> | 1167152 | 1189958 |
| &nbsp;&nbsp; Series 2024-HE4, Class A, 5.06%, 09/25/2054 <sup>(a)(b)</sup> | 2643008 | 2681897 |
| Flagstar Mortgage Trust | Flagstar Mortgage Trust |  |
| &nbsp;&nbsp; Series 2018-2, Class B5, 4.00%, 04/25/2048 <sup>(a)(b)</sup> | 2598271 | 2289443 |
| &nbsp;&nbsp; Series 2018-6RR, Class B5, 4.91%, 10/25/2048 <sup>(a)(b)</sup> | 2478000 | 2052148 |
| &nbsp;&nbsp; Series 2021-1, Class B4, 3.08%, 02/01/2051 <sup>(a)(b)</sup> | 2601035 | 2093347 |
| &nbsp;&nbsp; Series 2021-1, Class B5, 3.08%, 02/01/2051 <sup>(a)(b)</sup> | 1222000 | 640459 |
| &nbsp;&nbsp; Series 2021-10IN, Class B5, 3.50%, 10/25/2051 <sup>(a)(b)</sup> | 1177661 | 907372 |
| &nbsp;&nbsp; Series 2021-2, Class B4, 2.78%, 04/25/2051 <sup>(a)(b)</sup> | 1340188 | 747649 |
| &nbsp;&nbsp; Series 2021-2, Class B5, 2.78%, 04/25/2051 <sup>(a)(b)</sup> | 1343000 | 682009 |
| &nbsp;&nbsp; Series 2021-6INV, Class B5, 3.48%, 08/25/2051 <sup>(a)(b)</sup> | 2921201 | 2251737 |
| &nbsp;&nbsp; Series 2021-9INV, Class AX1, 0.47%, 09/25/2041 <sup>(a)(b)(c)</sup> | 189098920 | 2193358 |
| &nbsp;&nbsp; Series 2021-9INV, Class B4, 2.97%, 09/25/2041 <sup>(a)(b)</sup> | 458357 | 416744 |
| &nbsp;&nbsp; Series 2021-9INV, Class B5, 2.97%, 09/25/2041 <sup>(a)(b)</sup> | 1211408 | 774421 |
| GCAT Trust | GCAT Trust |  |
| &nbsp;&nbsp; Series 2021-NQM4, Class A3, 1.56%, 08/25/2066 <sup>(a)(b)</sup> | 638472 | 524197 |
| &nbsp;&nbsp; Series 2021-NQM6, Class M1, 3.41%, 08/25/2066 <sup>(a)(b)</sup> | 1250000 | 931185 |
| &nbsp;&nbsp; Series 2022-NQM4, Class A3, 5.73%, 08/25/2067 <sup>(a)(e)</sup> | 773221 | 781274 |
| &nbsp;&nbsp; Series 2022-NQM5, Class A3, 5.71%, 08/25/2067 <sup>(a)(e)</sup> | 1779732 | 1809840 |
| &nbsp;&nbsp; Series 2024-NQM1, Class A3, 6.51%, 01/25/2059 <sup>(a)(e)</sup> | 699453 | 711728 |
|  Goldman Sachs Mortgage Pass-Through Trust, Series 2022-1, Class PT, 4.22%, 02/25/2053 <sup>(a)(b)</sup> | 45308085 | 41233348 |
| Greenpoint Mortgage Funding Trust | Greenpoint Mortgage Funding Trust |  |
| &nbsp;&nbsp; Series 2005-AR1, Class X1, 0.16%, 06/25/2045 <sup>(b)(c)</sup> | 11127034 | 91564 |
| &nbsp;&nbsp; Series 2005-AR3, Class X1, 0.00%, 08/25/2045 <sup>(b)(c)</sup> | 20568506 | 245917 |
| &nbsp;&nbsp; Series 2005-AR4, Class 4A1A, 5.06% (1 mo. Term SOFR + 0.73%), 10/25/2045, (10.50% Cap) | 803581 | 739262 |
| &nbsp;&nbsp; Series 2005-AR4, Class X4, 0.00%, 10/25/2045 <sup>(b)(c)</sup> | 6905016 | 0 |
| &nbsp;&nbsp; Series 2006-AR3, Class 4X, 1.00%, 04/25/2036 <sup>(c)</sup> | 13788825 | 476556 |
| GS Mortgage Securities Corp. | GS Mortgage Securities Corp. |  |
| &nbsp;&nbsp; Series 2014-5R, Class 3B2, 4.73% (1 mo. Term SOFR + 0.26%), 02/26/2037 <sup>(a)</sup> | 5231076 | 5040707 |
| &nbsp;&nbsp; Series 2014-5R, Class 3B3, 4.73% (1 mo. Term SOFR + 0.26%), 02/26/2037 <sup>(a)(d)</sup> | 5707000 | 5106367 |
| &nbsp;&nbsp; Series 2014-5R, Class 3B4, 4.73% (1 mo. Term SOFR + 0.26%), 02/26/2037 <sup>(a)(d)</sup> | 5709149 | 4593627 |
| GS Mortgage-Backed Securities Trust | GS Mortgage-Backed Securities Trust |  |
| &nbsp;&nbsp; Series 2019-PJ1, Class B4, 4.02%, 08/25/2049 <sup>(a)(b)</sup> | 1500000 | 1214720 |
| &nbsp;&nbsp; Series 2019-PJ1, Class B5, 4.02%, 08/25/2049 <sup>(a)(b)</sup> | 577000 | 415289 |
| &nbsp;&nbsp; Series 2019-PJ3, Class AIOS, 0.22%, 03/25/2050 <sup>(a)(b)(c)</sup> | 26038368 | 249005 |
| &nbsp;&nbsp; Series 2020-PJ5, Class B5, 3.25%, 03/27/2051 <sup>(a)(b)</sup> | 1695134 | 1066326 |
| &nbsp;&nbsp; Series 2020-PJ6, Class AX1, 0.02%, 05/25/2051 <sup>(a)(b)(c)</sup> | 305784984 | 261752 |
| &nbsp;&nbsp; Series 2020-PJ6, Class B4, 2.77%, 05/25/2051 <sup>(a)(b)</sup> | 1714288 | 1396823 |
| &nbsp;&nbsp; Series 2020-PJ6, Class B5, 2.77%, 05/25/2051 <sup>(a)(b)</sup> | 1485255 | 919678 |
| &nbsp;&nbsp; Series 2020-RPL1, Class B1, 3.79%, 07/25/2059 <sup>(a)(b)</sup> | 6323000 | 5171854 |
| &nbsp;&nbsp; Series 2021-HP1, Class B3, 3.21%, 01/25/2052 <sup>(a)(b)(d)</sup> | 3484144 | 2931109 |
| &nbsp;&nbsp; Series 2021-HP1, Class B4, 3.21%, 01/25/2052 <sup>(a)(b)</sup> | 3493603 | 2909022 |
| &nbsp;&nbsp; Series 2021-HP1, Class B5, 3.21%, 01/25/2052 <sup>(a)(b)</sup> | 1403104 | 1132167 |
| &nbsp;&nbsp; Series 2021-INV1, Class B3, 3.02%, 12/25/2051 <sup>(a)(b)</sup> | 3939983 | 3288932 |
| &nbsp;&nbsp; Series 2021-MM1, Class A2, 2.50%, 04/25/2052 <sup>(a)(b)</sup> | 821257 | 674396 |
| &nbsp;&nbsp; Series 2021-MM1, Class B3, 2.73%, 04/25/2052 <sup>(a)(b)(d)</sup> | 2445429 | 2052378 |
| &nbsp;&nbsp; Series 2021-MM1, Class B4, 2.73%, 04/25/2052 <sup>(a)(b)</sup> | 1523773 | 750807 |
| &nbsp;&nbsp; Series 2021-PJ1, Class B4, 2.75%, 06/25/2051 <sup>(a)(b)</sup> | 2236283 | 1651679 |
| &nbsp;&nbsp; Series 2021-PJ1, Class B5, 2.75%, 06/25/2051 <sup>(a)(b)</sup> | 1039000 | 528546 |
| &nbsp;&nbsp; Series 2021-PJ11, Class A2, 2.50%, 04/25/2052 <sup>(a)(b)</sup> | 1214663 | 997706 |
| &nbsp;&nbsp; Series 2021-PJ11, Class B4, 2.86%, 04/25/2052 <sup>(a)(b)</sup> | 1300000 | 666073 |
| &nbsp;&nbsp; Series 2021-PJ3, Class B4, 2.65%, 08/25/2051 <sup>(a)(b)</sup> | 1191638 | 953562 |
| &nbsp;&nbsp; Series 2021-PJ3, Class B5, 2.65%, 08/25/2051 <sup>(a)(b)</sup> | 1198800 | 730663 |
| &nbsp;&nbsp; Series 2021-PJ4, Class AX1, 0.01%, 09/25/2051 <sup>(a)(b)(c)</sup> | 437566069 | 217033 |
| &nbsp;&nbsp; Series 2021-PJ4, Class B4, 2.61%, 09/25/2051 <sup>(a)(b)</sup> | 2529770 | 1502443 |
| &nbsp;&nbsp; Series 2021-PJ5, Class B4, 2.59%, 10/25/2051 <sup>(a)(b)</sup> | 3529747 | 2413002 |
| &nbsp;&nbsp; Series 2021-PJ6, Class AX1, 0.02%, 11/25/2051 <sup>(a)(b)(c)</sup> | 754727799 | 652085 |
| &nbsp;&nbsp; Series 2021-PJ6, Class B4, 2.68%, 11/25/2051 <sup>(a)(b)</sup> | 5235373 | 4036070 |
| &nbsp;&nbsp; Series 2021-PJ7, Class B4, 2.72%, 01/25/2052 <sup>(a)(b)</sup> | 7205504 | 5563240 |
| &nbsp;&nbsp; Series 2021-PJ8, Class B4, 2.76%, 01/25/2052 <sup>(a)(b)</sup> | 3666350 | 2720329 |
| &nbsp;&nbsp; Series 2021-PJ8, Class B5, 2.76%, 01/25/2052 <sup>(a)(b)</sup> | 1237000 | 608576 |
| &nbsp;&nbsp; Series 2021-PJ9, Class A13, 2.00%, 02/26/2052 <sup>(a)(b)</sup> | 1500000 | 922457 |
| &nbsp;&nbsp; Series 2021-PJ9, Class B4, 2.93%, 02/26/2052 <sup>(a)(b)</sup> | 3198681 | 2544752 |
| &nbsp;&nbsp; Series 2021-PJ9, Class B5, 2.93%, 02/26/2052 <sup>(a)(b)</sup> | 1204468 | 833864 |
| &nbsp;&nbsp; Series 2022-GR1, Class B4, 3.20%, 06/25/2052 <sup>(a)(b)</sup> | 3644066 | 2862695 |
| &nbsp;&nbsp; Series 2022-GR1, Class B5, 3.20%, 06/25/2052 <sup>(a)(b)</sup> | 1144118 | 852588 |
| &nbsp;&nbsp; Series 2022-LTV1, Class A14, 3.00%, 06/25/2052 <sup>(a)(b)</sup> | 59557500 | 41958021 |
| &nbsp;&nbsp; Series 2022-LTV1, Class A15X, 0.00% (-1 x 30 day avg SOFR US + 4.15%), 06/25/2052, (5.00% Cap) <sup>(a)(c)(h)</sup> | 12944265 | 456350 |
| &nbsp;&nbsp; Series 2022-LTV1, Class B2, 3.24%, 06/25/2052 <sup>(a)(b)(d)</sup> | 4571705 | 3758430 |
| &nbsp;&nbsp; Series 2022-LTV1, Class B4, 3.24%, 06/25/2052 <sup>(a)(b)</sup> | 4718400 | 3690846 |
| &nbsp;&nbsp; Series 2022-LTV1, Class B5, 3.24%, 06/25/2052 <sup>(a)(b)</sup> | 737192 | 541878 |
| &nbsp;&nbsp; Series 2022-PJ3, Class A4, 2.50%, 08/25/2052 <sup>(a)(b)</sup> | 4114311 | 3361742 |
| &nbsp;&nbsp; Series 2023-CCM1, Class B1, 7.40%, 08/25/2053 <sup>(a)(b)</sup> | 2300000 | 2328032 |
| &nbsp;&nbsp; Series 2023-PJ3, Class A16, 5.50%, 10/27/2053 <sup>(a)(b)</sup> | 3883268 | 3907088 |
| &nbsp;&nbsp; Series 2023-PJ4, Class A15, 6.00%, 01/25/2054 <sup>(a)(b)</sup> | 2769391 | 2801859 |
| &nbsp;&nbsp; Series 2023-PJ6, Class A16, 6.50%, 04/25/2054 <sup>(a)(b)</sup> | 2693038 | 2762484 |
| &nbsp;&nbsp; Series 2024-PJ3, Class B4, 6.19%, 08/25/2054 <sup>(a)(b)</sup> | 2340000 | 1908532 |
| &nbsp;&nbsp; Series 2024-PJ5, Class B4, 6.92%, 09/25/2054 <sup>(a)(b)</sup> | 1613000 | 1405944 |
| &nbsp;&nbsp; Series 2024-PJ6, Class B4, 6.75%, 10/25/2054 <sup>(a)(b)</sup> | 1584000 | 1355828 |
| &nbsp;&nbsp; Series 2024-PJ8, Class B4, 6.91%, 02/25/2055 <sup>(a)(b)</sup> | 1734000 | 1362331 |
| &nbsp;&nbsp; Series 2024-RPL4, Class M1, 4.00%, 09/25/2061 <sup>(a)(b)</sup> | 3500000 | 3075979 |
| GSAA Trust | GSAA Trust |  |
| &nbsp;&nbsp; Series 2005-14, Class 2A3, 5.14% (1 mo. Term SOFR + 0.81%), 12/25/2035 <sup>(d)</sup> | 1914044 | 1684954 |
| &nbsp;&nbsp; Series 2007-2, Class AV1, 4.52% (1 mo. Term SOFR + 0.19%), 03/25/2037 | 3271188 | 611143 |
| &nbsp;&nbsp; Series 2007-5, Class 2A1A, 4.68% (1 mo. Term SOFR + 0.35%), 04/25/2047 <sup>(d)</sup> | 1382857 | 1278157 |
|  GSR Mortgage Loan Trust, Series 2005-6F, Class 3A6, 4.77% (1 mo. Term SOFR + 0.44%), 07/25/2035, (7.25% Cap) | 1312019 | 1112769 |
| Harborview Mortgage Loan Trust | Harborview Mortgage Loan Trust | Harborview Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-11, Class X1, 0.00%, 01/19/2035 <sup>(b)(c)</sup> | 6715973 | 67 |
| &nbsp;&nbsp; Series 2004-7, Class X1, 0.50%, 11/19/2034 <sup>(b)(c)</sup> | 897717 | 12793 |
| &nbsp;&nbsp; Series 2004-9, Class 4A2, 5.21% (1 mo. Term SOFR + 0.89%), 12/19/2034 <sup>(d)</sup> | 1504738 | 1330941 |
| &nbsp;&nbsp; Series 2005-1, Class X, 0.00%, 03/19/2035 <sup>(b)(c)</sup> | 4584946 | 6914 |
| &nbsp;&nbsp; Series 2005-10, Class X, 0.00%, 11/19/2035 <sup>(b)(c)</sup> | 22308582 | 223 |
| &nbsp;&nbsp; Series 2005-11, Class X, 0.00%, 08/19/2045 <sup>(b)(c)</sup> | 6614585 | 66 |
| &nbsp;&nbsp; Series 2005-12, Class X2B, 0.11%, 10/19/2035 <sup>(b)(c)</sup> | 6958553 | 70 |
| &nbsp;&nbsp; Series 2005-13, Class X, 0.00%, 02/19/2036 <sup>(b)(c)</sup> | 11246588 | 112 |
| &nbsp;&nbsp; Series 2005-15, Class 2A11, 4.97% (1 mo. Term SOFR + 0.65%), 10/20/2045, (11.00% Cap) <sup>(d)</sup> | 2070733 | 1929484 |
| &nbsp;&nbsp; Series 2005-3, Class X2, 0.04%, 06/19/2035 <sup>(b)(c)</sup> | 32205537 | 322 |
| &nbsp;&nbsp; Series 2005-8, Class 2XA1, 0.04%, 09/19/2035 <sup>(b)(c)</sup> | 21185628 | 212 |
| &nbsp;&nbsp; Series 2006-14, Class 2A1A, 4.73% (1 mo. Term SOFR + 0.41%), 01/25/2047 <sup>(d)</sup> | 15147616 | 13982052 |
| &nbsp;&nbsp; Series 2007-6, Class 1A1A, 4.63% (1 mo. Term SOFR + 0.31%), 08/19/2037, (10.50% Cap) <sup>(d)</sup> | 14655351 | 11849350 |
| &nbsp;&nbsp; Series 2007-6, Class 2A1A, 4.62% (1 mo. Term SOFR + 0.30%), 08/19/2037, (10.50% Cap) | 1478426 | 1338791 |
|  Helios Loan Funding Trust, 10.70%, 03/08/2053 <sup>(b)</sup> | 60838935 | 64391138 |
| Home RE Ltd. | Home RE Ltd. | Home RE Ltd. |
| &nbsp;&nbsp; Series 2021-2, Class M2, 7.60% (30 day avg SOFR US + 3.25%), 01/25/2034 <sup>(a)</sup> | 8250000 | 8307527 |
| &nbsp;&nbsp; Series 2023-1, Class M2, 10.35% (30 day avg SOFR US + 6.00%), 10/25/2033 <sup>(a)</sup> | 3000000 | 3174930 |
|  Homebanc Mortgage Trust, Series 2004-2, Class A2, 5.34% (1 mo. Term SOFR + 1.01%), 12/25/2034, (11.50% Cap) | 806100 | 773814 |
|  Impac Secured Assets CMN Owner Trust, Series 2006-2, Class 1A2C, 5.00% (1 mo. Term SOFR + 0.67%), 08/25/2036, (11.50% Cap) <sup>(d)</sup> | 3060359 | 2745090 |
| Indymac Index Mortgage Loan Trust | Indymac Index Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2004-AR12, Class AX2, 0.00%, 12/25/2034 <sup>(b)(c)</sup> | 1471745 | 15 |
| &nbsp;&nbsp; Series 2005-16IP, Class AX, 0.00%, 07/25/2045 <sup>(b)(c)</sup> | 11005375 | 5536 |
| &nbsp;&nbsp; Series 2005-AR10, Class AX, 0.00%, 06/25/2035 <sup>(b)(c)</sup> | 24022621 | 240 |
| &nbsp;&nbsp; Series 2005-AR12, Class AX2, 0.00%, 07/25/2035 <sup>(b)(c)</sup> | 38082189 | 381 |
| &nbsp;&nbsp; Series 2005-AR14, Class 2X, 0.01%, 07/25/2035 <sup>(b)(c)</sup> | 18557476 | 15477 |
| &nbsp;&nbsp; Series 2005-AR2, Class AX2, 0.00%, 02/25/2035 <sup>(b)(c)</sup> | 9064573 | 0 |
| &nbsp;&nbsp; Series 2005-AR4, Class AX2, 0.00%, 03/25/2035 <sup>(b)(c)</sup> | 11536120 | 151792 |
| &nbsp;&nbsp; Series 2005-AR8, Class AX2, 0.00%, 05/25/2035 <sup>(b)(c)</sup> | 15094301 | 151 |
| &nbsp;&nbsp; Series 2006-AR25, Class 5A1, 3.74%, 09/25/2036 <sup>(b)(d)</sup> | 3741358 | 2938736 |
| &nbsp;&nbsp; Series 2007-AR9, Class 2A1, 3.79%, 04/25/2037 <sup>(b)(d)</sup> | 3095124 | 1935554 |
|  Invitation Homes Trust, Series 2024-SFR1, Class A, 4.00%, 09/17/2041 <sup>(a)</sup> | 2994870 | 2896635 |
|  JP Morgan Alternative Loan Trust, Series 2006-A7, Class 1A4, 4.90% (1 mo. Term SOFR + 0.57%), 12/25/2036, (11.50% Cap) | 902212 | 802462 |
| JP Morgan Chase Commercial Mortgage Securities | JP Morgan Chase Commercial Mortgage Securities |  |
| &nbsp;&nbsp; Series 2019-LTV1, Class B4, 4.61%, 06/25/2049 <sup>(a)(b)</sup> | 3698014 | 3541995 |
| &nbsp;&nbsp; Series 2019-LTV1, Class B5, 4.61%, 06/25/2049 <sup>(a)(b)</sup> | 1752008 | 1434043 |
| JP Morgan Mortgage Trust | JP Morgan Mortgage Trust |  |
| &nbsp;&nbsp; Series 2005-ALT1, Class 2A1, 5.67%, 10/25/2035 <sup>(b)(d)</sup> | 4665973 | 3706051 |
| &nbsp;&nbsp; Series 2006-A6, Class 1A4L, 4.62%, 10/25/2036 <sup>(b)</sup> | 1336034 | 1022067 |
| &nbsp;&nbsp; Series 2007-A4, Class 3A3, 5.44%, 06/25/2037 <sup>(b)</sup> | 1111182 | 874767 |
| &nbsp;&nbsp; Series 2019-7, Class AX1, 0.00%, 02/25/2050 <sup>(a)(b)(c)</sup> | 18069460 | 54 |
| &nbsp;&nbsp; Series 2019-7, Class B4, 3.95%, 02/25/2050 <sup>(a)(b)</sup> | 2738724 | 2280916 |
| &nbsp;&nbsp; Series 2019-7, Class B5, 3.95%, 02/25/2050 <sup>(a)(b)</sup> | 1199000 | 836062 |
| &nbsp;&nbsp; Series 2019-8, Class AX1, 0.14%, 03/25/2050 <sup>(a)(b)(c)</sup> | 41378288 | 269869 |
| &nbsp;&nbsp; Series 2019-9, Class B5, 3.80%, 05/25/2050 <sup>(a)(b)</sup> | 2398549 | 2132828 |
| &nbsp;&nbsp; Series 2019-LTV3, Class B5, 4.34%, 03/25/2050 <sup>(a)(b)</sup> | 1717631 | 1551508 |
| &nbsp;&nbsp; Series 2020-1, Class B5, 3.81%, 06/25/2050 <sup>(a)(b)</sup> | 2051289 | 1742365 |
| &nbsp;&nbsp; Series 2020-3, Class B4, 3.83%, 08/25/2050 <sup>(a)(b)</sup> | 198231 | 176705 |
| &nbsp;&nbsp; Series 2020-3, Class B5, 3.83%, 08/25/2050 <sup>(a)(b)</sup> | 1573508 | 1380242 |
| &nbsp;&nbsp; Series 2020-5, Class B5, 3.57%, 12/25/2050 <sup>(a)(b)</sup> | 1667826 | 1298661 |
| &nbsp;&nbsp; Series 2020-LTV1, Class B5, 4.23%, 06/25/2050 <sup>(a)(b)</sup> | 2719524 | 2425674 |
| &nbsp;&nbsp; Series 2020-LTV2, Class B5, 4.00%, 11/25/2050 <sup>(a)(b)</sup> | 2961461 | 2517419 |
| &nbsp;&nbsp; Series 2021-10, Class B5, 2.83%, 12/25/2051 <sup>(a)(b)</sup> | 2307956 | 1605525 |
| &nbsp;&nbsp; Series 2021-13, Class A5, 2.50%, 04/25/2052 <sup>(a)(b)</sup> | 1500000 | 1015057 |
| &nbsp;&nbsp; Series 2021-14, Class A3, 2.50%, 05/25/2052 <sup>(a)(b)</sup> | 6070963 | 5079751 |
| &nbsp;&nbsp; Series 2021-15, Class B3, 3.11%, 06/25/2052 <sup>(a)(b)</sup> | 8491875 | 7050524 |
| &nbsp;&nbsp; Series 2021-15, Class B4, 3.11%, 06/25/2052 <sup>(a)(b)</sup> | 4940408 | 3967182 |
| &nbsp;&nbsp; Series 2021-3, Class B4, 2.94%, 07/25/2051 <sup>(a)(b)</sup> | 1981794 | 1570025 |
| &nbsp;&nbsp; Series 2021-6, Class B4, 2.86%, 10/25/2051 <sup>(a)(b)</sup> | 3535112 | 2738652 |
| &nbsp;&nbsp; Series 2021-7, Class B4, 2.80%, 11/25/2051 <sup>(a)(b)</sup> | 1733138 | 1346024 |
| &nbsp;&nbsp; Series 2021-7, Class B5, 2.80%, 11/25/2051 <sup>(a)(b)</sup> | 1733138 | 982684 |
| &nbsp;&nbsp; Series 2021-8, Class B4, 2.84%, 12/25/2051 <sup>(a)(b)</sup> | 2954836 | 2299155 |
| &nbsp;&nbsp; Series 2021-INV6, Class A5A, 2.50%, 04/25/2052 <sup>(a)(b)</sup> | 1084511 | 887923 |
| &nbsp;&nbsp; Series 2022-1, Class B4, 3.09%, 07/25/2052 <sup>(a)(b)</sup> | 13919468 | 10871077 |
| &nbsp;&nbsp; Series 2023-6, Class B4, 6.19%, 12/26/2053 <sup>(a)(b)</sup> | 1558727 | 1319453 |
| &nbsp;&nbsp; Series 2023-7, Class B4, 6.23%, 02/25/2054 <sup>(a)(b)</sup> | 1035500 | 839015 |
| &nbsp;&nbsp; Series 2023-8, Class B4, 6.28%, 02/25/2054 <sup>(a)(b)</sup> | 3035099 | 2627403 |
| &nbsp;&nbsp; Series 2023-9, Class B4, 6.38%, 04/25/2054 <sup>(a)(b)</sup> | 2976232 | 2690252 |
| &nbsp;&nbsp; Series 2024-10, Class B6, 6.99%, 03/25/2055 <sup>(a)(b)</sup> | 2843931 | 1961243 |
| &nbsp;&nbsp; Series 2024-11, Class A2, 6.00%, 04/25/2055 <sup>(a)(b)(d)</sup> | 6324853 | 6458877 |
| &nbsp;&nbsp; Series 2024-4, Class B4, 7.15%, 10/25/2054 <sup>(a)(b)</sup> | 3008007 | 2836009 |
| &nbsp;&nbsp; Series 2024-5, Class B4, 6.94%, 11/25/2054 <sup>(a)(b)</sup> | 2615164 | 2478550 |
| &nbsp;&nbsp; Series 2024-5, Class B5, 6.94%, 11/25/2054 <sup>(a)(b)</sup> | 2366000 | 2028062 |
| &nbsp;&nbsp; Series 2024-6, Class B4, 6.94%, 12/25/2054 <sup>(a)(b)</sup> | 2512639 | 2204376 |
| &nbsp;&nbsp; Series 2024-6, Class B5, 6.94%, 12/25/2054 <sup>(a)(b)</sup> | 1795000 | 1518186 |
| &nbsp;&nbsp; Series 2024-8, Class A3, 5.50%, 01/25/2055 <sup>(a)(b)</sup> | 2359827 | 2348335 |
| &nbsp;&nbsp; Series 2024-8, Class B4, 7.04%, 01/25/2055 <sup>(a)(b)</sup> | 2611000 | 2310628 |
| &nbsp;&nbsp; Series 2024-9, Class B4, 7.01%, 02/25/2055 <sup>(a)(b)</sup> | 3319991 | 3107063 |
| &nbsp;&nbsp; Series 2024-9, Class B6, 6.82%, 02/25/2055 <sup>(a)(b)</sup> | 2676609 | 1849928 |
| &nbsp;&nbsp; Series 2024-CCM1, Class A3, 5.50%, 04/25/2055 <sup>(a)(b)</sup> | 1631525 | 1639386 |
| &nbsp;&nbsp; Series 2024-INV1, Class A3, 5.50%, 04/25/2055 <sup>(a)(b)</sup> | 3223010 | 3223126 |
| &nbsp;&nbsp; Series 2025-2, Class A5A, 5.50%, 07/25/2055 <sup>(a)(b)</sup> | 7500000 | 7527143 |
|  JP Morgan Wealth Management, Series 2020-ATR1, Class A5, 3.00%, 02/25/2050 <sup>(a)(b)</sup> | 2980398 | 2613887 |
| JPMorgan Chase Bank NA | JPMorgan Chase Bank NA |  |
| &nbsp;&nbsp; Series 2019-CL1, Class M2, 6.14% (1 mo. Term SOFR + 1.81%), 04/25/2047 <sup>(a)</sup> | 3430360 | 3501722 |
| &nbsp;&nbsp; Series 2019-CL1, Class M4, 7.04% (1 mo. Term SOFR + 2.71%), 04/25/2047 <sup>(a)</sup> | 1270026 | 1289940 |
| &nbsp;&nbsp; Series 2020-CL1, Class B, 14.44% (1 mo. Term SOFR + 10.11%), 10/25/2057 <sup>(a)</sup> | 6690285 | 7026438 |
| &nbsp;&nbsp; Series 2020-CL1, Class M2, 6.94% (1 mo. Term SOFR + 2.61%), 10/25/2057 <sup>(a)</sup> | 2755245 | 2811736 |
| &nbsp;&nbsp; Series 2020-CL1, Class M4, 8.79% (1 mo. Term SOFR + 4.46%), 10/25/2057 <sup>(a)</sup> | 880958 | 899847 |
| &nbsp;&nbsp; Series 2020-CL1, Class M5, 10.04% (1 mo. Term SOFR + 5.71%), 10/25/2057 <sup>(a)</sup> | 1692018 | 1760517 |
| &nbsp;&nbsp; Series 2021-CL1, Class B, 11.25% (30 day avg SOFR US + 6.90%), 03/25/2051 <sup>(a)</sup> | 1150672 | 1109599 |
| &nbsp;&nbsp; Series 2021-CL1, Class M5, 8.20% (30 day avg SOFR US + 3.85%), 03/25/2051 <sup>(a)</sup> | 379051 | 345539 |
| Lake Summit Mortgage Trust | Lake Summit Mortgage Trust |  |
| &nbsp;&nbsp; 8.67%, 08/15/2049 <sup>(b)</sup> | 2710263 | 2691373 |
| &nbsp;&nbsp; 6.68%, 08/28/2049 <sup>(b)</sup> | 9194942 | 9014804 |
|  Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, 4.75%, 07/25/2061 <sup>(a)(e)</sup> | 4400492 | 4474654 |
| Lehman Mortgage Trust | Lehman Mortgage Trust |  |
| &nbsp;&nbsp; Series 2007-5, Class PO1, 0.00%, 06/25/2037 <sup>(f)</sup> | 15777 | 11649 |
| &nbsp;&nbsp; Series 2007-9, Class AP, 0.00%, 10/25/2037 <sup>(f)</sup> | 10414 | 8362 |
| Lehman XS Trust | Lehman XS Trust |  |
| &nbsp;&nbsp; Series 2005-3, Class 3A3A, 4.78%, 09/25/2035 <sup>(e)</sup> | 1663006 | 1495572 |
| &nbsp;&nbsp; Series 2007-7N, Class 1A1A, 4.88% (1 mo. Term SOFR + 0.55%), 06/25/2047 | 2499032 | 2342115 |
| &nbsp;&nbsp; Series 2007-9, Class WFIO, 0.55%, 04/25/2037 <sup>(c)</sup> | 13767460 | 138 |
| Luminent Mortgage Trust | Luminent Mortgage Trust |  |
| &nbsp;&nbsp; Series 2006-1, Class A1, 5.16% (1 mo. Term SOFR + 0.83%), 04/25/2036 <sup>(d)</sup> | 2945909 | 2618439 |
| &nbsp;&nbsp; Series 2006-1, Class X, 0.06%, 04/25/2036 <sup>(b)(c)</sup> | 20887055 | 88478 |
| &nbsp;&nbsp; Series 2006-2, Class X, 0.00%, 02/25/2046 <sup>(b)(c)</sup> | 29369709 | 294 |
| &nbsp;&nbsp; Series 2006-5, Class X, 0.00%, 07/25/2036 <sup>(b)(c)</sup> | 24850706 | 249 |
|  MASTR Adjustable Rate Mortgages Trust, Series 2005-7, Class 2A1, 4.71%, 09/25/2035 <sup>(b)</sup> | 920420 | 856678 |
| MASTR Alternative Loans Trust | MASTR Alternative Loans Trust |  |
| &nbsp;&nbsp; Series 2004-6, Class 30PO, 0.00%, 07/25/2034 <sup>(f)</sup> | 73323 | 60884 |
| &nbsp;&nbsp; Series 2007-1, Class 15PO, 0.00%, 05/25/2025 <sup>(f)</sup> | 2913 | 0 |
| &nbsp;&nbsp; Series 2007-HF1, Class 4A1, 7.00%, 10/25/2047 <sup>(d)</sup> | 9522417 | 3753108 |
| MASTR Asset Securitization Trust | MASTR Asset Securitization Trust |  |
| &nbsp;&nbsp; Series 2005-2, Class PO, 0.00%, 11/25/2035 <sup>(f)</sup> | 9895 | 5782 |
| &nbsp;&nbsp; Series 2007-1, Class AP, 0.00%, 11/25/2037 <sup>(f)</sup> | 403 | 0 |
| Mello Mortgage Capital Acceptance | Mello Mortgage Capital Acceptance |  |
| &nbsp;&nbsp; Series 2018-MTG1, Class B4, 3.67%, 03/25/2048 <sup>(a)(b)</sup> | 1799000 | 1311228 |
| &nbsp;&nbsp; Series 2018-MTG1, Class B5, 3.67%, 03/25/2048 <sup>(a)(b)</sup> | 1499000 | 1071758 |
| &nbsp;&nbsp; Series 2021-INV4, Class B5, 3.21%, 12/25/2051 <sup>(a)(b)</sup> | 1142139 | 881617 |
| &nbsp;&nbsp; Series 2021-MTG1, Class B4, 2.65%, 04/25/2051 <sup>(a)(b)</sup> | 1031571 | 800188 |
| &nbsp;&nbsp; Series 2021-MTG1, Class B5, 2.65%, 04/25/2051 <sup>(a)(b)</sup> | 515337 | 280513 |
| &nbsp;&nbsp; Series 2021-MTG2, Class B4, 2.67%, 06/25/2051 <sup>(a)(b)</sup> | 1576205 | 1143440 |
| &nbsp;&nbsp; Series 2021-MTG3, Class B5, 2.91%, 07/01/2051 <sup>(a)(b)</sup> | 488000 | 218958 |
| Merrill Lynch Mortgage Investors, Inc. | Merrill Lynch Mortgage Investors, Inc. |  |
| &nbsp;&nbsp; Series 2003-OPT1, Class M3, 3.16% (1 mo. Term SOFR + 2.59%), 07/25/2034 | 1558243 | 1280455 |
| &nbsp;&nbsp; Series 2006-AF1, Class AF2A, 6.25%, 08/25/2036 | 1626264 | 660070 |
| MFRA Trust | MFRA Trust |  |
| &nbsp;&nbsp; Series 2021-RPL1, Class A2, 2.07%, 07/25/2060 <sup>(a)(b)</sup> | 4106000 | 3477597 |
| &nbsp;&nbsp; Series 2021-RPL1, Class M2, 2.85%, 07/25/2060 <sup>(a)(b)</sup> | 4500000 | 3792524 |
| &nbsp;&nbsp; Series 2024-NQM3, Class A3, 6.13%, 12/25/2069 <sup>(a)(e)</sup> | 4655250 | 4728254 |
| Morgan Stanley ABS Capital I, Inc. | Morgan Stanley ABS Capital I, Inc. |  |
| &nbsp;&nbsp; Series 2007-HE6, Class A3, 4.62% (1 mo. Term SOFR + 0.29%), 05/25/2037 | 11852303 | 10484974 |
| &nbsp;&nbsp; Series 2007-HE6, Class A4, 4.69% (1 mo. Term SOFR + 0.36%), 05/25/2037 <sup>(d)</sup> | 1706732 | 1484776 |
| Morgan Stanley Mortgage Loan Trust | Morgan Stanley Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2006-3AR, Class 1AX, 0.61%, 03/25/2036 <sup>(b)(c)</sup> | 13553482 | 383794 |
| &nbsp;&nbsp; Series 2006-5AR, Class AX, 0.27%, 04/25/2036 <sup>(b)(c)</sup> | 14298928 | 73768 |
|  Morgan Stanley Reremic Trust, Series 2015-R4, Class CB3, 4.37%, 08/26/2047 <sup>(a)(b)</sup> | 1010309 | 894114 |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2021-1, Class B4, 2.94%, 03/25/2051 <sup>(a)(b)</sup> | 760096 | 449759 |
| &nbsp;&nbsp; Series 2021-1, Class B5, 2.94%, 03/25/2051 <sup>(a)(b)</sup> | 988000 | 509865 |
| &nbsp;&nbsp; Series 2021-3, Class B4, 2.78%, 06/25/2051 <sup>(a)(b)</sup> | 1093000 | 557880 |
| &nbsp;&nbsp; Series 2021-4, Class B4, 2.92%, 07/25/2051 <sup>(a)(b)</sup> | 1240000 | 647750 |
| &nbsp;&nbsp; Series 2021-5, Class B4, 2.98%, 08/25/2051 <sup>(a)(b)</sup> | 1963761 | 1147379 |
|  MortgageIT Trust, Series 2006-1, Class 1X, 0.04%, 04/25/2036 <sup>(b)(c)</sup> | 7392600 | 0 |
|  New Residential Mortgage LLC, Series 2025-FHT1, Class A, 6.55%, 03/25/2032 <sup>(a)(e)</sup> | 1939636 | 1946412 |
| New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2018-2A, Class B6, 5.29%, 02/25/2058 <sup>(a)(b)</sup> | 1175551 | 863895 |
| &nbsp;&nbsp; Series 2019-2A, Class B6, 4.75%, 12/25/2057 <sup>(a)(b)</sup> | 4952711 | 3734334 |
| &nbsp;&nbsp; Series 2019-6A, Class B5IA, 1.75%, 09/25/2059 <sup>(a)(b)(c)</sup> | 12864759 | 854992 |
| &nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.57%, 05/25/2065 <sup>(a)(e)</sup> | 6900735 | 7006282 |
| &nbsp;&nbsp; Series 2025-NQM2, Class B1, 7.28%, 05/25/2065 <sup>(a)(b)</sup> | 5116000 | 5193937 |
| &nbsp;&nbsp; Series 2025-NQM2, Class B3, 7.28%, 05/25/2065 <sup>(a)(b)</sup> | 11758000 | 10785425 |
|  Nomura Resecuritization Trust, Series 2014-3R, Class 4A15, 1.20% (1 mo. Term SOFR + 0.27%), 03/26/2037 <sup>(a)(d)</sup> | 3531609 | 2747440 |
|  Oceanview Mortgage Trust, Series 2021-5, Class B4, 2.97%, 10/25/2051 <sup>(a)(b)</sup> | 1715000 | 931772 |
| Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2021-J2, Class A1, 2.50%, 07/25/2051 <sup>(a)(b)</sup> | 1552259 | 1264382 |
| &nbsp;&nbsp; Series 2021-J3, Class A7, 2.50%, 10/25/2051 <sup>(a)(b)</sup> | 2500000 | 1694285 |
| &nbsp;&nbsp; Series 2021-NQM1, Class A1, 1.07%, 02/25/2066 <sup>(a)(b)</sup> | 1012649 | 863116 |
| &nbsp;&nbsp; Series 2021-NQM2, Class A3, 1.56%, 05/25/2061 <sup>(a)(b)</sup> | 1795687 | 1495907 |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust |  |
| &nbsp;&nbsp; Series 2007-1, Class 21PO, 0.00%, 02/25/2037 <sup>(f)</sup> | 10852 | 8986 |
| &nbsp;&nbsp; Series 2007-2, Class 2A2, 6.00%, 05/25/2037 | 975101 | 845306 |
| PMT Loan Trust | PMT Loan Trust |  |
| &nbsp;&nbsp; Series 2024-INV2, Class A1, 6.00%, 12/25/2059 <sup>(a)(b)</sup> | 3131645 | 3172767 |
| &nbsp;&nbsp; Series 2025-INV4, Class A12, 5.50%, 03/25/2056 <sup>(a)(b)</sup> | 5000000 | 4971210 |
| &nbsp;&nbsp; Series 2025-INV4, Class A29, 6.00%, 03/25/2056 <sup>(a)(b)</sup> | 16822000 | 17062723 |
| &nbsp;&nbsp; Series 2025-INV4, Class A3, 5.50%, 03/25/2056 <sup>(a)(b)</sup> | 2250000 | 2263460 |
| Pretium Mortgage Credit Partners LLC | Pretium Mortgage Credit Partners LLC |  |
| &nbsp;&nbsp; Series 2024-NPL3, Class A1, 7.52%, 04/27/2054 <sup>(a)(e)</sup> | 1823274 | 1836949 |
| &nbsp;&nbsp; Series 2024-NPL4, Class A1, 7.00%, 07/25/2054 <sup>(a)(e)</sup> | 927464 | 940524 |
| &nbsp;&nbsp; Series 2024-NPL6, Class A1, 5.93%, 10/25/2054 <sup>(a)(e)</sup> | 3677489 | 3702234 |
| &nbsp;&nbsp; Series 2024-NPL7, Class A1, 5.93%, 10/25/2054 <sup>(a)(e)</sup> | 1856871 | 1875125 |
| &nbsp;&nbsp; Series 2025-RPL2, Class A2, 4.00%, 08/25/2064 <sup>(a)(e)</sup> | 8000000 | 7274176 |
|  Progress Residential Trust, Series 2023-SFR2, Class D, 4.50%, 10/17/2040 <sup>(a)</sup> | 800000 | 776530 |
|  Provident Funding Mortgage Trust, Series 2024-1, Class A1, 5.50%, 12/25/2054 <sup>(a)(b)</sup> | 4226909 | 4225125 |
| PRPM LLC | PRPM LLC |  |
| &nbsp;&nbsp; Series 2022-NQM1, Class B1, 5.42%, 08/25/2067 <sup>(a)(b)</sup> | 3500000 | 3441064 |
| &nbsp;&nbsp; Series 2023-NQM3, Class M1, 7.25%, 11/25/2068 <sup>(a)(b)</sup> | 750000 | 773381 |
| &nbsp;&nbsp; Series 2024-1, Class A1, 6.96%, 02/25/2029 <sup>(a)(e)</sup> | 3283318 | 3352635 |
| &nbsp;&nbsp; Series 2024-2, Class A1, 7.03%, 03/25/2029 <sup>(a)(e)</sup> | 842896 | 861220 |
| &nbsp;&nbsp; Series 2024-3, Class A1, 6.99%, 05/25/2029 <sup>(a)(e)</sup> | 1706135 | 1732252 |
| &nbsp;&nbsp; Series 2024-3, Class A2, 9.56%, 05/25/2029 <sup>(a)(e)</sup> | 1000000 | 1019585 |
| &nbsp;&nbsp; Series 2024-5, Class A1, 5.69%, 09/25/2029 <sup>(a)(e)</sup> | 2935979 | 2973726 |
| &nbsp;&nbsp; Series 2024-7, Class A1, 5.87%, 11/25/2029 <sup>(a)(e)</sup> | 2722660 | 2733578 |
| &nbsp;&nbsp; Series 2024-RCF1, Class A1, 4.00%, 01/25/2054 <sup>(a)(e)</sup> | 1447987 | 1424195 |
| &nbsp;&nbsp; Series 2024-RCF1, Class A3, 4.00%, 01/25/2054 <sup>(a)(e)</sup> | 1000000 | 931194 |
| &nbsp;&nbsp; Series 2024-RCF1, Class M1, 4.00%, 01/25/2054 <sup>(a)(e)</sup> | 1250000 | 1182975 |
| &nbsp;&nbsp; Series 2024-RCF2, Class A3, 3.75%, 03/25/2054 <sup>(a)(e)</sup> | 2000000 | 1880512 |
| &nbsp;&nbsp; Series 2024-RPL4, Class A3, 4.00%, 12/25/2054 <sup>(a)(e)</sup> | 2936000 | 2774394 |
|  Radian Mortgage Capital Trust, Series 2025-J1, Class A4, 5.50%, 07/25/2055 <sup>(a)(b)</sup> | 10368323 | 10335735 |
| Radnor RE Ltd. | Radnor RE Ltd. |  |
| &nbsp;&nbsp; Series 2023-1, Class M1A, 7.05% (30 day avg SOFR US + 2.70%), 07/25/2033 <sup>(a)</sup> | 2900422 | 2923100 |
| &nbsp;&nbsp; Series 2024-1, Class M1C, 7.85% (30 day avg SOFR US + 3.50%), 09/25/2034 <sup>(a)</sup> | 500000 | 505892 |
| &nbsp;&nbsp; Series 2024-1, Class M2, 8.35% (30 day avg SOFR US + 4.00%), 09/25/2034 <sup>(a)</sup> | 1500000 | 1552377 |
| RALI Trust | RALI Trust |  |
| &nbsp;&nbsp; Series 2005-QA13, Class 2A1, 5.34%, 12/25/2035 <sup>(b)(d)</sup> | 3174584 | 2849297 |
| &nbsp;&nbsp; Series 2005-QO5, Class X, 1.71%, 01/25/2046 <sup>(b)(c)</sup> | 19377513 | 1574481 |
| &nbsp;&nbsp; Series 2005-QS13, Class AP, 0.00%, 09/25/2035 <sup>(f)</sup> | 173456 | 114558 |
| &nbsp;&nbsp; Series 2005-QS17, Class A1, 6.00%, 12/25/2035 <sup>(d)</sup> | 1466887 | 1306491 |
| &nbsp;&nbsp; Series 2005-QS17, Class AP, 0.00%, 12/25/2035 <sup>(f)</sup> | 224471 | 149702 |
| &nbsp;&nbsp; Series 2006-QA7, Class 2A1, 4.81% (1 mo. Term SOFR + 0.48%), 08/25/2036 <sup>(d)</sup> | 4402949 | 3934995 |
| &nbsp;&nbsp; Series 2006-QA9, Class A1, 4.80% (1 mo. Term SOFR + 0.47%), 11/25/2036, (11.00% Cap) | 1376326 | 740495 |
| &nbsp;&nbsp; Series 2006-QS11, Class 1A2, 6.00%, 08/25/2036 <sup>(d)</sup> | 1748429 | 1357226 |
| &nbsp;&nbsp; Series 2006-QS11, Class 1A8, 6.00%, 08/25/2036 <sup>(d)</sup> | 1741958 | 1377677 |
| &nbsp;&nbsp; Series 2006-QS12, Class AP, 0.00%, 09/25/2036 <sup>(f)</sup> | 71309 | 43502 |
| &nbsp;&nbsp; Series 2006-QS14, Class A15, 4.74% (1 mo. Term SOFR + 0.41%), 11/25/2036, (7.50% Cap) | 1287306 | 922146 |
| &nbsp;&nbsp; Series 2006-QS14, Class A25, 6.50%, 11/25/2036 <sup>(d)</sup> | 4392335 | 3647153 |
| &nbsp;&nbsp; Series 2006-QS15, Class A5, 6.50%, 10/25/2036 | 860195 | 738221 |
| &nbsp;&nbsp; Series 2006-QS15, Class AP, 0.00%, 10/25/2036 <sup>(f)</sup> | 95267 | 45690 |
| &nbsp;&nbsp; Series 2006-QS16, Class AP, 0.00%, 11/25/2036 <sup>(f)</sup> | 98568 | 48429 |
| &nbsp;&nbsp; Series 2006-QS3, Class 1A1, 5.14% (1 mo. Term SOFR + 0.81%), 03/25/2036, (5.50% Cap) <sup>(d)</sup> | 2209616 | 1819146 |
| &nbsp;&nbsp; Series 2006-QS3, Class 1A8, 4.84% (1 mo. Term SOFR + 0.51%), 03/25/2036, (6.00% Cap) | 1192118 | 998333 |
| &nbsp;&nbsp; Series 2006-QS5, Class AP, 0.00%, 05/25/2036 <sup>(f)</sup> | 25088 | 15302 |
| &nbsp;&nbsp; Series 2006-QS9, Class 1AP, 0.00%, 07/25/2036 <sup>(f)</sup> | 33402 | 20126 |
| &nbsp;&nbsp; Series 2006-QS9, Class 2AP, 0.00%, 07/25/2036 <sup>(f)</sup> | 14951 | 0 |
| &nbsp;&nbsp; Series 2007-QA2, Class A3, 4.74% (1 mo. Term SOFR + 0.41%), 02/25/2037, (14.00% Cap) <sup>(d)</sup> | 4472412 | 3838770 |
| &nbsp;&nbsp; Series 2007-QS1, Class 1AP, 0.00%, 01/25/2037 <sup>(f)</sup> | 19207 | 15481 |
| &nbsp;&nbsp; Series 2007-QS1, Class 2A10, 6.00%, 01/25/2037 | 1278924 | 990138 |
| &nbsp;&nbsp; Series 2007-QS3, Class AP, 0.00%, 02/25/2037 <sup>(f)</sup> | 359369 | 165219 |
| &nbsp;&nbsp; Series 2007-QS4, Class 4A3, 0.00%, 03/25/2037 <sup>(f)</sup> | 494490 | 28629 |
| &nbsp;&nbsp; Series 2007-QS5, Class AP, 0.00%, 03/25/2037 <sup>(f)</sup> | 162028 | 84162 |
| &nbsp;&nbsp; Series 2007-QS6, Class AP, 0.00%, 04/25/2037 <sup>(f)</sup> | 276945 | 136259 |
| &nbsp;&nbsp; Series 2007-QS9, Class AP, 0.00%, 07/25/2037 <sup>(f)</sup> | 776053 | 366082 |
| Rate Mortgage Trust | Rate Mortgage Trust |  |
| &nbsp;&nbsp; Series 2021-HB1, Class B4, 2.70%, 12/25/2051 <sup>(a)(b)</sup> | 2454049 | 1692962 |
| &nbsp;&nbsp; Series 2021-J1, Class B4, 2.71%, 07/25/2051 <sup>(a)(b)</sup> | 1291000 | 651116 |
| &nbsp;&nbsp; Series 2022-J1, Class B4, 2.75%, 01/25/2052 <sup>(a)(b)</sup> | 3475795 | 1984672 |
| &nbsp;&nbsp; Series 2024-J2, Class A2, 5.50%, 07/25/2054 <sup>(a)(b)</sup> | 1701152 | 1682578 |
| &nbsp;&nbsp; Series 2024-J2, Class B5, 6.46%, 07/25/2054 <sup>(a)(b)</sup> | 927000 | 708997 |
| &nbsp;&nbsp; Series 2024-J3, Class B4, 6.41%, 10/25/2054 <sup>(a)(b)</sup> | 747000 | 597346 |
| &nbsp;&nbsp; Series 2024-J3, Class B5, 6.41%, 10/25/2054 <sup>(a)(b)</sup> | 935000 | 720575 |
|  RBSSP Resecuritization Trust, Series 2009-3, Class 3A3, 5.75%, 09/26/2035 <sup>(a)(b)</sup> | 1253554 | 1116340 |
| RCKT Mortgage Trust | RCKT Mortgage Trust |  |
| &nbsp;&nbsp; Series 2021-2, Class B4, 2.56%, 06/25/2051 <sup>(a)(b)</sup> | 2401824 | 1699728 |
| &nbsp;&nbsp; Series 2021-2, Class B5, 2.56%, 06/25/2051 <sup>(a)(b)</sup> | 1566000 | 761463 |
| &nbsp;&nbsp; Series 2022-1, Class B3, 2.76%, 01/25/2052 <sup>(a)(b)</sup> | 9279922 | 7120855 |
| &nbsp;&nbsp; Series 2022-1, Class B4, 2.76%, 01/25/2052 <sup>(a)(b)</sup> | 5197193 | 3630608 |
| &nbsp;&nbsp; Series 2022-1, Class B5, 2.76%, 01/25/2052 <sup>(a)(b)</sup> | 2245000 | 1008146 |
| Residential Asset Securitization Trust | Residential Asset Securitization Trust |  |
| &nbsp;&nbsp; Series 2005-A11, Class 1A1, 4.89% (1 mo. Term SOFR + 0.56%), 10/25/2035, (5.50% Cap) | 1567559 | 954711 |
| &nbsp;&nbsp; Series 2005-A11, Class 1A3, 5.50%, 10/25/2035 | 1418289 | 956457 |
| &nbsp;&nbsp; Series 2005-A11, Class PO, 0.00%, 10/25/2035 <sup>(f)</sup> | 551720 | 236047 |
| &nbsp;&nbsp; Series 2006-A2, Class A5, 5.14% (1 mo. Term SOFR + 0.81%), 01/25/2046, (6.00% Cap) | 1847288 | 560227 |
| &nbsp;&nbsp; Series 2007-A2, Class 2A2, 6.50%, 04/25/2037 | 3941451 | 1168317 |
| &nbsp;&nbsp; Series 2007-A8, Class 1A1, 6.00%, 08/25/2037 | 3905941 | 1871762 |
| RFMSI Trust | RFMSI Trust |  |
| &nbsp;&nbsp; Series 2005-S7, Class AP, 0.00%, 11/25/2035 <sup>(f)</sup> | 15773 | 10355 |
| &nbsp;&nbsp; Series 2006-S10, Class 1AP, 0.00%, 10/25/2036 <sup>(f)</sup> | 11190 | 5808 |
| &nbsp;&nbsp; Series 2006-S4, Class AP, 0.00%, 04/25/2036 <sup>(f)</sup> | 105972 | 69400 |
| &nbsp;&nbsp; Series 2006-S5, Class A4, 0.00%, 06/25/2036 <sup>(f)</sup> | 28158 | 16114 |
| &nbsp;&nbsp; Series 2007-S1, Class A7, 6.00%, 01/25/2037 | 1014763 | 818598 |
| &nbsp;&nbsp; Series 2007-S5, Class AP, 0.00%, 05/25/2037 <sup>(f)</sup> | 164040 | 84348 |
| Rithm Capital Corp. | Rithm Capital Corp. |  |
| &nbsp;&nbsp; Series 2022-SFR2, Class E2, 4.00%, 09/04/2039 <sup>(a)</sup> | 2554000 | 2435229 |
| &nbsp;&nbsp; Series 2023-NQM1, Class B1, 7.53%, 10/25/2063 <sup>(a)(b)</sup> | 3000000 | 2941749 |
| Saluda Grade Mortgage Funding LLC | Saluda Grade Mortgage Funding LLC |  |
| &nbsp;&nbsp; Series 2020-SEQ1, Class A1, 3.32%, 05/25/2050 <sup>(a)(b)</sup> | 2645803 | 2596167 |
| &nbsp;&nbsp; Series 2020-SEQ1, Class C, 0.00%, 05/25/2050 <sup>(a)(b)(c)</sup> | 26202262 | 2986665 |
| &nbsp;&nbsp; Series 2021-FIG2, Class M1, 4.25%, 10/25/2051 <sup>(a)(b)</sup> | 1449524 | 1583238 |
| &nbsp;&nbsp; Series 2021-FIG2, Class M2, 6.00%, 10/25/2051 <sup>(a)(b)</sup> | 1159619 | 1264466 |
| &nbsp;&nbsp; Series 2021-MF1, Class A1, 2.81%, 11/25/2029 <sup>(a)(b)</sup> | 7785447 | 7926807 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class B1, 5.50%, 02/25/2052 <sup>(a)(b)</sup> | 3153250 | 2925882 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class B2, 6.00%, 02/25/2052 <sup>(a)(b)</sup> | 2011000 | 1849219 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class B3, 7.58%, 02/25/2052 <sup>(a)(b)</sup> | 2254499 | 2132450 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class CERT, 0.00%, 02/25/2052 <sup>(a)</sup> | 37897498 | 35822572 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class M1, 5.00%, 02/25/2052 <sup>(a)(b)</sup> | 5213750 | 4900367 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class XS, 0.00%, 02/25/2052 <sup>(a)(b)(c)</sup> | 102053625 | 860006 |
| &nbsp;&nbsp; Series 2022-SG2, Class A, 5.00%, 05/15/2052 <sup>(a)</sup> | 15000000 | 15120165 |
| &nbsp;&nbsp; Series 2023-FIG3, Class A, 7.07%, 08/25/2053 <sup>(a)(b)</sup> | 3079845 | 3159299 |
| &nbsp;&nbsp; Series 2023-FIG4, Class A, 6.72%, 11/25/2053 <sup>(a)(b)</sup> | 4961893 | 5137643 |
| &nbsp;&nbsp; Series 2023-SEQ3, Class A2, 6.89%, 06/01/2053 <sup>(a)(b)</sup> | 4250000 | 4330181 |
| &nbsp;&nbsp; Series 2025-NPL1, Class A1, 7.12%, 01/25/2030 <sup>(a)(e)</sup> | 10554553 | 10605574 |
| &nbsp;&nbsp; Series 2025-NPL1, Class A2, 9.05%, 01/25/2030 <sup>(a)(e)</sup> | 1250000 | 1251228 |
| Sequoia Mortgage Trust | Sequoia Mortgage Trust |  |
| &nbsp;&nbsp; Series 2005-2, Class XA, 0.00%, 03/20/2035 <sup>(b)(c)</sup> | 2924061 | 0 |
| &nbsp;&nbsp; Series 2007-1, Class 5A1, 4.19%, 10/20/2046 <sup>(b)(d)</sup> | 1714070 | 1231119 |
| &nbsp;&nbsp; Series 2021-1, Class B4, 2.66%, 03/25/2051 <sup>(a)(b)</sup> | 2362213 | 1468846 |
| &nbsp;&nbsp; Series 2023-4, Class A10, 6.00%, 11/25/2053 <sup>(a)(b)</sup> | 2152898 | 2180853 |
| &nbsp;&nbsp; Series 2023-5, Class B4, 6.05%, 12/25/2053 <sup>(a)(b)</sup> | 1191000 | 940693 |
| &nbsp;&nbsp; Series 2024-2, Class A13, 6.00%, 03/25/2054 <sup>(a)(b)</sup> | 3000000 | 3061281 |
| &nbsp;&nbsp; Series 2024-7, Class A2, 6.00%, 08/25/2054 <sup>(a)(b)</sup> | 3820304 | 3912461 |
| &nbsp;&nbsp; Series 2024-8, Class B4, 6.67%, 09/25/2054 <sup>(a)(b)</sup> | 2831008 | 2603466 |
| SGR Residential Mortgage Trust | SGR Residential Mortgage Trust |  |
| &nbsp;&nbsp; Series 2020-2, Class A1, 1.38%, 05/25/2065 <sup>(a)(b)</sup> | 530686 | 486736 |
| &nbsp;&nbsp; Series 2021-2, Class A1, 1.74%, 12/25/2061 <sup>(a)(b)</sup> | 3064716 | 2594013 |
| &nbsp;&nbsp; Series 2021-2, Class A2, 1.94%, 12/25/2061 <sup>(a)(b)</sup> | 1640476 | 1401199 |
|  Shellpoint Asset Funding Trust, Series 2013-1, Class B4, 3.86%, 07/25/2043 <sup>(a)(b)</sup> | 782566 | 691646 |
|  Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class B2, 4.68%, 01/28/2050 <sup>(a)(b)</sup> | 6000000 | 5379504 |
| Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust |  |
| &nbsp;&nbsp; Series 2021-1, Class B1, 3.52%, 05/25/2065 <sup>(a)(b)</sup> | 2743000 | 2351168 |
| &nbsp;&nbsp; Series 2021-2, Class A3, 1.43%, 05/25/2065 <sup>(a)(b)</sup> | 137315 | 129633 |
| &nbsp;&nbsp; Series 2021-3, Class M1, 2.49%, 06/25/2056 <sup>(a)(b)</sup> | 5170000 | 3855895 |
| &nbsp;&nbsp; Series 2021-5, Class A3, 2.44%, 09/25/2066 <sup>(a)(b)</sup> | 7130788 | 6052584 |
| &nbsp;&nbsp; Series 2022-3, Class A3, 4.16%, 03/25/2067 <sup>(a)(b)</sup> | 2307624 | 2163822 |
| &nbsp;&nbsp; Series 2022-SFR3, Class A, 5.97% (1 mo. Term SOFR + 1.65%), 05/17/2039 <sup>(a)</sup> | 1969614 | 1973810 |
| Structured Asset Mortgage Investments, Inc. | Structured Asset Mortgage Investments, Inc. |  |
| &nbsp;&nbsp; Series 2004-AR1, Class X, 0.00%, 03/19/2034 <sup>(b)(c)</sup> | 3533618 | 35 |
| &nbsp;&nbsp; Series 2004-AR7, Class X, 0.41%, 04/19/2035 <sup>(b)(c)</sup> | 5160869 | 30361 |
| &nbsp;&nbsp; Series 2005-AR2, Class 1X, 0.01%, 05/25/2045 <sup>(b)(c)</sup> | 6607760 | 9740 |
| &nbsp;&nbsp; Series 2005-AR3, Class 1X, 0.01%, 08/25/2035 <sup>(b)(c)</sup> | 9043078 | 16024 |
| &nbsp;&nbsp; Series 2006-AR5, Class 1X, 0.00%, 05/25/2046 <sup>(b)(c)</sup> | 9986430 | 112897 |
| &nbsp;&nbsp; Series 2006-AR5, Class 4X, 0.00%, 05/25/2046 <sup>(b)(c)</sup> | 35124162 | 27502 |
| &nbsp;&nbsp; Series 2006-AR7, Class X, 0.90%, 08/25/2036 <sup>(c)</sup> | 22454243 | 743011 |
|  Terwin Mortgage Trust, Series 2005-18AL, Class PX, 0.00%, 01/25/2037 <sup>(a)(b)(c)</sup> | 21937078 | 144543 |
| Towd Point Mortgage Trust | Towd Point Mortgage Trust |  |
| &nbsp;&nbsp; Series 2017-6, Class B4, 3.35%, 10/25/2057 <sup>(a)(b)</sup> | 4500000 | 3167343 |
| &nbsp;&nbsp; Series 2018-2, Class B4, 3.77%, 03/25/2058 <sup>(a)(b)</sup> | 3000000 | 2111424 |
| &nbsp;&nbsp; Series 2018-5, Class B3, 3.49%, 07/25/2058 <sup>(a)(b)</sup> | 3000000 | 2073192 |
| &nbsp;&nbsp; Series 2019-1, Class B2, 3.46%, 03/25/2058 <sup>(a)(b)</sup> | 3000000 | 2192502 |
| &nbsp;&nbsp; Series 2019-HY2, Class B3, 6.69% (1 mo. Term SOFR + 2.36%), 05/25/2058 <sup>(a)</sup> | 2294000 | 2067568 |
| &nbsp;&nbsp; Series 2021-SJ2, Class A2, 2.50%, 12/25/2061 <sup>(a)(b)</sup> | 2548781 | 2365684 |
| &nbsp;&nbsp; Series 2024-3, Class M2, 5.10%, 07/25/2065 <sup>(a)(b)</sup> | 1695000 | 1535429 |
| &nbsp;&nbsp; Series 2024-4, Class A2, 4.45%, 10/27/2064 <sup>(a)(b)</sup> | 2897000 | 2626768 |
| &nbsp;&nbsp; Series 2024-4, Class M1, 4.45%, 10/27/2064 <sup>(a)(b)</sup> | 4966000 | 4364041 |
|  Triangle Re Ltd., Series 2023-1, Class M1A, 7.75% (30 day avg SOFR US + 3.40%), 11/25/2033 <sup>(a)</sup> | 3693564 | 3727751 |
| Unlock Hea Trust | Unlock Hea Trust |  |
| &nbsp;&nbsp; Series 2022-1, Class A, 7.00%, 09/25/2035 <sup>(a)(e)</sup> | 8570148 | 8595789 |
| &nbsp;&nbsp; Series 2022-1, Class B, 8.00%, 09/25/2035 <sup>(a)(e)</sup> | 10000000 | 9682660 |
| &nbsp;&nbsp; Series 2023-1, Class A, 7.00%, 10/25/2038 <sup>(a)</sup> | 1650571 | 1656863 |
| UWM Mortgage Trust | UWM Mortgage Trust |  |
| &nbsp;&nbsp; Series 2021-INV1, Class B5, 3.15%, 08/25/2051 <sup>(a)(b)</sup> | 1548051 | 1191821 |
| &nbsp;&nbsp; Series 2021-INV2, Class B5, 3.24%, 09/25/2051 <sup>(a)(b)</sup> | 2030049 | 1597732 |
|  VCAT Asset Securitization LLC, Series 2025-NPL1, Class A1, 5.88%, 01/25/2055 <sup>(a)(e)</sup> | 923674 | 923638 |
| Verus Securitization Trust | Verus Securitization Trust |  |
| &nbsp;&nbsp; Series 2021-3, Class B1, 3.20%, 06/25/2066 <sup>(a)(b)</sup> | 1750000 | 1275297 |
| &nbsp;&nbsp; Series 2021-3, Class B2, 3.96%, 06/25/2066 <sup>(a)(b)</sup> | 2270000 | 1646851 |
| &nbsp;&nbsp; Series 2021-3, Class M1, 2.40%, 06/25/2066 <sup>(a)(b)</sup> | 2500000 | 1858890 |
| &nbsp;&nbsp; Series 2021-4, Class A3, 1.35%, 07/25/2066 <sup>(a)(b)</sup> | 1553109 | 1273557 |
| &nbsp;&nbsp; Series 2022-3, Class M1, 4.07%, 02/25/2067 <sup>(a)(b)</sup> | 2500000 | 2102295 |
| &nbsp;&nbsp; Series 2022-4, Class B1, 4.77%, 04/25/2067 <sup>(a)(b)</sup> | 1426000 | 1280589 |
| &nbsp;&nbsp; Series 2022-7, Class B1, 5.34%, 07/25/2067 <sup>(a)(b)</sup> | 3119000 | 3095879 |
| &nbsp;&nbsp; Series 2022-7, Class B2, 5.34%, 07/25/2067 <sup>(a)(b)</sup> | 6000000 | 5905740 |
| &nbsp;&nbsp; Series 2022-7, Class M1, 5.34%, 07/25/2067 <sup>(a)(b)</sup> | 1000000 | 977794 |
| &nbsp;&nbsp; Series 2022-8, Class A3, 6.13%, 09/25/2067 <sup>(a)(e)</sup> | 546723 | 549930 |
| &nbsp;&nbsp; Series 2022-INV1, Class B1, 5.80%, 08/25/2067 <sup>(a)(b)</sup> | 3483000 | 3456808 |
| &nbsp;&nbsp; Series 2022-INV1, Class B2, 5.80%, 08/25/2067 <sup>(a)(b)</sup> | 2200000 | 2151604 |
| &nbsp;&nbsp; Series 2022-INV2, Class B1, 6.77%, 10/25/2067 <sup>(a)(b)</sup> | 1400000 | 1411311 |
| &nbsp;&nbsp; Series 2023-2, Class A2, 6.60%, 03/25/2068 <sup>(a)(e)</sup> | 2159002 | 2210265 |
| &nbsp;&nbsp; Series 2023-6, Class B2, 7.80%, 09/25/2068 <sup>(a)(b)</sup> | 3450000 | 3460847 |
| &nbsp;&nbsp; Series 2023-INV1, Class M1, 7.50%, 02/25/2068 <sup>(a)(b)</sup> | 2300000 | 2356651 |
| &nbsp;&nbsp; Series 2023-INV3, Class B2, 8.21%, 11/25/2068 <sup>(a)(b)</sup> | 5000000 | 5041755 |
| &nbsp;&nbsp; Series 2024-INV2, Class B1, 6.93%, 08/26/2069 <sup>(a)</sup> | 1500000 | 1484550 |
| &nbsp;&nbsp; Series 2025-1, Class B2, 7.35%, 01/25/2070 <sup>(a)(b)</sup> | 1250000 | 1210499 |
| Vista Point Securitization Trust | Vista Point Securitization Trust |  |
| &nbsp;&nbsp; Series 2024-CES1, Class B2, 10.35%, 05/25/2054 <sup>(a)(b)</sup> | 1000000 | 1061192 |
| &nbsp;&nbsp; Series 2024-CES2, Class A3, 5.91%, 10/25/2054 <sup>(a)(e)</sup> | 1000000 | 996908 |
| &nbsp;&nbsp; Series 2024-CES2, Class B1, 7.50%, 10/25/2054 <sup>(a)(b)</sup> | 1000000 | 1032202 |
| &nbsp;&nbsp; Series 2024-CES3, Class A3, 6.19%, 01/25/2055 <sup>(a)(e)</sup> | 2000000 | 2035158 |
| Washington Mutual Alternative Mortgage Pass-Through Certificates | Washington Mutual Alternative Mortgage Pass-Through Certificates |  |
| &nbsp;&nbsp; Series 2003-MS7, Class P, 0.00%, 03/25/2033 <sup>(f)</sup> | 198 | 156 |
| &nbsp;&nbsp; Series 2004-AR10, Class X, 0.03%, 07/25/2044 <sup>(b)(c)</sup> | 7214773 | 563 |
| &nbsp;&nbsp; Series 2005-5, Class CB11, 5.84% (1 mo. Term SOFR + 1.51%), 07/25/2035, (6.00% Cap) <sup>(d)</sup> | 2680382 | 2395465 |
| &nbsp;&nbsp; Series 2005-AR6, Class X, 0.00%, 04/25/2045 <sup>(b)(c)</sup> | 13737141 | 87780 |
| &nbsp;&nbsp; Series 2006-2, Class 1A1, 6.00%, 03/25/2036 | 807619 | 755059 |
| &nbsp;&nbsp; Series 2006-2, Class 4CB, 6.00%, 03/25/2036 | 929129 | 900297 |
| &nbsp;&nbsp; Series 2006-AR15, Class 2A, 6.07% (MTA + 1.50%), 11/25/2046 | 724068 | 559357 |
| &nbsp;&nbsp; Series 2006-AR8, Class 3X1, 0.04%, 10/25/2046 <sup>(b)(c)</sup> | 10583911 | 147476 |
| &nbsp;&nbsp; Series 2007-OA4, Class 1XPP, 0.00%, 05/25/2047 <sup>(b)(c)</sup> | 59949811 | 19244 |
| &nbsp;&nbsp; Series 2007-OA4, Class XPPP, 0.01%, 04/25/2047 <sup>(b)(c)</sup> | 17661053 | 63968 |
| &nbsp;&nbsp; Series 2007-OA5, Class 1XPP, 0.00%, 06/25/2047 <sup>(b)(c)</sup> | 51907485 | 4153 |
|  Wells Fargo Alternative Loan Trust, Series 2007-PA2, Class 1A1, 6.00%, 06/25/2037 | 672018 | 611049 |
| Wells Fargo Mortgage Backed Securities Trust | Wells Fargo Mortgage Backed Securities Trust |  |
| &nbsp;&nbsp; Series 2007-17, Class APO, 0.00%, 01/25/2038 <sup>(f)</sup> | 15019 | 9682 |
| &nbsp;&nbsp; Series 2019-3, Class B4, 3.73%, 07/25/2049 <sup>(a)(b)</sup> | 1627000 | 1142806 |
| &nbsp;&nbsp; Series 2019-4, Class B4, 3.51%, 09/25/2049 <sup>(a)(b)</sup> | 2124000 | 1399157 |
| &nbsp;&nbsp; Series 2021-1, Class B4, 2.70%, 12/25/2050 <sup>(a)(b)</sup> | 1818000 | 997169 |
| &nbsp;&nbsp; Series 2021-1, Class B5, 2.70%, 12/25/2050 <sup>(a)(b)</sup> | 1011000 | 511774 |
| &nbsp;&nbsp; Series 2022-1, Class B4, 2.97%, 08/25/2051 <sup>(a)(b)</sup> | 1488238 | 1150627 |
| &nbsp;&nbsp; Series 2022-1, Class B5, 2.97%, 08/25/2051 <sup>(a)(b)</sup> | 1158000 | 548650 |
| Western Alliance Bancorp | Western Alliance Bancorp |  |
| &nbsp;&nbsp; Series 2021-CL2, Class B, 12.85% (30 day avg SOFR US + 8.50%), 07/25/2059 <sup>(a)</sup> | 6600000 | 6551015 |
| &nbsp;&nbsp; Series 2021-CL2, Class M4, 9.70% (30 day avg SOFR US + 5.35%), 07/25/2059 <sup>(a)</sup> | 11770452 | 11610009 |
| &nbsp;&nbsp; Series 2021-CL2, Class M5, 10.85% (30 day avg SOFR US + 6.50%), 07/25/2059 <sup>(a)</sup> | 6875338 | 6700877 |
| WinWater Mortgage Loan Trust | WinWater Mortgage Loan Trust |  |
| &nbsp;&nbsp; Series 2014-1, Class B5, 3.93%, 06/20/2044 <sup>(a)(b)(d)</sup> | 2370000 | 1867643 |
| &nbsp;&nbsp; Series 2014-2, Class B5, 4.04%, 09/20/2044 <sup>(a)(b)</sup> | 1938000 | 1654170 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $1,510,221,146) | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $1,510,221,146) | 1353196369 |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY - 17.9%** | **Par** | **Value** |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |  |
| &nbsp;&nbsp; 3.50%, 05/15/2041 | 40000000 | 36104882 |
| &nbsp;&nbsp; Pool 000TBA, 5.50%, 05/15/2041 | 20000000 | 19959949 |
| &nbsp;&nbsp; Pool QG4323, 6.00%, 06/01/2053 | 2875521 | 2925489 |
| &nbsp;&nbsp; Pool QG6305, 4.50%, 07/01/2053 | 17598724 | 16849916 |
| &nbsp;&nbsp; Pool QI2043, 6.00%, 03/01/2054 | 10183545 | 10370046 |
| &nbsp;&nbsp; Pool QI2950, 6.00%, 04/01/2054 | 2327245 | 2367685 |
| &nbsp;&nbsp; Pool QI4343, 4.50%, 04/01/2054 | 4710600 | 4505401 |
| &nbsp;&nbsp; Pool QJ0225, 6.00%, 07/01/2054 | 10872337 | 11078248 |
| &nbsp;&nbsp; Pool QJ5663, 5.00%, 10/01/2054 | 13690891 | 13407900 |
| &nbsp;&nbsp; Pool QJ6122, 5.00%, 10/01/2054 | 2865383 | 2800783 |
| &nbsp;&nbsp; Pool QJ6482, 5.00%, 10/01/2054 | 12736159 | 12452996 |
| &nbsp;&nbsp; Pool QJ7677, 5.50%, 11/01/2054 | 6959294 | 6953817 |
| &nbsp;&nbsp; Pool QJ7705, 5.00%, 11/01/2054 | 2482355 | 2431045 |
| &nbsp;&nbsp; Pool QJ7711, 5.00%, 11/01/2054 | 5378954 | 5264409 |
| &nbsp;&nbsp; Pool RJ0314, 6.00%, 11/01/2053 | 8717891 | 8885728 |
| &nbsp;&nbsp; Pool RJ0846, 6.00%, 02/01/2054 | 2460408 | 2497012 |
| &nbsp;&nbsp; Pool RJ1366, 5.00%, 04/01/2054 | 11550686 | 11290275 |
| &nbsp;&nbsp; Pool RJ1430, 6.00%, 05/01/2054 | 5762515 | 5848244 |
| &nbsp;&nbsp; Pool SD2500, 5.00%, 03/01/2053 | 11094563 | 10844436 |
| &nbsp;&nbsp; Pool SD3636, 6.00%, 08/01/2053 | 1423162 | 1450560 |
| &nbsp;&nbsp; Pool SD5143, 6.00%, 04/01/2054 | 21405804 | 21764394 |
| &nbsp;&nbsp; Pool SD5381, 5.50%, 05/01/2054 | 9394095 | 9383762 |
| &nbsp;&nbsp; Pool SD5709, 6.00%, 07/01/2054 | 3730451 | 3805766 |
| &nbsp;&nbsp; Pool SD5781, 6.00%, 07/01/2054 | 7909091 | 8063824 |
| &nbsp;&nbsp; Pool SD6195, 5.00%, 10/01/2053 | 8751193 | 8597653 |
| &nbsp;&nbsp; Pool SD7029, 5.00%, 12/01/2054 | 1939017 | 1914692 |
| &nbsp;&nbsp; Pool SD7182, 5.00%, 12/01/2054 | 1978790 | 1936652 |
| &nbsp;&nbsp; Pool SD8134, 2.00%, 03/01/2051 | 12765209 | 10132308 |
| &nbsp;&nbsp; Pool SD8322, 4.50%, 05/01/2053 | 355151 | 339015 |
| &nbsp;&nbsp; Pool SD8383, 5.50%, 12/01/2053 | 2710845 | 2701934 |
| Federal National Mortgage Association | Federal National Mortgage Association |  |
| &nbsp;&nbsp; Pool 000TBA, 5.00%, 05/15/2041 | 10000000 | 9790506 |
| &nbsp;&nbsp; Pool BY0126, 5.50%, 04/01/2053 | 3133860 | 3136288 |
| &nbsp;&nbsp; Pool CA7278, 2.50%, 10/01/2050 | 6817314 | 5686529 |
| &nbsp;&nbsp; Pool CB3770, 3.50%, 06/01/2052 | 7739401 | 7000402 |
| &nbsp;&nbsp; Pool CB4289, 4.50%, 08/01/2052 | 3039910 | 2912240 |
| &nbsp;&nbsp; Pool CB8004, 6.00%, 02/01/2054 | 4332124 | 4401988 |
| &nbsp;&nbsp; Pool CB8710, 6.00%, 06/01/2054 | 3533927 | 3597544 |
| &nbsp;&nbsp; Pool CB9060, 5.50%, 08/01/2054 | 9433063 | 9413848 |
| &nbsp;&nbsp; Pool CB9655, 5.00%, 12/01/2054 | 4812353 | 4709874 |
| &nbsp;&nbsp; Pool DA0007, 5.50%, 09/01/2053 | 4665091 | 4649757 |
| &nbsp;&nbsp; Pool DB3770, 5.50%, 05/01/2054 | 4167375 | 4156282 |
| &nbsp;&nbsp; Pool DB6624, 5.50%, 06/01/2054 | 1210628 | 1218905 |
| &nbsp;&nbsp; Pool DC1302, 5.00%, 08/01/2054 | 1476090 | 1452498 |
| &nbsp;&nbsp; Pool DC3426, 5.00%, 09/01/2054 | 2826547 | 2768122 |
| &nbsp;&nbsp; Pool DC4050, 5.00%, 10/01/2054 | 20204121 | 19754923 |
| &nbsp;&nbsp; Pool DC5656, 5.00%, 11/01/2054 | 2977823 | 2912549 |
| &nbsp;&nbsp; Pool DC5739, 5.50%, 11/01/2054 | 2934639 | 2931411 |
| &nbsp;&nbsp; Pool DC5743, 5.50%, 11/01/2054 | 4966153 | 4963794 |
| &nbsp;&nbsp; Pool DC6402, 5.00%, 11/01/2054 | 2960717 | 2893967 |
| &nbsp;&nbsp; Pool FA0161, 5.50%, 12/01/2054 | 2827096 | 2823104 |
| &nbsp;&nbsp; Pool FS3826, 3.00%, 01/01/2052 | 3199851 | 2776725 |
| &nbsp;&nbsp; Pool FS6925, 2.50%, 12/01/2051 | 2314014 | 1928291 |
| &nbsp;&nbsp; Pool FS7280, 5.00%, 03/01/2053 | 10844549 | 10627170 |
| &nbsp;&nbsp; Pool FS7798, 6.00%, 06/01/2054 | 4836076 | 4920112 |
| &nbsp;&nbsp; Pool FS8458, 5.50%, 11/01/2053 | 4504384 | 4498024 |
| &nbsp;&nbsp; Pool FS9409, 5.50%, 10/01/2054 | 25719135 | 25731043 |
| Government National Mortgage Association | Government National Mortgage Association |  |
| &nbsp;&nbsp; 5.50%, 05/15/2053 | 50000000 | 49988866 |
| &nbsp;&nbsp; Pool MA8429, 5.50%, 11/20/2052 | 8161120 | 8146724 |
| &nbsp;&nbsp; Pool MA8647, 5.00%, 02/20/2053 | 7553391 | 7396968 |
| &nbsp;&nbsp; Pool MA8725, 5.00%, 03/20/2053 | 1345887 | 1318015 |
| &nbsp;&nbsp; Pool MA8727, 6.00%, 03/20/2053 | 3167750 | 3201141 |
| &nbsp;&nbsp; Pool MA8799, 4.50%, 04/20/2053 | 3537267 | 3383318 |
| &nbsp;&nbsp; Pool MA8878, 5.00%, 05/20/2053 | 7963137 | 7798229 |
| &nbsp;&nbsp; Pool MA9166, 3.00%, 09/20/2053 | 3386630 | 3007202 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY** (Cost $495,025,094) | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY** (Cost $495,025,094) | 492825180 |
| **ASSET-BACKED SECURITIES - 16.2%** | **Par** | **Value** |
| **Automobile - 8.7%** | **Automobile - 8.7%** |  |
|  ACC Trust, Series 2022-1, Class D, 6.65%, 10/20/2028 <sup>(a)</sup> | 1500000 | 21122 |
|  American Heritage Auto Receivables Trust, Series 2024-1A, Class D, 6.34%, 01/18/2033 <sup>(a)</sup> | 750000 | 767585 |
|  Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class D, 7.38%, 09/17/2029 <sup>(a)</sup> | 500000 | 485638 |
| Avis Budget Car Rental LLC | Avis Budget Car Rental LLC |  |
| &nbsp;&nbsp; Series 2021-1A, Class C, 2.13%, 08/20/2027 <sup>(a)</sup> | 540000 | 519310 |
| &nbsp;&nbsp; Series 2021-2A, Class D, 4.08%, 02/20/2028 <sup>(a)</sup> | 5750000 | 5511811 |
| &nbsp;&nbsp; Series 2023-1A, Class C, 6.23%, 04/20/2029 <sup>(a)</sup> | 700000 | 709311 |
| &nbsp;&nbsp; Series 2023-3A, Class D, 7.32%, 02/20/2028 <sup>(a)</sup> | 1250000 | 1252576 |
| &nbsp;&nbsp; Series 2023-5A, Class D, 7.35%, 04/20/2028 <sup>(a)</sup> | 1250000 | 1243946 |
|  Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class E, 10.37%, 07/15/2030 <sup>(a)</sup> | 8000000 | 8735696 |
|  CAL Receivables LLC, Series 2022-1, Class B, 8.69% (30 day avg SOFR US + 4.35%), 10/15/2026 <sup>(a)</sup> | 5934370 | 5919509 |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust |  |
| &nbsp;&nbsp; Series 2019-3A, Class R, 0.00%, 07/15/2026 <sup>(a)</sup> | 11000 | 1780087 |
| &nbsp;&nbsp; Series 2019-4A, Class R, 0.00%, 10/15/2026 <sup>(a)</sup> | 13000 | 2592172 |
| &nbsp;&nbsp; Series 2021-N1, Class F, 4.55%, 01/10/2028 <sup>(a)</sup> | 1013217 | 994031 |
| &nbsp;&nbsp; Series 2021-N2, Class E, 2.90%, 03/10/2028 <sup>(a)</sup> | 13718770 | 13206123 |
| &nbsp;&nbsp; Series 2021-N4, Class E, 4.53%, 09/11/2028 <sup>(a)</sup> | 14895947 | 14313374 |
| &nbsp;&nbsp; Series 2023-N1, Class E, 10.46%, 04/10/2030 <sup>(a)</sup> | 5000000 | 5369292 |
| &nbsp;&nbsp; Series 2023-N2, Class E, 9.94%, 04/10/2030 <sup>(a)</sup> | 4000000 | 4208768 |
| &nbsp;&nbsp; Series 2023-N3, Class E, 9.49%, 09/10/2030 <sup>(a)</sup> | 4000000 | 4197923 |
| &nbsp;&nbsp; Series 2024-P2, Class D, 6.10%, 06/10/2031 | 432000 | 443732 |
| &nbsp;&nbsp; Series 2024-P3, Class D, 5.39%, 09/10/2032 | 544000 | 540773 |
| CPS Auto Trust | CPS Auto Trust |  |
| &nbsp;&nbsp; Series 2021-B, Class E, 3.41%, 06/15/2028 <sup>(a)</sup> | 428850 | 425834 |
| &nbsp;&nbsp; Series 2021-D, Class E, 4.06%, 12/15/2028 <sup>(a)</sup> | 500000 | 492565 |
| &nbsp;&nbsp; Series 2022-D, Class E, 12.12%, 06/17/2030 <sup>(a)</sup> | 4100000 | 4513250 |
| &nbsp;&nbsp; Series 2023-D, Class E, 10.13%, 05/15/2031 <sup>(a)</sup> | 6120000 | 6683254 |
| &nbsp;&nbsp; Series 2024-A, Class E, 8.42%, 08/15/2031 <sup>(a)</sup> | 1000000 | 1032515 |
| &nbsp;&nbsp; Series 2024-B, Class E, 8.36%, 11/17/2031 <sup>(a)</sup> | 5270000 | 5438211 |
| &nbsp;&nbsp; Series 2024-C, Class E, 8.04%, 03/15/2032 <sup>(a)</sup> | 1500000 | 1536200 |
| &nbsp;&nbsp; Series 2025-A, Class E, 7.65%, 08/16/2032 <sup>(a)</sup> | 1800000 | 1799489 |
| Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust |  |
| &nbsp;&nbsp; Series 2021-3A, Class E, 3.04%, 12/15/2028 <sup>(a)</sup> | 1700000 | 1657142 |
| &nbsp;&nbsp; Series 2022-1A, Class E, 5.02%, 10/15/2029 <sup>(a)</sup> | 6000000 | 5826658 |
| &nbsp;&nbsp; Series 2022-2A, Class E, 6.34%, 10/15/2029 <sup>(a)</sup> | 9300000 | 8587016 |
| &nbsp;&nbsp; Series 2022-5A, Class E, 10.45%, 04/15/2030 <sup>(a)</sup> | 7146000 | 7526327 |
| &nbsp;&nbsp; Series 2022-6A, Class E, 11.61%, 06/17/2030 <sup>(a)</sup> | 2500000 | 2750872 |
| &nbsp;&nbsp; Series 2023-2A, Class E, 9.75%, 11/15/2030 <sup>(a)</sup> | 2640000 | 2841288 |
| &nbsp;&nbsp; Series 2023-3A, Class E, 9.98%, 01/15/2031 <sup>(a)</sup> | 3028000 | 3262477 |
| &nbsp;&nbsp; Series 2024-1A, Class E, 7.89%, 08/15/2031 <sup>(a)</sup> | 2375000 | 2426405 |
| &nbsp;&nbsp; Series 2024-2A, Class E, 7.98%, 10/15/2031 <sup>(a)</sup> | 4096000 | 4191095 |
| &nbsp;&nbsp; Series 2024-3A, Class E, 7.84%, 10/15/2031 <sup>(a)</sup> | 6784000 | 6907417 |
| &nbsp;&nbsp; Series 2024-5A, Class E, 7.22%, 05/17/2032 <sup>(a)</sup> | 4000000 | 3985425 |
| &nbsp;&nbsp; Series 2025-1A, Class E, 7.48%, 09/15/2032 <sup>(a)</sup> | 1989000 | 1998758 |
| FHF Trust | FHF Trust |  |
| &nbsp;&nbsp; Series 2023-2A, Class D, 9.31%, 10/15/2030 <sup>(a)</sup> | 688000 | 741935 |
| &nbsp;&nbsp; Series 2024-2A, Class D, 7.15%, 09/15/2031 <sup>(a)</sup> | 1128000 | 1164715 |
| &nbsp;&nbsp; Series 2024-3A, Class D, 6.01%, 12/15/2031 <sup>(a)</sup> | 1717000 | 1718629 |
| Flagship Credit Auto Trust | Flagship Credit Auto Trust |  |
| &nbsp;&nbsp; Series 2021-2, Class E, 3.16%, 09/15/2028 <sup>(a)</sup> | 4100000 | 3920114 |
| &nbsp;&nbsp; Series 2021-4, Class E, 4.03%, 03/15/2029 <sup>(a)</sup> | 4000000 | 3530392 |
| &nbsp;&nbsp; Series 2022-1, Class E, 5.37%, 06/15/2029 <sup>(a)</sup> | 1000000 | 819166 |
| &nbsp;&nbsp; Series 2024-1, Class E, 8.60%, 05/15/2031 <sup>(a)</sup> | 400000 | 401948 |
|  Foursight Capital Automobile Receivables Trust, Series 2022-1, Class E, 4.69%, 08/15/2029 <sup>(a)</sup> | 5000000 | 4835102 |
| GLS Auto Receivables Trust | GLS Auto Receivables Trust |  |
| &nbsp;&nbsp; Series 2021-4A, Class E, 4.43%, 10/16/2028 <sup>(a)</sup> | 3000000 | 2910123 |
| &nbsp;&nbsp; Series 2023-1A, Class E, 11.42%, 03/15/2030 <sup>(a)</sup> | 7870000 | 8798888 |
| &nbsp;&nbsp; Series 2023-2A, Class E, 9.37%, 01/15/2030 <sup>(a)</sup> | 3000000 | 3216373 |
| &nbsp;&nbsp; Series 2023-3A, Class E, 9.27%, 08/15/2030 <sup>(a)</sup> | 2500000 | 2666105 |
| &nbsp;&nbsp; Series 2023-4A, Class E, 9.72%, 08/15/2030 <sup>(a)</sup> | 5270000 | 5708947 |
| &nbsp;&nbsp; Series 2024-3A, Class E, 7.25%, 06/16/2031 <sup>(a)</sup> | 1000000 | 992897 |
| &nbsp;&nbsp; Series 2024-4A, Class E, 7.51%, 08/15/2031 <sup>(a)</sup> | 1500000 | 1491574 |
| &nbsp;&nbsp; Series 2025-1A, Class E, 7.19%, 03/15/2032 <sup>(a)</sup> | 1000000 | 982046 |
| Hertz Global Holdings, Inc. | Hertz Global Holdings, Inc. |  |
| &nbsp;&nbsp; Series 2021-2A, Class D, 4.34%, 12/27/2027 <sup>(a)</sup> | 12935000 | 12303467 |
| &nbsp;&nbsp; Series 2022-2A, Class D, 5.16%, 06/26/2028 <sup>(a)</sup> | 4000000 | 3772970 |
| &nbsp;&nbsp; Series 2023-4A, Class C, 7.51%, 03/25/2030 <sup>(a)</sup> | 800000 | 837455 |
|  Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D, 9.60% (30 day avg SOFR US + 5.25%), 05/20/2032 <sup>(a)</sup> | 1159048 | 1177445 |
|  JPMorgan Chase Bank NA, Series 2021-2, Class G, 8.48%, 12/26/2028 <sup>(a)</sup> | 1828874 | 1837446 |
|  Kinetic Advantage Master Owner Trust, Series 2024-1A, Class A, 6.99% (30 day avg SOFR US + 2.65%), 11/15/2027 <sup>(a)</sup> | 750000 | 752729 |
|  LAD Auto Receivables Trust, Series 2024-2A, Class D, 6.37%, 10/15/2031 <sup>(a)</sup> | 1000000 | 1032764 |
|  Lobel Automobile Receivables Trust, Series 2023-1, Class C, 8.31%, 10/16/2028 <sup>(a)</sup> | 800000 | 812564 |
|  Prestige Auto Receivables Trust, Series 2024-1A, Class E, 7.94%, 04/15/2031 <sup>(a)</sup> | 6682000 | 6826308 |
| Santander Holdings USA, Inc. | Santander Holdings USA, Inc. |  |
| &nbsp;&nbsp; Series 2022-A, Class B, 5.28%, 05/15/2032 <sup>(a)</sup> | 21720 | 21721 |
| &nbsp;&nbsp; Series 2024-A, Class F, 10.17%, 06/15/2032 <sup>(a)</sup> | 1383045 | 1411218 |
| SBNA Auto Receivables Trust | SBNA Auto Receivables Trust |  |
| &nbsp;&nbsp; Series 2024-A, Class D, 6.04%, 04/15/2030 <sup>(a)</sup> | 500000 | 512662 |
| &nbsp;&nbsp; Series 2024-A, Class E, 8.00%, 04/15/2032 <sup>(a)</sup> | 1000000 | 1031569 |
|  Skopos Auto Receivable Trust, Series 2019-1A, Class E, 7.82%, 06/15/2026 <sup>(a)</sup> | 965183 | 968274 |
| Strike Acceptance Auto Funding Trust | Strike Acceptance Auto Funding Trust |  |
| &nbsp;&nbsp; Series 2023-1A, Class A, 8.00%, 05/15/2026 <sup>(a)</sup> | 2061080 | 2065014 |
| &nbsp;&nbsp; Series 2025-1A, Class C, 8.70%, 04/15/2032 <sup>(a)</sup> | 1000000 | 996388 |
|  Tricolor Auto Securitization Trust, Series 2023-1A, Class E, 13.45%, 06/15/2028 <sup>(a)</sup> | 2200000 | 2322716 |
| US Auto Funding Trust | US Auto Funding Trust |  |
| &nbsp;&nbsp; Series 2022-1A, Class A, 3.98%, 10/15/2025 <sup>(a)</sup> | 231092 | 229376 |
| &nbsp;&nbsp; Series 2022-1A, Class B, 5.13%, 12/15/2025 <sup>(a)</sup> | 1300000 | 549471 |
| &nbsp;&nbsp; Series 2022-1A, Class D, 9.14%, 07/15/2027 <sup>(a)</sup> | 2053000 | 21 |
| Veros Automobile Receivables Trust | Veros Automobile Receivables Trust |  |
| &nbsp;&nbsp; Series 2021-1, Class C, 3.64%, 08/15/2028 <sup>(a)</sup> | 4125612 | 4097759 |
| &nbsp;&nbsp; Series 2024-1, Class D, 9.87%, 05/15/2031 <sup>(a)</sup> | 3500000 | 3698926 |
|  Westlake Automobile Receivables Trust, Series 2021-3A, Class F, 4.25%, 06/15/2028 <sup>(a)</sup> | 3000000 | 2914356 |
|  |  | 240766550 |

---

---

| | | |
|:---|:---|:---|
| **Consumer - 6.6%** | **Consumer - 6.6%** | **Consumer - 6.6%** |
| ACHV ABS Trust | ACHV ABS Trust | ACHV ABS Trust |
| &nbsp;&nbsp; Series 2023-3PL, Class D, 8.36%, 08/19/2030 <sup>(a)</sup> | 1650000 | 1680245 |
| &nbsp;&nbsp; Series 2024-3AL, Class E, 7.00%, 12/26/2031 <sup>(a)</sup> | 1750000 | 1709554 |
| Affirm, Inc. | Affirm, Inc. | Affirm, Inc. |
| &nbsp;&nbsp; Series 2023-B, Class E, 11.32%, 09/15/2028 <sup>(a)</sup> | 800000 | 813217 |
| &nbsp;&nbsp; Series 2024-A, Class 1E, 9.17%, 02/15/2029 <sup>(a)</sup> | 6440000 | 6508287 |
| &nbsp;&nbsp; Series 2024-A, Class D, 6.89%, 02/15/2029 <sup>(a)</sup> | 900000 | 905753 |
| &nbsp;&nbsp; Series 2024-A, Class E, 9.17%, 02/15/2029 <sup>(a)</sup> | 3350000 | 3385522 |
| &nbsp;&nbsp; Series 2024-X1, Class CERT, 0.00%, 05/15/2029 <sup>(a)</sup> | 10885 | 271437 |
| &nbsp;&nbsp; Series 2024-X2, Class CERT, 0.00%, 12/17/2029 <sup>(a)</sup> | 9712 | 621740 |
|  Aqua Finance Trust, Series 2021-A, Class C, 3.14%, 07/17/2046 <sup>(a)</sup> | 2220000 | 2002808 |
| Bankers Healthcare Group, Inc. | Bankers Healthcare Group, Inc. | Bankers Healthcare Group, Inc. |
| &nbsp;&nbsp; Series 2024-1CON, Class D, 8.00%, 04/17/2035 <sup>(a)</sup> | 800000 | 826194 |
| &nbsp;&nbsp; Series 2025-1CON, Class E, 8.62%, 04/17/2036 <sup>(a)</sup> | 2000000 | 1982276 |
| Goldman Home Improvement Trust | Goldman Home Improvement Trust | Goldman Home Improvement Trust |
| &nbsp;&nbsp; Series 2021-GRN2, Class C, 2.77%, 06/25/2051 <sup>(a)</sup> | 7500515 | 7272273 |
| &nbsp;&nbsp; Series 2021-GRN2, Class D, 4.00%, 06/25/2051 <sup>(a)</sup> | 2038454 | 1965736 |
|  GreenSky Home Improvement Trust, Series 2024-1, Class D, 7.33%, 06/25/2059 <sup>(a)</sup> | 500000 | 516612 |
| LendingClub Receivables Trust | LendingClub Receivables Trust | LendingClub Receivables Trust |
| &nbsp;&nbsp; Series 2019-1, Class CERT, 0.00%, 07/17/2045 <sup>(a)</sup> | 932340 | 17206 |
| &nbsp;&nbsp; Series 2019-7, Class R1, 0.00%, 01/15/2027 <sup>(a)</sup> | 19049500 | 98395 |
| &nbsp;&nbsp; Series 2019-7, Class R2, 0.00%, 01/15/2027 <sup>(a)</sup> | 4408000 | 22768 |
| Lendingpoint Asset Securitization Trust | Lendingpoint Asset Securitization Trust | Lendingpoint Asset Securitization Trust |
| &nbsp;&nbsp; Series 2021-B, Class C, 3.21%, 02/15/2029 <sup>(a)</sup> | 456880 | 443329 |
| &nbsp;&nbsp; Series 2022-A, Class E, 7.02%, 06/15/2029 <sup>(a)</sup> | 3320000 | 33 |
| &nbsp;&nbsp; Series 2022-B, Class C, 8.45%, 10/15/2029 <sup>(a)</sup> | 1500000 | 358052 |
|  LendingPoint Pass-Through Trust, Series 2022-ST3, Class CERT, 0.00%, 05/15/2028 <sup>(a)</sup> | 1576000 | 105975 |
| Marlette Funding Trust | Marlette Funding Trust | Marlette Funding Trust |
| &nbsp;&nbsp; Series 2022-3A, Class D, 7.80%, 11/15/2032 <sup>(a)</sup> | 3820000 | 3855886 |
| &nbsp;&nbsp; Series 2023-1A, Class D, 8.15%, 04/15/2033 <sup>(a)</sup> | 20477000 | 20823790 |
| &nbsp;&nbsp; Series 2023-2A, Class D, 7.92%, 06/15/2033 <sup>(a)</sup> | 23640000 | 23892078 |
| &nbsp;&nbsp; Series 2024-1A, Class D, 6.93%, 07/17/2034 <sup>(a)</sup> | 500000 | 509207 |
| Momnt Technologies Trust | Momnt Technologies Trust | Momnt Technologies Trust |
| &nbsp;&nbsp; Series 2023-1A, Class B, 8.29%, 03/20/2045 <sup>(a)</sup> | 400000 | 392155 |
| &nbsp;&nbsp; Series 2023-1A, Class C, 11.24%, 03/20/2045 <sup>(a)</sup> | 900000 | 876671 |
| Oportun Financial Corp. | Oportun Financial Corp. | Oportun Financial Corp. |
| &nbsp;&nbsp; Series 2021-C, Class D, 5.57%, 10/08/2031 <sup>(a)</sup> | 1408313 | 1375002 |
| &nbsp;&nbsp; Series 2022-3, Class C, 10.15%, 01/08/2030 <sup>(a)</sup> | 316027 | 316490 |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust |
| &nbsp;&nbsp; Series 2021-1, Class C, 4.09%, 11/15/2027 <sup>(a)</sup> | 1514385 | 1481909 |
| &nbsp;&nbsp; Series 2021-3, Class C, 3.27%, 05/15/2029 <sup>(a)</sup> | 933356 | 901757 |
| &nbsp;&nbsp; Series 2021-5, Class C, 3.93%, 08/15/2029 <sup>(a)</sup> | 1131339 | 1099659 |
| &nbsp;&nbsp; Series 2022-1, Class C, 4.89%, 10/15/2029 <sup>(a)</sup> | 13978735 | 13683343 |
| &nbsp;&nbsp; Series 2022-2, Class C, 7.50%, 01/15/2030 <sup>(a)</sup> | 4999702 | 4947988 |
| &nbsp;&nbsp; Series 2024-10, Class E, 10.41%, 06/15/2032 <sup>(a)</sup> | 2499788 | 2490419 |
| &nbsp;&nbsp; Series 2024-10, Class F, 12.00%, 06/15/2032 <sup>(a)</sup> | 1999831 | 1848918 |
| &nbsp;&nbsp; Series 2024-11, Class E, 10.33%, 07/15/2032 <sup>(a)</sup> | 5999311 | 5953544 |
| &nbsp;&nbsp; Series 2024-11, Class F, 12.00%, 07/15/2032 <sup>(a)</sup> | 1749799 | 1626418 |
| &nbsp;&nbsp; Series 2024-6, Class D, 11.35%, 11/15/2031 <sup>(a)</sup> | 442193 | 455962 |
| &nbsp;&nbsp; Series 2024-7, Class D, 10.90%, 12/15/2031 <sup>(a)</sup> | 2145401 | 2215606 |
| &nbsp;&nbsp; Series 2024-8, Class E, 10.41%, 01/15/2032 <sup>(a)</sup> | 2499888 | 2539728 |
| &nbsp;&nbsp; Series 2024-9, Class E, 10.11%, 03/15/2032 <sup>(a)</sup> | 999847 | 993748 |
| &nbsp;&nbsp; Series 2025-1, Class E, 10.08%, 07/15/2032 <sup>(a)</sup> | 3760000 | 3687168 |
| &nbsp;&nbsp; Series 2025-1, Class F, 12.00%, 07/15/2032 <sup>(a)</sup> | 1250000 | 1188504 |
| &nbsp;&nbsp; Series 2025-2, Class E, 10.90%, 10/15/2032 <sup>(a)</sup> | 3000000 | 2898493 |
| &nbsp;&nbsp; Series 2025-2, Class F, 12.00%, 10/15/2032 <sup>(a)</sup> | 1000000 | 938833 |
| &nbsp;&nbsp; Series 2025-3, Class D, 6.99%, 12/15/2032 <sup>(a)</sup> | 1800000 | 1808552 |
| &nbsp;&nbsp; Series 2025-3, Class E, 12.63%, 12/15/2032 <sup>(a)</sup> | 1750000 | 1757336 |
| Powerpay Securitization Funding LLC | Powerpay Securitization Funding LLC | Powerpay Securitization Funding LLC |
| &nbsp;&nbsp; Series 2024-1A, Class A, 6.53%, 02/18/2039 <sup>(a)</sup> | 708442 | 725902 |
| &nbsp;&nbsp; Series 2024-1A, Class B, 8.46%, 02/18/2039 <sup>(a)</sup> | 500000 | 511633 |
|  Prosper Marketplace Issuance Trust, Series 2024-1A, Class D, 10.98%, 08/15/2029 <sup>(a)</sup> | 2000000 | 2099549 |
| Purchasing Power Funding | Purchasing Power Funding | Purchasing Power Funding |
| &nbsp;&nbsp; Series 2024-A, Class D, 7.26%, 08/15/2028 <sup>(a)</sup> | 600000 | 609777 |
| &nbsp;&nbsp; Series 2024-A, Class E, 10.18%, 08/15/2028 <sup>(a)</sup> | 400000 | 408494 |
| Reach Financial LLC | Reach Financial LLC | Reach Financial LLC |
| &nbsp;&nbsp; Series 2024-2A, Class D, 8.83%, 07/15/2031 <sup>(a)</sup> | 1000000 | 1025186 |
| &nbsp;&nbsp; Series 2025-1A, Class D, 7.75%, 08/16/2032 <sup>(a)</sup> | 1000000 | 1003225 |
| Republic Finance Issuance Trust | Republic Finance Issuance Trust | Republic Finance Issuance Trust |
| &nbsp;&nbsp; Series 2021-A, Class D, 5.23%, 12/22/2031 <sup>(a)</sup> | 1840000 | 1771786 |
| &nbsp;&nbsp; Series 2024-A, Class C, 7.28%, 08/20/2032 <sup>(a)</sup> | 600000 | 614839 |
| &nbsp;&nbsp; Series 2024-A, Class D, 9.49%, 08/20/2032 <sup>(a)</sup> | 500000 | 513597 |
| &nbsp;&nbsp; Series 2024-B, Class D, 8.83%, 11/20/2037 <sup>(a)</sup> | 3590000 | 3612441 |
|  Theorem Funding Trust, Series 2022-2A, Class B, 9.27%, 12/15/2028 <sup>(a)</sup> | 4200000 | 4280393 |
|  Upgrade Master Pass-Thru Trust, Series 2021-PT2, Class A, 17.88%, 05/15/2027 <sup>(a)(b)</sup> | 583783 | 534467 |
|  Upgrade Receivables Trust, Series 2024-1A, Class D, 8.90%, 02/18/2031 <sup>(a)</sup> | 1000000 | 1022373 |
|  Upstart Pass-Through Trust, Series 2021-ST5, Class CERT, 0.00%, 07/20/2027 <sup>(a)</sup> | 4250000 | 534369 |
| Upstart Pass-Through Trust Series | Upstart Pass-Through Trust Series | Upstart Pass-Through Trust Series |
| &nbsp;&nbsp; Series 2020-ST4, Class CERT, 0.00%, 11/20/2026 <sup>(a)</sup> | 8452371 | 516083 |
| &nbsp;&nbsp; Series 2021-ST3, Class CERT, 0.00%, 05/20/2027 <sup>(a)</sup> | 11400000 | 784569 |
| &nbsp;&nbsp; Series 2021-ST4, Class CERT, 0.00%, 07/20/2027 <sup>(a)</sup> | 1475000 | 133346 |
| &nbsp;&nbsp; Series 2021-ST6, Class CERT, 0.00%, 08/20/2027 <sup>(a)</sup> | 5450000 | 1173954 |
| &nbsp;&nbsp; Series 2021-ST7, Class CERT, 0.00%, 09/20/2029 <sup>(a)</sup> | 1500000 | 296995 |
| &nbsp;&nbsp; Series 2021-ST8, Class CERT, 0.00%, 10/20/2029 <sup>(a)</sup> | 2370000 | 602882 |
| &nbsp;&nbsp; Series 2021-ST9, Class CERT, 0.00%, 11/20/2029 <sup>(a)</sup> | 1629000 | 528267 |
| &nbsp;&nbsp; Series 2022-ST1, Class CERT, 0.00%, 03/20/2030 <sup>(a)</sup> | 2400000 | 874720 |
| &nbsp;&nbsp; Series 2022-ST2, Class CERT, 0.00%, 04/20/2030 <sup>(a)</sup> | 1500000 | 340182 |
| Upstart Securitization Trust | Upstart Securitization Trust | Upstart Securitization Trust |
| &nbsp;&nbsp; Series 2019-1, Class CERT, 0.00%, 04/20/2026 <sup>(a)</sup> | 20143 | 243931 |
| &nbsp;&nbsp; Series 2019-3, Class CERT, 0.00%, 01/21/2030 <sup>(a)(c)</sup> | 25442 | 32729 |
| &nbsp;&nbsp; Series 2021-4, Class C, 3.19%, 09/20/2031 <sup>(a)</sup> | 3791205 | 3725297 |
| &nbsp;&nbsp; Series 2021-5, Class C, 4.15%, 11/20/2031 <sup>(a)</sup> | 9307500 | 9079231 |
| &nbsp;&nbsp; Series 2022-1, Class C, 5.71%, 03/20/2032 <sup>(a)</sup> | 1800000 | 1040963 |
| &nbsp;&nbsp; Series 2022-2, Class C, 8.43%, 05/20/2032 <sup>(a)</sup> | 4072992 | 3608722 |
| &nbsp;&nbsp; Series 2023-1, Class C, 11.10%, 02/20/2033 <sup>(a)</sup> | 3600000 | 3675218 |
|  |  | 181991696 |
| **Credit Card - 0.0%<sup>(k)</sup>** | **Credit Card - 0.0%<sup>(k)</sup>** | **Credit Card - 0.0%<sup>(k)</sup>** |
|  Avant Credit Card Master Trust, Series 2024-1A, Class C, 6.23%, 04/15/2030 <sup>(a)</sup> | 500000 | 501152 |
| **Equipment - 0.5%** | **Equipment - 0.5%** | **Equipment - 0.5%** |
| Octane Receivables Trust | Octane Receivables Trust | Octane Receivables Trust |
| &nbsp;&nbsp; Series 2023-1A, Class E, 9.25%, 08/20/2030 <sup>(a)</sup> | 6038000 | 6224543 |
| &nbsp;&nbsp; Series 2024-1A, Class E, 7.82%, 08/20/2031 <sup>(a)</sup> | 512000 | 508664 |
| &nbsp;&nbsp; Series 2024-2A, Class E, 9.04%, 07/20/2032 <sup>(a)</sup> | 3740000 | 3852017 |
| &nbsp;&nbsp; Series 2024-RPT1, Class R2, 8.71%, 02/22/2030 | 3243000 | 3246019 |
| &nbsp;&nbsp; Series 2024-RVM1, Class E, 8.42%, 01/22/2046 <sup>(a)</sup> | 315000 | 314314 |
|  |  | 14145557 |
| **Property Assessed Clean Energy - 0.1%** | **Property Assessed Clean Energy - 0.1%** | **Property Assessed Clean Energy - 0.1%** |
|  Goodgreen Trust, Series 2017-2A, Class A, 3.26%, 10/15/2053 <sup>(a)</sup> | 2946992 | 2704193 |
| **Solar - 0.2%** | **Solar - 0.2%** | **Solar - 0.2%** |
| GoodLeap Sustainable Home Solutions Trust | GoodLeap Sustainable Home Solutions Trust | GoodLeap Sustainable Home Solutions Trust |
| &nbsp;&nbsp; Series 2021-3CS, Class A, 2.10%, 05/20/2048 <sup>(a)</sup> | 993535 | 762697 |
| &nbsp;&nbsp; Series 2023-2GS, Class B, 7.80%, 05/20/2055 <sup>(a)</sup> | 900000 | 582993 |
|  Helios Issuer LLC, Series 2021-B, Class A, 1.62%, 07/20/2048 <sup>(a)</sup> | 2079040 | 1704205 |
| Mosaic Solar Loans LLC | Mosaic Solar Loans LLC | Mosaic Solar Loans LLC |
| &nbsp;&nbsp; Series 2019-1A, Class B, 0.00%, 12/21/2043 <sup>(a)(f)</sup> | 153399 | 143089 |
| &nbsp;&nbsp; Series 2021-2A, Class B, 2.09%, 04/22/2047 <sup>(a)</sup> | 792600 | 584371 |
|  |  | 3777355 |
| **Structured Settlement - 0.0%<sup>(k)</sup>** | **Structured Settlement - 0.0%<sup>(k)</sup>** | **Structured Settlement - 0.0%<sup>(k)</sup>** |
|  Stone Street Receivables Funding, Series 2015-1A, Class C, 5.60%, 12/15/2054 <sup>(a)</sup> | 508510 | 453196 |
| **Whole Business - 0.1%** | **Whole Business - 0.1%** | **Whole Business - 0.1%** |
|  FAT Brands, Inc., Series 2021-1, Class A2, 7.00%, 07/25/2051 <sup>(a)</sup> | 1930000 | 1939343 |
| **TOTAL ASSET-BACKED SECURITIES** (Cost $494,182,263) | **TOTAL ASSET-BACKED SECURITIES** (Cost $494,182,263) | 446279042 |
| **CORPORATE OBLIGATIONS - 6.7%** | **Par** | **Value**  |
| **Basic Materials - 0.5%** | **Basic Materials - 0.5%** | **Basic Materials - 0.5%** |
|  Axalta Coating Systems Dutch Holding B B.V., 7.25%, 02/15/2031 <sup>(a)</sup> | 600000 | 622032 |
|  Capstone Copper Corp., 6.75%, 03/31/2033 <sup>(a)</sup> | 1900000 | 1868248 |
|  Cleveland-Cliffs, Inc., 7.00%, 03/15/2032 <sup>(a)</sup> | 1900000 | 1787398 |
| Consolidated Energy Finance SA | Consolidated Energy Finance SA | Consolidated Energy Finance SA |
| &nbsp;&nbsp; 6.50%, 05/15/2026 <sup>(a)</sup> | 800000 | 771989 |
| &nbsp;&nbsp; 12.00%, 02/15/2031 <sup>(a)</sup> | 400000 | 361090 |
|  CVR Partners LP / CVR Nitrogen Finance Corp., 6.13%, 06/15/2028 <sup>(a)</sup> | 1700000 | 1644714 |
|  First Quantum Minerals Ltd., 8.00%, 03/01/2033 <sup>(a)</sup> | 1900000 | 1882195 |
|  Magnera Corp., 4.75%, 11/15/2029 <sup>(a)</sup> | 1800000 | 1570806 |
|  Mercer International, Inc., 5.13%, 02/01/2029 | 1400000 | 1153412 |
|  Methanex Corp., 5.25%, 12/15/2029 | 305000 | 290036 |
|  NOVA Chemicals Corp., 8.50%, 11/15/2028 <sup>(a)</sup> | 200000 | 211035 |
|  Olin Corp., 6.63%, 04/01/2033 <sup>(a)</sup> | 350000 | 332536 |
|  Taseko Mines Ltd., 8.25%, 05/01/2030 <sup>(a)</sup> | 1900000 | 1920816 |
|  |  | 14416307 |
| **Communications - 0.4%** | **Communications - 0.4%** | **Communications - 0.4%** |
|  Cars.com, Inc., 6.38%, 11/01/2028 <sup>(a)</sup> | 2100000 | 2064953 |
|  Consolidated Communications, Inc., 6.50%, 10/01/2028 <sup>(a)</sup> | 2400000 | 2362056 |
| Directv Financing LLC / Directv Financing Co.-Obligor, Inc. | Directv Financing LLC / Directv Financing Co.-Obligor, Inc. | Directv Financing LLC / Directv Financing Co.-Obligor, Inc. |
| &nbsp;&nbsp; 5.88%, 08/15/2027 <sup>(a)</sup> | 1900000 | 1838039 |
| &nbsp;&nbsp; 10.00%, 02/15/2031 <sup>(a)</sup> | 1250000 | 1184675 |
|  Gen Digital, Inc., 6.25%, 04/01/2033 <sup>(a)</sup> | 500000 | 499901 |
|  Gray Media, Inc., 5.38%, 11/15/2031 <sup>(a)</sup> | 3900000 | 2330408 |
|  Nexstar Media, Inc., 5.63%, 07/15/2027 <sup>(a)</sup> | 400000 | 396612 |
|  Univision Communications, Inc., 8.00%, 08/15/2028 <sup>(a)</sup> | 800000 | 777838 |
|  |  | 11454482 |
| **Consumer, Cyclical - 0.7%** | **Consumer, Cyclical - 0.7%** | **Consumer, Cyclical - 0.7%** |
|  American Axle & Manufacturing, Inc., 5.00%, 10/01/2029 | 600000 | 527083 |
|  Caesars Entertainment, Inc., 4.63%, 10/15/2029 <sup>(a)</sup> | 1730000 | 1598811 |
|  Carnival Corp., 6.13%, 02/15/2033 <sup>(a)</sup> | 600000 | 595302 |
|  Champ Acquisition Corp., 8.38%, 12/01/2031 <sup>(a)</sup> | 600000 | 633586 |
|  Cinemark USA, Inc., 7.00%, 08/01/2032 <sup>(a)</sup> | 1200000 | 1228235 |
|  Clarios Global LP / Clarios US Finance Co., 6.75%, 02/15/2030 <sup>(a)</sup> | 2000000 | 2036600 |
|  FirstCash, Inc., 4.63%, 09/01/2028 <sup>(a)</sup> | 1500000 | 1455722 |
|  Goodyear Tire & Rubber Co., 5.00%, 07/15/2029 | 1500000 | 1428408 |
|  Lithia Motors, Inc., 3.88%, 06/01/2029 <sup>(a)</sup> | 1300000 | 1208541 |
|  NCL Corp. Ltd., 6.25%, 03/01/2030 <sup>(a)</sup> | 1350000 | 1318093 |
| Phinia, Inc. | Phinia, Inc. | Phinia, Inc. |
| &nbsp;&nbsp; 6.75%, 04/15/2029 <sup>(a)</sup> | 400000 | 404770 |
| &nbsp;&nbsp; 6.63%, 10/15/2032 <sup>(a)</sup> | 600000 | 589436 |
|  Resideo Funding, Inc., 6.50%, 07/15/2032 <sup>(a)</sup> | 775000 | 769759 |
|  Saks Global Enterprises LLC, 11.00%, 12/15/2029 <sup>(a)</sup> | 350000 | 212680 |
|  Sally Holdings LLC / Sally Capital, Inc., 6.75%, 03/01/2032 | 900000 | 907719 |
|  STL Holding Co. LLC, 8.75%, 02/15/2029 <sup>(a)</sup> | 450000 | 457543 |
|  White Cap Buyer LLC, 6.88%, 10/15/2028 <sup>(a)</sup> | 3100000 | 3023847 |
|  |  | 18396135 |
| **Consumer, Non-cyclical - 0.9%** | **Consumer, Non-cyclical - 0.9%** | **Consumer, Non-cyclical - 0.9%** |
|  Acadia Healthcare Co., Inc., 7.38%, 03/15/2033 <sup>(a)</sup> | 3900000 | 3901484 |
|  B&G Foods, Inc., 8.00%, 09/15/2028 <sup>(a)</sup> | 390000 | 387420 |
|  Belron UK Finance PLC, 5.75%, 10/15/2029 <sup>(a)</sup> | 600000 | 599833 |
|  Concentra Escrow Issuer Corp., 6.88%, 07/15/2032 <sup>(a)</sup> | 600000 | 615028 |
|  DaVita, Inc., 6.88%, 09/01/2032 <sup>(a)</sup> | 1650000 | 1667162 |
|  Dcli Bidco LLC, 7.75%, 11/15/2029 <sup>(a)</sup> | 600000 | 559575 |
|  EquipmentShare.com, Inc., 9.00%, 05/15/2028 <sup>(a)</sup> | 1900000 | 1936200 |
|  Fiesta Purchaser, Inc., 9.63%, 09/15/2032 <sup>(a)</sup> | 800000 | 838506 |
|  Herc Holdings, Inc., 6.63%, 06/15/2029 <sup>(a)</sup> | 2500000 | 2472667 |
|  Hertz Global Holdings, Inc., 12.63%, 07/15/2029 <sup>(a)</sup> | 350000 | 340765 |
|  Medline Borrower LP, 5.25%, 10/01/2029 <sup>(a)</sup> | 900000 | 855556 |
|  Molina Healthcare, Inc., 6.25%, 01/15/2033 <sup>(a)</sup> | 350000 | 347598 |
|  NESCO Holdings, Inc., 5.50%, 04/15/2029 <sup>(a)</sup> | 300000 | 272401 |
|  Performance Food Group, Inc., 4.25%, 08/01/2029 <sup>(a)</sup> | 900000 | 853059 |
|  Perrigo Finance Unlimited Co., 6.13%, 09/30/2032 | 1200000 | 1191959 |
|  Post Holdings, Inc., 6.38%, 03/01/2033 <sup>(a)</sup> | 900000 | 892133 |
|  Raven Acquisition Holdings LLC, 6.88%, 11/15/2031 <sup>(a)</sup> | 1900000 | 1857906 |
|  Simmons Foods, Inc., 4.63%, 03/01/2029 <sup>(a)</sup> | 350000 | 325646 |
|  TreeHouse Foods, Inc., 4.00%, 09/01/2028 | 600000 | 538964 |
|  Upbound Group, Inc., 6.38%, 02/15/2029 <sup>(a)</sup> | 2100000 | 1984442 |
|  US Foods, Inc., 7.25%, 01/15/2032 <sup>(a)</sup> | 200000 | 209472 |
|  VT Topco, Inc., 8.50%, 08/15/2030 <sup>(a)</sup> | 2040000 | 2136874 |
|  Williams Scotsman, Inc., 6.63%, 04/15/2030 <sup>(a)</sup> | 1000000 | 1019155 |
|  |  | 25803805 |
| **Diversified - 0.1%** | **Diversified - 0.1%** | **Diversified - 0.1%** |
|  Stena International SA, 7.25%, 01/15/2031 <sup>(a)</sup> | 1925000 | 1902047 |
| **Energy - 0.5%** | **Energy - 0.5%** | **Energy - 0.5%** |
|  Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 8.63%, 06/15/2029 <sup>(a)</sup> | 900000 | 929982 |
|  Antero Midstream Partners LP / Antero Midstream Finance Corp., 6.63%, 02/01/2032 <sup>(a)</sup> | 1200000 | 1213712 |
|  Archrock Partners LP / Archrock Partners Finance Corp., 6.63%, 09/01/2032 <sup>(a)</sup> | 600000 | 597263 |
|  Aris Water Holdings LLC, 7.25%, 04/01/2030 <sup>(a)</sup> | 450000 | 446972 |
|  Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.75%, 07/15/2028 <sup>(a)</sup> | 500000 | 447973 |
|  Comstock Resources, Inc., 5.88%, 01/15/2030 <sup>(a)</sup> | 450000 | 407973 |
| Genesis Energy LP / Genesis Energy Finance Corp. | Genesis Energy LP / Genesis Energy Finance Corp. | Genesis Energy LP / Genesis Energy Finance Corp. |
| &nbsp;&nbsp; 8.25%, 01/15/2029 | 275000 | 279752 |
| &nbsp;&nbsp; 8.00%, 05/15/2033 | 900000 | 874208 |
|  Greenfire Resources Ltd., 12.00%, 10/01/2028 <sup>(a)</sup> | 198000 | 209163 |
|  Gulfport Energy Operating Corp., 6.75%, 09/01/2029 <sup>(a)</sup> | 320000 | 315756 |
|  Helix Energy Solutions Group, Inc., 9.75%, 03/01/2029 <sup>(a)</sup> | 950000 | 962797 |
|  Kinetik Holdings LP, 5.88%, 06/15/2030 <sup>(a)</sup> | 600000 | 586845 |
|  Moss Creek Resources Holdings, Inc., 8.25%, 09/01/2031 <sup>(a)</sup> | 800000 | 736298 |
|  New Fortress Energy, Inc., 6.50%, 09/30/2026 <sup>(a)</sup> | 200000 | 164036 |
|  PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 02/15/2028 | 1000000 | 883585 |
|  Shelf Drilling Holdings Ltd., 9.63%, 04/15/2029 <sup>(a)</sup> | 1610000 | 1141254 |
|  SunCoke Energy, Inc., 4.88%, 06/30/2029 <sup>(a)</sup> | 2550000 | 2345350 |
|  Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/2030 <sup>(a)</sup> | 700000 | 652513 |
|  USA Compression Partners LP / USA Compression Finance Corp., 7.13%, 03/15/2029 <sup>(a)</sup> | 630000 | 636723 |
| Venture Global LNG, Inc. | Venture Global LNG, Inc. | Venture Global LNG, Inc. |
| &nbsp;&nbsp; 9.00% to 09/30/2029 then 5 yr. CMT Rate + 5.44%, Perpetual <sup>(a)</sup> | 215000 | 184998 |
| &nbsp;&nbsp; 8.38%, 06/01/2031 <sup>(a)</sup> | 950000 | 917022 |
|  Wildfire Intermediate Holdings LLC, 7.50%, 10/15/2029 <sup>(a)</sup> | 200000 | 183500 |
|  |  | 15117675 |
| **Financial - 2.8%** | **Financial - 2.8%** | **Financial - 2.8%** |
|  A10 Capital LLC, 5.88%, 08/17/2026 <sup>(a)</sup> | 1000000 | 977788 |
|  BankGuam Holding Co., 4.75% to 07/01/2026 then 3 mo. Term SOFR + 4.13%, 07/01/2031 <sup>(a)</sup> | 2000000 | 1822086 |
|  Blackstone Mortgage Trust, Inc., 7.75%, 12/01/2029 <sup>(a)</sup> | 600000 | 623804 |
|  Brookline Bancorp, Inc., 7.88% (3 mo. Term SOFR + 3.58%), 09/15/2029 | 1000000 | 980094 |
|  Clear Street Holdings LLC, 5.88%, 05/15/2026 <sup>(a)</sup> | 2000000 | 1977179 |
|  Columbia Banking System, Inc., 9.84% (3 mo. Term SOFR + 5.52%), 12/10/2025 <sup>(a)</sup> | 2500000 | 2482323 |
|  Credit Acceptance Corp., 6.63%, 03/15/2030 <sup>(a)</sup> | 1900000 | 1867862 |
|  Customers Bank, 8.00% (3 mo. Term SOFR + 3.70%), 06/26/2029 <sup>(a)</sup> | 1000000 | 994934 |
|  Encore Capital Group, Inc., 8.50%, 05/15/2030 <sup>(a)</sup> | 500000 | 519198 |
|  EZCORP, Inc., 7.38%, 04/01/2032 <sup>(a)</sup> | 1425000 | 1495381 |
|  FedNat Holding Co., 7.75%, 03/15/2029 <sup>(i)(l)</sup> | 2500000 | 150000 |
|  Fidelity Financial Corp., 5.00% to 04/30/2027 then 3 mo. Term SOFR + 2.47%, 04/30/2032 <sup>(a)</sup> | 3000000 | 2751876 |
|  Financial Institutions, Inc., 6.00% to 04/15/2025 then 3 mo. LIBOR US + 3.94%, 04/15/2030 <sup>(g)</sup> | 1125000 | 1114344 |
|  First Bancshares, Inc., 6.40% to 05/01/2028 then 3 mo. Term SOFR + 3.65%, 05/01/2033 | 1000000 | 992829 |
|  First Foundation, Inc., 3.50% to 02/01/2027 then SOFR + 2.04%, 02/01/2032 | 1000000 | 762994 |
|  First Northwest Bancorp, 3.75% to 03/30/2026 then 3 mo. Term SOFR + 3.00%, 03/30/2031 | 1500000 | 1217365 |
|  Flushing Financial Corp., 3.13% to 12/01/2026 then 3 mo. Term SOFR + 2.04%, 12/01/2031 | 3000000 | 2364381 |
|  Freedom Mortgage Corp., 7.63%, 05/01/2026 <sup>(a)</sup> | 1900000 | 1896619 |
| Freedom Mortgage Holdings LLC | Freedom Mortgage Holdings LLC | Freedom Mortgage Holdings LLC |
| &nbsp;&nbsp; 9.25%, 02/01/2029 <sup>(a)</sup> | 900000 | 917608 |
| &nbsp;&nbsp; 8.38%, 04/01/2032 <sup>(a)</sup> | 650000 | 636360 |
|  FS Bancorp, Inc., 3.75% to 02/15/2026 then 3 mo. Term SOFR + 3.37%, 02/15/2031 | 1000000 | 984143 |
|  Georgia Banking Co., Inc., 4.13% to 06/15/2026 then 3 mo. Term SOFR + 3.40%, 06/15/2031 <sup>(a)</sup> | 4000000 | 3666173 |
|  GGAM Finance Ltd., 8.00%, 02/15/2027 <sup>(a)</sup> | 400000 | 411020 |
|  Global Aircraft Leasing Co. Ltd., 8.75%, 09/01/2027 <sup>(a)</sup> | 1950000 | 1945373 |
|  goeasy Ltd., 7.63%, 07/01/2029 <sup>(a)</sup> | 1950000 | 1967768 |
|  HomeStreet, Inc., 6.50%, 06/01/2026 | 750000 | 725092 |
|  Jacksonville Bancorp, Inc. Statutory Trust, 8.31% (3 mo. Term SOFR + 4.01%), 09/15/2038 <sup>(a)</sup> | 1200000 | 1142965 |
|  Jane Street Group / JSG Finance, Inc., 6.75%, 05/01/2033 <sup>(a)</sup> | 500000 | 502730 |
|  Jefferies Finance LLC / JFIN Co.-Issuer Corp., 6.63%, 10/15/2031 <sup>(a)</sup> | 1050000 | 1029765 |
|  Jefferson Capital Holdings LLC, 9.50%, 02/15/2029 <sup>(a)</sup> | 730000 | 765907 |
|  LD Holdings Group LLC, 6.13%, 04/01/2028 <sup>(a)</sup> | 500000 | 412074 |
|  Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/2029 <sup>(a)</sup> | 200000 | 209327 |
|  Marble Point Loan Financing Ltd. / MPLF Funding I LLC, 7.50%, 11/16/2025 <sup>(a)</sup> | 3500000 | 3469375 |
|  Narragansett Financial Corp., 3.88% to 05/15/2026 then 3 mo. Term SOFR + 3.19%, 05/15/2031 <sup>(a)</sup> | 2000000 | 1839976 |
| Nationstar Mortgage Holdings, Inc. | Nationstar Mortgage Holdings, Inc. | Nationstar Mortgage Holdings, Inc. |
| &nbsp;&nbsp; 5.50%, 08/15/2028 <sup>(a)</sup> | 2500000 | 2487091 |
| &nbsp;&nbsp; 7.13%, 02/01/2032 <sup>(a)</sup> | 1200000 | 1246072 |
|  NexBank Capital, Inc., 6.00%, 07/15/2032 <sup>(a)</sup> | 1000000 | 946211 |
|  OneMain Finance Corp., 4.00%, 09/15/2030 | 2000000 | 1775680 |
|  Panther Escrow Issuer LLC, 7.13%, 06/01/2031 <sup>(a)</sup> | 1200000 | 1230408 |
| PennyMac Financial Services, Inc. | PennyMac Financial Services, Inc. | PennyMac Financial Services, Inc. |
| &nbsp;&nbsp; 4.25%, 02/15/2029 <sup>(a)</sup> | 900000 | 841061 |
| &nbsp;&nbsp; 5.75%, 09/15/2031 <sup>(a)</sup> | 900000 | 858112 |
|  PHH Corp., 9.88%, 11/01/2029 <sup>(a)</sup> | 800000 | 774680 |
|  PRA Group, Inc., 5.00%, 10/01/2029 <sup>(a)</sup> | 2600000 | 2371385 |
|  Primis Financial Corp., 8.49% (3 mo. Term SOFR + 4.21%), 01/31/2027 <sup>(a)</sup> | 1000000 | 981922 |
|  ReadyCap Holdings LLC, 9.38%, 03/01/2028 <sup>(a)</sup> | 3000000 | 2992435 |
|  RHP Hotel Properties LP / RHP Finance Corp., 6.50%, 04/01/2032 <sup>(a)</sup> | 250000 | 249414 |
|  South Street Securities Funding LLC, 6.25%, 12/30/2026 <sup>(a)</sup> | 1000000 | 970402 |
| Starwood Property Trust, Inc. | Starwood Property Trust, Inc. | Starwood Property Trust, Inc. |
| &nbsp;&nbsp; 7.25%, 04/01/2029 <sup>(a)</sup> | 100000 | 103827 |
| &nbsp;&nbsp; 6.00%, 04/15/2030 <sup>(a)</sup> | 900000 | 890468 |
|  StoneX Group, Inc., 7.88%, 03/01/2031 <sup>(a)</sup> | 1200000 | 1250486 |
|  Texas State Bankshares, Inc., 8.11% (3 mo. Term SOFR + 3.81%), 06/15/2029 <sup>(a)</sup> | 2000000 | 1999676 |
|  Trinitas Capital Management LLC, 6.00%, 07/30/2026 <sup>(a)</sup> | 4000000 | 3905000 |
|  United Wholesale Mortgage LLC, 5.50%, 04/15/2029 <sup>(a)</sup> | 2800000 | 2714471 |
|  Uniti Group LP / Uniti Group Finance 2019, Inc. / CSL Capital LLC, 6.50%, 02/15/2029 <sup>(a)</sup> | 1200000 | 1099290 |
|  Walker & Dunlop, Inc., 6.63%, 04/01/2033 <sup>(a)</sup> | 600000 | 610878 |
|  |  | 75915682 |
| **Industrial - 0.7%** | **Industrial - 0.7%** | **Industrial - 0.7%** |
|  Advanced Drainage Systems, Inc., 6.38%, 06/15/2030 <sup>(a)</sup> | 600000 | 609852 |
|  Axon Enterprise, Inc., 6.25%, 03/15/2033 <sup>(a)</sup> | 1200000 | 1226072 |
|  Brundage-Bone Concrete Pumping Holdings, Inc., 7.50%, 02/01/2032 <sup>(a)</sup> | 1000000 | 976843 |
|  Clearwater Paper Corp., 4.75%, 08/15/2028 <sup>(a)</sup> | 1400000 | 1303134 |
|  Clydesdale Acquisition Holdings, Inc., 6.75%, 04/15/2032 <sup>(a)</sup> | 1000000 | 1023317 |
|  Coherent Corp., 5.00%, 12/15/2029 <sup>(a)</sup> | 1900000 | 1821640 |
|  Fortress Transportation and Infrastructure Investors LLC, 5.88%, 04/15/2033 <sup>(a)</sup> | 1200000 | 1149487 |
|  Genesee & Wyoming, Inc., 6.25%, 04/15/2032 <sup>(a)</sup> | 600000 | 608671 |
|  Great Lakes Dredge & Dock Corp., 5.25%, 06/01/2029 <sup>(a)</sup> | 1175000 | 1073874 |
|  Knife River Corp., 7.75%, 05/01/2031 <sup>(a)</sup> | 600000 | 628231 |
|  Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031 <sup>(a)</sup> | 1900000 | 1889164 |
|  Quikrete Holdings, Inc., 6.75%, 03/01/2033 <sup>(a)</sup> | 950000 | 954385 |
|  Reworld Holding Corp., 4.88%, 12/01/2029 <sup>(a)</sup> | 200000 | 187084 |
|  Sealed Air Corp., 6.50%, 07/15/2032 <sup>(a)</sup> | 300000 | 305372 |
|  Seaspan Corp., 5.50%, 08/01/2029 <sup>(a)</sup> | 950000 | 868127 |
|  Sensata Technologies, Inc., 3.75%, 02/15/2031 <sup>(a)</sup> | 1000000 | 875584 |
|  Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/2028 <sup>(a)</sup> | 1900000 | 1858567 |
|  Standard Building Solutions, Inc., 6.50%, 08/15/2032 <sup>(a)</sup> | 1200000 | 1216012 |
|  Vertiv Group Corp., 4.13%, 11/15/2028 <sup>(a)</sup> | 400000 | 386780 |
|  XPO, Inc., 7.13%, 06/01/2031 <sup>(a)</sup> | 250000 | 256171 |
|  |  | 19218367 |
| **Technology - 0.0%<sup>(k)</sup>** | **Technology - 0.0%<sup>(k)</sup>** | **Technology - 0.0%<sup>(k)</sup>** |
|  Zebra Technologies Corp., 6.50%, 06/01/2032 <sup>(a)</sup> | 500000 | 502816 |
| **Utilities - 0.1%** | **Utilities - 0.1%** | **Utilities - 0.1%** |
|  NRG Energy, Inc., 6.25%, 11/01/2034 <sup>(a)</sup> | 400000 | 399692 |
|  Pike Corp., 8.63%, 01/31/2031 <sup>(a)</sup> | 225000 | 236325 |
| Vistra Operations Co. LLC | Vistra Operations Co. LLC | Vistra Operations Co. LLC |
| &nbsp;&nbsp; 7.75%, 10/15/2031 <sup>(a)</sup> | 100000 | 105805 |
| &nbsp;&nbsp; 6.88%, 04/15/2032 <sup>(a)</sup> | 1200000 | 1243913 |
|  |  | 1985735 |
|  |  | 184713051 |
| **TOTAL CORPORATE OBLIGATIONS** (Cost $188,881,883) | **TOTAL CORPORATE OBLIGATIONS** (Cost $188,881,883) | **TOTAL CORPORATE OBLIGATIONS** (Cost $188,881,883) |
| **COLLATERALIZED LOAN OBLIGATIONS - 5.3%** | **Par** | **Value**  |
| Anchorage Credit Funding Ltd. | Anchorage Credit Funding Ltd. | Anchorage Credit Funding Ltd. |
| &nbsp;&nbsp; Series 2019-8A, Class BR, 3.01%, 07/25/2037 <sup>(a)</sup> | 9350000 | 8651733 |
| &nbsp;&nbsp; Series 2019-9A, Class BR, 3.05%, 10/25/2037 <sup>(a)</sup> | 7000000 | 6474587 |
| &nbsp;&nbsp; Series 2019-9A, Class CR, 3.55%, 10/25/2037 <sup>(a)</sup> | 3000000 | 2778126 |
| Apidos CLO Ltd. | Apidos CLO Ltd. | Apidos CLO Ltd. |
| &nbsp;&nbsp; Series 2023-43A, Class D, 9.28% (3 mo. Term SOFR + 5.00%), 04/25/2035 <sup>(a)</sup> | 3800000 | 3813110 |
| &nbsp;&nbsp; Series 2023-46A, Class E, 12.23% (3 mo. Term SOFR + 7.95%), 10/24/2036 <sup>(a)</sup> | 2000000 | 2014474 |
| Ares CLO Ltd. | Ares CLO Ltd. | Ares CLO Ltd. |
| &nbsp;&nbsp; Series 2020-58A, Class D2R2, 8.69% (3 mo. Term SOFR + 4.40%), 04/15/2038 <sup>(a)</sup> | 3000000 | 2951283 |
| &nbsp;&nbsp; Series 2023-68A, Class E, 12.83% (3 mo. Term SOFR + 8.55%), 04/25/2035 <sup>(a)</sup> | 7000000 | 7081361 |
|  AUF Funding LLC, Series 2022-1A, Class A1LN, 6.77% (3 mo. Term SOFR + 2.50%), 01/20/2031 <sup>(a)</sup> | 538148 | 538911 |
| Barings Middle Market CLO Ltd. | Barings Middle Market CLO Ltd. | Barings Middle Market CLO Ltd. |
| &nbsp;&nbsp; Series 2018-II, Class COM, 0.00%, 01/15/2031 <sup>(b)</sup> | 428329 | 12850 |
| &nbsp;&nbsp; Series 2023-IIA, Class A2, 7.47% (3 mo. Term SOFR + 3.20%), 01/20/2032 <sup>(a)(d)</sup> | 5000000 | 5000935 |
| &nbsp;&nbsp; Series 2023-IIA, Class B, 8.42% (3 mo. Term SOFR + 4.15%), 01/20/2032 <sup>(a)</sup> | 1150000 | 1153912 |
|  BCC Middle Market CLO LLC, Series 2023-2A, Class A1, 6.77% (3 mo. Term SOFR + 2.50%), 10/21/2035 <sup>(a)(d)</sup> | 10000000 | 10047570 |
|  Black Diamond CLO Ltd., Series 2022-1A, Class E, 11.78% (3 mo. Term SOFR + 7.50%), 10/25/2035 <sup>(a)</sup> | 2500000 | 2523222 |
|  Blackrock CLO Ltd., Series 2023-1A, Class C, 8.92% (3 mo. Term SOFR + 4.65%), 04/20/2035 <sup>(a)</sup> | 2000000 | 2009322 |
|  Blue Owl Capital Corp. II, Series 2023-13A, Class A, 6.85% (3 mo. Term SOFR + 2.55%), 09/20/2035 <sup>(a)</sup> | 3000000 | 3005436 |
|  Bryant Park Funding Ltd., Series 2023-20A, Class E, 12.89% (3 mo. Term SOFR + 8.63%), 07/15/2036 <sup>(a)</sup> | 2750000 | 2758937 |
|  Capital Four US CLO Ltd., Series 2022-1A, Class BR, 6.92% (3 mo. Term SOFR + 2.65%), 01/20/2037 <sup>(a)(d)</sup> | 8500000 | 8548255 |
|  Carlyle Global Market Strategies, Series 2023-2A, Class E, 12.44% (3 mo. Term SOFR + 8.17%), 07/20/2036 <sup>(a)</sup> | 3000000 | 3016608 |
| CIFC Funding Ltd. | CIFC Funding Ltd. | CIFC Funding Ltd. |
| &nbsp;&nbsp; Series 2018-3A, Class D, 7.38% (3 mo. Term SOFR + 3.11%), 07/18/2031 <sup>(a)</sup> | 2000000 | 1992392 |
| &nbsp;&nbsp; Series 2019-FAL, Class D, 9.24% (3 mo. Term SOFR + 4.97%), 01/20/2033 <sup>(a)</sup> | 5000000 | 4965175 |
|  Jamestown CLO Ltd., Series 2018-11A, Class A2, 6.20% (3 mo. Term SOFR + 1.96%), 07/14/2031 <sup>(a)</sup> | 1200000 | 1199956 |
|  Katayma CLO Ltd., Series 2023-1A, Class E, 12.41% (3 mo. Term SOFR + 8.14%), 10/20/2036 <sup>(a)</sup> | 4500000 | 4533592 |
|  Man US CLO Ltd., Series 2024-1A, Class D2, 9.47% (3 mo. Term SOFR + 5.20%), 07/20/2037 <sup>(a)</sup> | 2000000 | 2002384 |
|  Marble Point CLO Ltd., Series 2022-1A, Class E, 12.45% (3 mo. Term SOFR + 8.18%), 04/20/2035 <sup>(a)</sup> | 3000000 | 2996187 |
|  MCF CLO Ltd., Series 2017-3A, Class ER, 13.68% (3 mo. Term SOFR + 9.41%), 07/20/2033 <sup>(a)</sup> | 3000000 | 3000744 |
|  NBBLUE, 9.74%, 04/15/2040 <sup>(i)</sup> | 3000000 | 3000000 |
|  Neuberger Berman Loan Advisers Lasalle Street Lending CLO Ltd., Series 2024-2A, Class E, 11.77% (3 mo. Term SOFR + 7.50%), 04/20/2038 <sup>(a)</sup> | 2000000 | 2001670 |
|  Oaktree CLO Ltd., Series 2023-2A, Class D, 9.72% (3 mo. Term SOFR + 5.45%), 07/20/2036 <sup>(a)(d)</sup> | 6000000 | 6021984 |
|  Octagon Investment Partners Ltd., Series 2018-1A, Class C, 6.22% (3 mo. Term SOFR + 1.96%), 04/15/2031 <sup>(a)</sup> | 2500000 | 2493550 |
|  Orion CLO Ltd., Series 2023-2X, Class E, 12.18% (3 mo. Term SOFR + 7.90%), 01/25/2037 <sup>(m)</sup> | 2000000 | 2007874 |
|  Parallel CLO Ltd., Series 2023-1A, Class D, 13.52% (3 mo. Term SOFR + 9.25%), 07/20/2036 <sup>(a)</sup> | 3500000 | 3521192 |
| Park Blue CLO Ltd. | Park Blue CLO Ltd. | Park Blue CLO Ltd. |
| &nbsp;&nbsp; Series 2023-3A, Class D, 9.67% (3 mo. Term SOFR + 5.40%), 04/20/2036 <sup>(a)(d)</sup> | 5000000 | 5017995 |
| &nbsp;&nbsp; Series 2023-3A, Class E, 12.07% (3 mo. Term SOFR + 7.80%), 04/20/2036 <sup>(a)</sup> | 3000000 | 3019977 |
| Pikes Peak CLO Ltd. | Pikes Peak CLO Ltd. | Pikes Peak CLO Ltd. |
| &nbsp;&nbsp; Series 2020-5A, Class FR, 12.09% (3 mo. Term SOFR + 7.82%), 10/20/2037 <sup>(a)</sup> | 1000000 | 920211 |
| &nbsp;&nbsp; Series 2023-14A, Class E, 12.85% (3 mo. Term SOFR + 8.58%), 04/20/2036 <sup>(a)</sup> | 4600000 | 4641198 |
|  Post CLO Ltd., Series 2023-1A, Class D, 9.52% (3 mo. Term SOFR + 5.25%), 04/20/2036 <sup>(a)</sup> | 1000000 | 1003268 |
|  THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 7.48% (3 mo. Term SOFR + 3.21%), 01/20/2031 <sup>(a)</sup> | 2340000 | 2326309 |
| Trinitas CLO Ltd. | Trinitas CLO Ltd. | Trinitas CLO Ltd. |
| &nbsp;&nbsp; Series 2020-14A, Class D, 8.84% (3 mo. Term SOFR + 4.56%), 01/25/2034 <sup>(a)</sup> | 3000000 | 2978034 |
| &nbsp;&nbsp; Series 2023-22A, Class B1, 7.17% (3 mo. Term SOFR + 2.90%), 07/20/2036 <sup>(a)(d)</sup> | 5300000 | 5301892 |
| &nbsp;&nbsp; Series 2023-22A, Class E, 12.98% (3 mo. Term SOFR + 8.71%), 07/20/2036 <sup>(a)</sup> | 3000000 | 3002880 |
| Voya CLO Ltd. | Voya CLO Ltd. | Voya CLO Ltd. |
| &nbsp;&nbsp; Series 2016-1A, Class BR, 6.33% (3 mo. Term SOFR + 2.06%), 01/20/2031 <sup>(a)</sup> | 2740000 | 2730728 |
| &nbsp;&nbsp; Series 2018-1A, Class C, 7.13% (3 mo. Term SOFR + 2.86%), 04/19/2031 <sup>(a)</sup> | 1750000 | 1722408 |
|  Wellfleet CLO Ltd., Series 2015-1A, Class SUB, 0.00%, 07/20/2029 <sup>(a)(b)</sup> | 4900000 | 490 |
|  Whitehorse Ltd., Series 2018-12A, Class C, 7.19% (3 mo. Term SOFR + 2.93%), 10/15/2031 <sup>(a)</sup> | 2130000 | 2129900 |
| **TOTAL COLLATERALIZED LOAN OBLIGATIONS** (Cost $150,600,364) | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** (Cost $150,600,364) | 146912622 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.3%** | **Par** | **Value**  |
|  AREIT CRE Ltd., Series 2024-CRE9, Class AS, 6.56% (1 mo. Term SOFR + 2.24%), 05/17/2041 <sup>(a)</sup> | 1700000 | 1687017 |
| ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-IND, Class D, 7.21% (1 mo. Term SOFR + 2.89%), 07/15/2041 <sup>(a)</sup> | 4500000 | 4501318 |
| &nbsp;&nbsp; Series 2024-IND, Class E, 8.26% (1 mo. Term SOFR + 3.94%), 07/15/2041 <sup>(a)</sup> | 4500000 | 4501269 |
|  ARZ Trust, Series 2024-BILT, Class D, 7.00%, 06/11/2029 <sup>(a)</sup> | 850000 | 877696 |
| Banc of America Re-Remic Trust | Banc of America Re-Remic Trust | Banc of America Re-Remic Trust |
| &nbsp;&nbsp; Series 2024-NASH, Class A, 6.32% (1 mo. Term SOFR + 2.00%), 05/15/2039 <sup>(a)</sup> | 2400000 | 2384155 |
| &nbsp;&nbsp; Series 2024-NASH, Class C, 7.82% (1 mo. Term SOFR + 3.50%), 05/15/2039 <sup>(a)</sup> | 800000 | 793952 |
| &nbsp;&nbsp; Series 2024-NASH, Class D, 9.17% (1 mo. Term SOFR + 4.85%), 05/15/2039 <sup>(a)</sup> | 400000 | 396944 |
| &nbsp;&nbsp; Series 2025-ASHF, Class C, 7.32% (1 mo. Term SOFR + 3.00%), 02/15/2042 <sup>(a)</sup> | 3250000 | 3266195 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp; Series 2024-AIRC, Class C, 6.91% (1 mo. Term SOFR + 2.59%), 08/15/2039 <sup>(a)</sup> | 1650223 | 1659913 |
| &nbsp;&nbsp; Series 2024-BIO, Class C, 6.96% (1 mo. Term SOFR + 2.64%), 02/15/2041 <sup>(a)</sup> | 4800000 | 4766928 |
| &nbsp;&nbsp; Series 2024-BIO, Class D, 7.96% (1 mo. Term SOFR + 3.64%), 02/15/2041 <sup>(a)</sup> | 3300000 | 3276636 |
| &nbsp;&nbsp; Series 2024-KING, Class D, 6.81% (1 mo. Term SOFR + 2.49%), 05/15/2034 <sup>(a)</sup> | 2467516 | 2478925 |
| &nbsp;&nbsp; Series 2024-PALM, Class D, 6.96% (1 mo. Term SOFR + 2.64%), 06/15/2037 <sup>(a)</sup> | 1038462 | 1038797 |
| &nbsp;&nbsp; Series 2024-VLT4, Class E, 7.21% (1 mo. Term SOFR + 2.89%), 07/15/2029 <sup>(a)</sup> | 300000 | 293281 |
| &nbsp;&nbsp; Series 2024-VLT4, Class F, 8.26% (1 mo. Term SOFR + 3.94%), 07/15/2029 <sup>(a)</sup> | 4500000 | 4509279 |
| &nbsp;&nbsp; Series 2025-BIO3, Class D, 7.19%, 02/10/2042 <sup>(a)(b)</sup> | 1750000 | 1736609 |
|  Commercial Mortgage Pass Through Certificates, Series 2024-WCL1, Class C, 7.21% (1 mo. Term SOFR + 2.89%), 06/15/2041 <sup>(a)</sup> | 5500000 | 5481911 |
| Computershare Corporate Trust | Computershare Corporate Trust | Computershare Corporate Trust |
| &nbsp;&nbsp; Series 2024-1CHI, Class D, 6.93%, 07/15/2035 <sup>(a)(b)</sup> | 1450000 | 1463083 |
| &nbsp;&nbsp; Series 2024-1CHI, Class E, 7.83%, 07/15/2035 <sup>(a)(b)</sup> | 1800000 | 1815588 |
|  DBSG Mortgage Trust, Series 2024-ALTA, Class D, 7.30%, 06/10/2037 <sup>(a)(b)</sup> | 1600000 | 1634867 |
| DC Commercial Mortgage Trust | DC Commercial Mortgage Trust | DC Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-HLTN, Class C, 7.29%, 04/13/2040 <sup>(a)(b)</sup> | 1200000 | 1223244 |
| &nbsp;&nbsp; Series 2024-HLTN, Class D, 7.98%, 04/13/2040 <sup>(a)(b)</sup> | 1200000 | 1238658 |
|  Gaea Mortgage Loan Trust, Series 2025-A, Class A, 6.75%, 02/25/2030 <sup>(a)(b)</sup> | 11606272 | 11638421 |
|  GS Mortgage Securities Corp., Series 2018-TWR, Class G, 8.54% (1 mo. Term SOFR + 4.22%), 07/15/2031 <sup>(a)</sup> | 500000 | 39891 |
| Hilton USA Trust | Hilton USA Trust | Hilton USA Trust |
| &nbsp;&nbsp; Series 2024-ORL, Class C, 6.76% (1 mo. Term SOFR + 2.44%), 05/15/2037 <sup>(a)</sup> | 800000 | 802850 |
| &nbsp;&nbsp; Series 2024-ORL, Class D, 7.51% (1 mo. Term SOFR + 3.19%), 05/15/2037 <sup>(a)</sup> | 800000 | 804216 |
|  HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class D, 7.66% (1 mo. Term SOFR + 3.34%), 06/15/2041 <sup>(a)</sup> | 1700000 | 1657570 |
| HTL Commercial Mortgage Trust | HTL Commercial Mortgage Trust | HTL Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-T53, Class D, 8.47%, 05/10/2039 <sup>(a)(b)</sup> | 700000 | 722499 |
| &nbsp;&nbsp; Series 2024-T53, Class F, 12.32%, 05/10/2039 <sup>(a)(b)</sup> | 400000 | 413902 |
|  ICNQ Mortgage Trust, Series 2024-MF, Class E, 6.56%, 12/10/2034 <sup>(a)(b)</sup> | 3250000 | 3280349 |
|  Jackson Park Trust, Series 2019-LIC, Class E, 3.35%, 10/14/2039 <sup>(a)(b)</sup> | 5000000 | 4267320 |
|  JP Morgan Chase Commercial Mortgage Securities, Series 2018-PTC, Class A, 5.82% (1 mo. Term SOFR + 1.50%), 04/15/2031 <sup>(a)(d)</sup> | 3500000 | 1870334 |
| LBA Trust | LBA Trust | LBA Trust |
| &nbsp;&nbsp; Series 2024-BOLT, Class E, 8.01% (1 mo. Term SOFR + 3.69%), 06/15/2039 <sup>(a)</sup> | 6500000 | 6531902 |
| &nbsp;&nbsp; Series 2024-BOLT, Class F, 8.76% (1 mo. Term SOFR + 4.44%), 06/15/2039 <sup>(a)</sup> | 1400000 | 1406765 |
|  Morgan Stanley, Series 2024-BPR2, Class A, 7.29%, 05/05/2029 <sup>(a)</sup> | 2675333 | 2806949 |
|  Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class G, 4.29%, 02/15/2046 <sup>(a)(b)</sup> | 1000000 | 47966 |
|  Morgan Stanley Capital I, Inc., Series 2014-150E, Class A, 3.91%, 09/09/2032 <sup>(a)</sup> | 1040000 | 902413 |
|  TX Trust, Series 2024-HOU, Class D, 7.56% (1 mo. Term SOFR + 3.24%), 06/15/2039 <sup>(a)</sup> | 500000 | 500156 |
|  Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class E, 7.14%, 03/15/2038 <sup>(a)(b)</sup> | 5200000 | 5165467 |
|  WFLD Mortgage Trust, Series 2014-MONT, Class A, 3.88%, 08/10/2031 <sup>(a)(b)</sup> | 1567088 | 1511011 |
| X-Caliber Funding LLC | X-Caliber Funding LLC | X-Caliber Funding LLC |
| &nbsp;&nbsp; 12.07% (1 mo. Term SOFR + 7.75%), 06/06/2025 <sup>(a)</sup> | 658203 | 639046 |
| &nbsp;&nbsp; 7.07% (1 mo. Term SOFR + 2.75%), 06/06/2025 <sup>(a)</sup> | 3510418 | 3501073 |
| &nbsp;&nbsp; 11.00%, 09/01/2025 <sup>(a)</sup> | 3500000 | 3486063 |
| &nbsp;&nbsp; 5.00%, 09/01/2025 <sup>(a)</sup> | 300000 | 299786 |
| &nbsp;&nbsp; 11.46% (1 mo. LIBOR US + 6.50%), 11/01/2025 <sup>(a)(g)(l)</sup> | 1628000 | 1466118 |
| &nbsp;&nbsp; 7.00%, 03/31/2026 <sup>(a)</sup> | 3621300 | 3355761 |
| &nbsp;&nbsp; Series 2019-1, Class B1, 20.08% (1 mo. Term SOFR + 15.75%), 11/06/2026 <sup>(a)</sup> | 5129931 | 518 |
| &nbsp;&nbsp; Series 2020-5, Class A, 7.69% (1 mo. Term SOFR + 3.37%), 10/06/2025 <sup>(a)</sup> | 1124144 | 1122177 |
| &nbsp;&nbsp; Series 2020-5, Class B1, 12.69% (1 mo. Term SOFR + 8.37%), 10/06/2025 <sup>(a)</sup> | 2623002 | 2610422 |
| &nbsp;&nbsp; Series 2021-10, Class B1, 12.44% (1 mo. Term SOFR + 8.12%), 06/06/2025 <sup>(a)</sup> | 2000000 | 2004490 |
| &nbsp;&nbsp; Series 2021-7, Class A, 7.44% (1 mo. Term SOFR + 3.11%), 01/06/2026 <sup>(a)</sup> | 3950000 | 3933276 |
| &nbsp;&nbsp; Series 2021-7, Class B2, 0.00%, 01/06/2026 <sup>(a)</sup> | 1788000 | 1824069 |
| &nbsp;&nbsp; Series 2021-9, Class B1, 12.44% (1 mo. Term SOFR + 8.12%), 04/06/2026 <sup>(a)(l)</sup> | 1215000 | 217920 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $128,331,836) | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $128,331,836) | 119856965 |
| **AFFILIATED EXCHANGE TRADED FUNDS - 1.3%** | **Shares** | **Value**  |
| Angel Oak High Yield Opportunities ETF <sup>(n)</sup> | 1915240 | 20761202 |
| Angel Oak Mortgage-Backed Securities ETF <sup>(n)</sup> | 1772882 | 15308836 |
| **TOTAL AFFILIATED EXCHANGE TRADED FUNDS** (Cost $39,740,730) | **TOTAL AFFILIATED EXCHANGE TRADED FUNDS** (Cost $39,740,730) | 36070038 |
| **COMMERCIAL REAL ESTATE - 0.7%** | **Par** | **Value**  |
| Geary <sup>(i)(j)(n)</sup> | 7068750 | 7068750 |
| Leavenworth <sup>(i)(j)(n)</sup> | 2945000 | 2945000 |
| Octavia <sup>(j)(n)</sup> | 8003750 | 8065499 |
| **TOTAL COMMERCIAL REAL ESTATE** (Cost $18,464,000) | **TOTAL COMMERCIAL REAL ESTATE** (Cost $18,464,000) | 18079249 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY - 0.6%** | **Par** | **Value**  |
| Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust |
| &nbsp;&nbsp; Series 2019-01, Class B10, 9.97% (30 day avg SOFR US + 5.61%), 10/25/2049 <sup>(a)</sup> | 1500000 | 1512244 |
| &nbsp;&nbsp; Series 2019-01, Class CE, 13.22% (30 day avg SOFR US + 8.86%), 10/25/2049 <sup>(a)</sup> | 2000000 | 2029884 |
| &nbsp;&nbsp; Series 2020-01, Class CE, 11.97% (30 day avg SOFR US + 7.61%), 03/25/2050 <sup>(a)</sup> | 8000000 | 8310192 |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; Series 2017-KF41, Class B, 6.95% (30 day avg SOFR US + 2.61%), 11/25/2025 <sup>(a)</sup> | 600479 | 590803 |
| &nbsp;&nbsp; Series 2019-KF58, Class B, 6.60% (30 day avg SOFR US + 2.26%), 01/25/2026 <sup>(a)</sup> | 1182007 | 1174344 |
| &nbsp;&nbsp; Series 2019-KF64, Class B, 6.75% (30 day avg SOFR US + 2.41%), 06/25/2026 <sup>(a)</sup> | 2487563 | 2477817 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY** (Cost $15,768,523) | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY** (Cost $15,768,523) | 16095284 |
| **COMMON STOCKS - 0.4%** | **Shares** | **Value**  |
| **Energy - 0.0%<sup>(k)</sup>** | **Energy - 0.0%<sup>(k)</sup>** | **Energy - 0.0%<sup>(k)</sup>** |
| Enviva Escrow <sup>(i)(j)</sup> | 100000 | 0 |
| Enviva LLC <sup>(j)</sup> | 3638 | 56389 |
|  |  | 56389 |
| **Financial - 0.2%** | **Financial - 0.2%** | **Financial - 0.2%** |
| Kingstone Companies, Inc. <sup>(j)</sup> | 122236 | 2078012 |
| PennyMac Mortgage Investment Trust | 81182 | 1042377 |
| Redwood Trust, Inc. | 238507 | 1481128 |
|  |  | 4601517 |
| **Real Estate Investment Trust - 0.2%** | **Real Estate Investment Trust - 0.2%** | **Real Estate Investment Trust - 0.2%** |
| Annaly Capital Management, Inc. | 84833 | 1662727 |
| Ellington Financial, Inc. | 103500 | 1348605 |
| Rithm Capital Corp. | 258870 | 2894167 |
|  |  | 5905499 |
| **TOTAL COMMON STOCKS** (Cost $13,109,440) | **TOTAL COMMON STOCKS** (Cost $13,109,440) | 10563405  |
| **PREFERRED STOCKS - 0.3%** | **Shares** | **Value**  |
| **Financial - 0.2%** | **Financial - 0.2%** | **Financial - 0.2%** |
|  Dynex Capital, Inc., Series C, 9.98% (3 mo. Term SOFR + 5.72%), Perpetual | 173425 | 4403261 |
|  MFA Financial, Inc., Series C, 9.91% (3 mo. Term SOFR + 5.61%), Perpetual | 52942 | 1310844 |
|  |  | 5714105 |
| **Real Estate Investment Trust - 0.1%** | **Real Estate Investment Trust - 0.1%** | **Real Estate Investment Trust - 0.1%** |
|  AGNC Investment Corp., Series E, 9.51% (3 mo. Term SOFR + 5.25%), Perpetual | 66529 | 1666551 |
| **TOTAL PREFERRED STOCKS** (Cost $7,322,400) | **TOTAL PREFERRED STOCKS** (Cost $7,322,400) | 7380656 |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER - 0.3%** | **Par** | **Value**  |
|  Federal Home Loan Mortgage Corp.<br> Series 2022-DNA4, Class M1B, 7.70% (30 day avg SOFR US + 3.35%), 05/25/2042 <sup>(a)</sup>  | 2100000 | 2176217 |
|  Series 2018-SPI4, Class B, 4.51%, 11/25/2048 <sup>(a)(b)</sup> | 9082770 | 6557315 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER** (Cost $11,190,932) | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER** (Cost $11,190,932) | 8733532 |
| **EXCHANGE TRADED FUNDS - 0.2%** | **Shares** | **Value**  |
| iShares iBoxx $ High Yield Corporate Bond ETF | 33500 | 2633100 |
| SPDR Bloomberg High Yield Bond ETF | 27900 | 2642409 |
| **TOTAL EXCHANGE TRADED FUNDS** (Cost $5,186,878) | **TOTAL EXCHANGE TRADED FUNDS** (Cost $5,186,878) | 5275509 |
| **WHOLE LOANS - 0.2%** | **Par** | **Value**  |
|  Agency High Balance Residential Mortgages |  |  |
| &nbsp;&nbsp; 8.13%, 07/24/2026 |  | 613200 |
| &nbsp;&nbsp; 8.00%, 04/26/2037 | 178132 | 176960 |
| &nbsp;&nbsp; 8.13%, 05/24/2037 | 278529 | 278090 |
| &nbsp;&nbsp; 7.75%, 08/24/2037 | 222099 | 225460 |
| &nbsp;&nbsp; 5.13%, 05/24/2048 | 464819 | 435607 |
|  Savannah Grand, 9.58%, 03/31/2026 | 3111177 | 3103140 |
| **TOTAL WHOLE LOANS** (Cost $4,843,237) | **TOTAL WHOLE LOANS** (Cost $4,843,237) | 4826455 |
| **WARRANTS - 0.1%** | **Contracts** | **Value**  |
| **Financial *-* 0.1%** | **Financial *-* 0.1%** | **Financial *-* 0.1%** |
| Kingstone Companies, Inc., Expires 12/30/2025, Exercise Price $1.00 <sup>(j)</sup> | 142744 | 2502302 |
| **TOTAL WARRANTS** (Cost $380,158) | **TOTAL WARRANTS** (Cost $380,158) | 2502302 |
| **SHORT-TERM INVESTMENTS - 3.3%** | **Shares** | **Value**  |
| **Money Market Funds - 3.3%** |  |  |
| First American Government Obligations Fund - Class U, 4.27% <sup>(o)</sup> | 91401709 | 91401709 |
| **TOTAL SHORT-TERM INVESTMENTS** (Cost $91,401,709) | **TOTAL SHORT-TERM INVESTMENTS** (Cost $91,401,709) | 91401709 |
| **TOTAL INVESTMENTS - 106.8% (**Cost $3,174,650,594**)** | **TOTAL INVESTMENTS - 106.8% (**Cost $3,174,650,594**)** | 2944711368 |
| Liabilities in Excess of Other Assets - (6.8)% | Liabilities in Excess of Other Assets - (6.8)% | (187348852) |
| **TOTAL NET ASSETS - 100.0%** |  | $2757362516  |

---

---

| | |
|:---|:---|
| Percentages are stated as a percent of net assets. | –% |

---

---

| |
|:---|
| CMT - Constant Maturity Treasury |
| LIBOR - London Interbank Offered Rate |
| LP - Limited Partnership |
| SOFR - Secured Overnight Financing Rate |
| TBA – To be Announced |

---

(a) Security is exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified
 institutional buyers. As of April 30, 2025, the value of these securities total $1,948,489,357 or 70.7% of the Fund's net assets.

(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral
 increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of April 30, 2025.

(c) Interest only security.

(d) All or a portion of security has been pledged as collateral in connection with open credit agreements. At April 30, 2025, the value of securities pledged amounted to $246,609,018.

(e) Step coupon bond. The rate disclosed is as of April 30, 2025.

(f) Principal only security.

(g) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security's next scheduled coupon reset date.

(h) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope.
 Interest rate may also be subject to a cap or floor.

(i) Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities
 represented $13,173,751 or 0.5% of net assets as of April 30, 2025.

(j) Non-income producing security.

(k) Represents less than 0.05% of net assets.

(l) Issuer is currently in default and not accruing income.

(m) Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. As of April 30, 2025, the value of these securities total $2,007,874 or 0.1% of the
 Fund's net assets.

(n) Affiliated security as defined by the Investment Company Act of 1940.

(o) The rate shown represents the 7-day annualized effective yield as of April 30, 2025.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Consolidated Schedule of Open Futures Contracts** | **Consolidated Schedule of Open Futures Contracts** | **Consolidated Schedule of Open Futures Contracts** | **Consolidated Schedule of Open Futures Contracts** | **Consolidated Schedule of Open Futures Contracts** |
| **Short Futures Contracts** | **Contracts Purchased** | **Expiration Date** | **Notional Value** | **Value / Unrealized Appreciation (Depreciation)** |
| U.S. Treasury 5 Year Note | (2000) | 06/30/2025 | $(218390626) | $142210 |

---

The average monthly notional value of long and short futures during the period ended April 30, 2025, was $62,148,797 and $(54,597,657), respectively.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** | **Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection <sup>(a)</sup>** |
| **Reference Obligation** | **Implied Credit Spread at 04/30/25 <sup>(b)</sup>** | **Pay (Receive) Fixed Rate** | **Payment Frequency** | **Maturity Date** | **Counterparty** | <br>**Notional Amount <sup>(c)</sup>** | **Value** | **Premiums Paid (Received)** | **Unrealized Appreciation (Depreciation)** |
| Markit CDX.NA.IG <sup>(d)</sup> | 0.69% | 1.00% | Quarterly | 06/20/2030 | Wells Fargo Securities, LLC | <br> $250000000 | $(3725444) | $(3073773) | $(651671) |

---

(a) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an
 amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the
 notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(b) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on U.S. municipal issues, corporate issues or sovereign issues of
 an emerging country as of year-end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced
 entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater
 likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.

(c) The maximum potential amount the Fund could be required to pay as seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of
 that particular swap agreement.

(d) Centrally cleared swap, clearing agent: Intercontinental Exchange.

The average monthly notional value of long swaps during the period ended April 30, 2025, was $312,500,000.

------

**Securities Valuation and Fair Value Measurements (Unaudited)**

The Fund record its investments at fair value in accordance with fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs, if any, during the period. In addition, these standards require expanded disclosure for each major category of assets. These inputs are summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments based on the best information available)

The inputs or methodology used for valuing securities are not an indication of the risks associated with investing in those securities. Investments in registered open-end management investment companies, including money market funds, will be valued based upon the net asset value of such investments and are categorized as Level 1 of the fair value hierarchy.

Fair values for long-term debt securities, including asset-backed securities, mortgage-backed securities, collateralized loan obligations, corporate obligations, and whole loans are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs, including but not limited to, benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measurers calculated using factors such as cash flows, financial or collateral performance and other reference data. In addition to these inputs, cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information may be utilized. Securities that use similar valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable; the values generally would be categorized as Level 3.

Equity securities, including preferred stocks, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market<sup>®</sup>, Nasdaq Global Select Market<sup>®</sup> and the Nasdaq Capital Market<sup>®</sup> exchanges (collectively, "Nasdaq"), are valued at the last sale price at the close of that exchange. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price. If, on a particular day, an exchange-listed or Nasdaq security does not trade, then: (i) the security shall be valued at the mean between the most recent quoted bid and asked prices at the close of the exchange; or (ii) the security shall be valued at the latest sales price on the Composite Market (defined below) for the day such security is being valued. "Composite Market" means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter ("OTC") markets as published by a pricing service. In the event market quotations or Composite Market pricing are not readily available, fair value will be determined in accordance with the procedures adopted by the Board of Trustees ("Board"). All equity securities that are not traded on a listed exchange are valued at the last sale price at the close of the OTC market. If a non-exchange listed security does not trade on a particular day, then the mean between the last quoted bid and asked price will be used as long as it continues to reflect the value of the security. If the mean is not available, then bid price can be used as long as the bid price continues to reflect the value of the security. Otherwise, fair value will be determined in accordance with the procedures adopted by the Board. These securities will generally be categorized as Level 3 securities. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the Fund will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security.

Short term debt securities having a maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy. Reverse repurchase agreements and repurchase agreements are priced at their acquisition cost, and assessed for credit adjustments, which represents fair value. These securities will generally be categorized as Level 2 securities.

Financial derivative instruments, such as futures contracts, that are traded on a national securities or commodities exchange are typically valued at the settlement price determined by the relevant exchange. Swaps, such as credit default swaps, interest-rate swaps and currency swaps, are valued by a pricing service. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. OTC financial derivative instruments, such as certain futures contracts or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Derivatives that use similar valuation techniques as described above are typically categorized as Level 2 of the fair value hierarchy.

Securities may be fair valued in accordance with the fair valuation procedures approved by the Board. The Valuation and Risk Management Oversight Committee is generally responsible for overseeing the Fund's valuation processes and reports quarterly to the Board. The Board has selected Angel Oak Capital Advisors, LLC (the "Adviser") as the Valuation Designee. As such, the Valuation Committee of the Adviser has been delegated the day-to-day responsibilities for making all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if the prices obtained from independent pricing services are deemed to be unreliable indicators of market or fair value. Representatives of the Valuation Designee's Valuation Committee report quarterly to the Valuation and Risk Management Oversight Committee.

The following is a summary of the investments by their inputs used to value the Fund's net assets as of April 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **<u>Level 1</u>** | **<u>Level 2</u>** | **<u>Level 3</u>** | **<u>Total</u>** |
| **Assets** | | | | |
|  &nbsp;&nbsp;&nbsp;&nbsp;Residential Mortgage-Backed Securities | $– | $1353186368 | $10001 | $1353196369 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Residential Mortgage-Backed Securities - U.S. Government Agency | – | 492825180 | – | 492825180 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Asset-Backed Securities | – | 446279042 | – | 446279042 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Corporate Obligations | – | 184563051 | 150000 | 184713051 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Collateralized Loan Obligations | – | 143912622 | 3000000 | 146912622 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities | – | 119856965 | – | 119856965 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Affiliated Exchange Traded Funds | 36070038 | – | – | 36070038 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Commercial Real Estate | – | 8065499 | 10013750 | 18079249 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities - U.S. Government Agency | – | 16095284 | – | 16095284 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Common Stocks | 10507016 | 56389 | 0 | 10563405 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Preferred Stocks | 7380656 | – | – | 7380656 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer | – | 8733532 | – | 8733532 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Exchange Traded Funds | 5275509 | – | – | 5275509 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Whole Loans | – | 4826455 | – | 4826455 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Warrants | – | 2502302 | – | 2502302 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Short-Term Investments | 91401709 | – | – | 91401709 |
| **Total** | $150634928 | $2780902689 | $13173751 | $2944711368 |
| **Other Financial Instruments** |  |  |  |  |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts\* | $142210 | $– | $– | $142210 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Swaps\* | – | (651671) | – | (6516721) |
| **Total** | $142210 | $(651671) | $– | $(509461) |
| \*Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection. | \*Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection. | \*Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection. | \*Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection. | \*Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy Protection. |
| See the Consolidated Schedule of Investments for further disaggregation of investment. Level 3 holdings as of April 30, 2025, are immaterial and no further quantitative information about Level 3 Fair Value Measurements has been included. | See the Consolidated Schedule of Investments for further disaggregation of investment. Level 3 holdings as of April 30, 2025, are immaterial and no further quantitative information about Level 3 Fair Value Measurements has been included. | See the Consolidated Schedule of Investments for further disaggregation of investment. Level 3 holdings as of April 30, 2025, are immaterial and no further quantitative information about Level 3 Fair Value Measurements has been included. | See the Consolidated Schedule of Investments for further disaggregation of investment. Level 3 holdings as of April 30, 2025, are immaterial and no further quantitative information about Level 3 Fair Value Measurements has been included. | See the Consolidated Schedule of Investments for further disaggregation of investment. Level 3 holdings as of April 30, 2025, are immaterial and no further quantitative information about Level 3 Fair Value Measurements has been included. |

---

#### Transactions with Affiliates

The Fund's ownership of shares of affiliates represents holdings for which the Fund and the underlying investee fund have the same investment adviser or where the investee fund's investment adviser is under common control with the Fund's investment adviser.

The Fund had the following investments in affiliates during the period ended April 30, 2025:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Security Name** | <br>**Value as of** <br> **01/31/25** | <br>**Purchases** | <br>**Sales** | **Net Realized** <br> **Gain (Loss) on Investments in Affiliates** | <br>**Net Change in** <br> **Unrealized Appreciation/**<br> **Depreciation on Investments in Affiliates** | <br>**Value as of** <br> **04/30/25** | <br>**Share/Par <br> Balance** | <br>**Dividend** <br> **Income** |
| Angel Oak High Yield Opportunities ETF | $25121512 | $– | $(3836043) | $(184529) | $(339738) | $20761202 | $1915240 | $397550 |
| Angel Oak Income ETF | 19217083 | – | (4129939) | (685999) | 907691 | 15308836 | 1772882 | 219918 |
| Octavia Holdings | 8003750 | 446500 | – | – | (384751) | 8065499 | 8003750 | – |
| Geary | – | 7068750 | – | – | – | 7068750 | 7068750 | – |
| Leavenworth | – | 2945000 | – | – | – | 2945000 | 2945000 | – |
| **Total** | $52342345 | $10460250 | $(7965982) | $(870528) | $183202 | $54149287 | $21705622 | $617468 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 3344 Peachtree Road NE

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30326

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-04-30

**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:** $2975616762.90

**Total Liabilities:** $235250703.54

**Net Assets:** $2740366059.36

**Delayed Delivery Securities:** $115723263.90

**Cash Not Reported:** $9050498.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1421.740314805025 | **1-Year:** 16601.332693485034 | **5-Year:** 41468.230341394710 | **10-Year:** 348201.511078427300 | **30-Year:** 49173.647107338820

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

- **3-Month:** 7993.375948592466 | **1-Year:** 69114.103798110530 | **5-Year:** 238928.324564922400 | **10-Year:** 224172.583854612400 | **30-Year:** 58873.650331946200

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152733 | 1.46%                | 0.34%                | 0.21%                |
| Class ID C000152734 | 1.48%                | 0.36%                | 0.23%                |
| Class ID C000159180 | 1.30%                | 0.28%                | 0.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-14956502.22            | $40597882.24                               |
| Month 2  | $-5157952.90             | $1482643.97                                |
| Month 3  | $-10024562.88            | $3714306.53                                |

**Designated Index Information**

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

- **Index Identifier:** Q3RXYJ7DJO

### Schedule of Portfolio Investments

| Name                             | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AUF Funding LLC                  | AUF Funding LLC                                                                  | CUSIP: 002223AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    538148 | PA      | $538910.82    | 0.02%             | 2031-01-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3385522.06   | 0.12%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18819988 | PA      | $44659.83     | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC          | American Axle & Manufacturing Inc                                                | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |    600000 | PA      | $527082.60    | 0.02%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3186613 | PA      | $2702473.71   | 0.10%             | 2036-12-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 8 Ltd                                                   | CUSIP: 03331XAJ0<br>LEI: 549300XI0H54XLMCG667 | Long             | ABS-CBDO         | CORP              | KY        |   9350000 | PA      | $8651732.65   | 0.32%             | 2037-07-25      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                   | Apidos CLO XLIII Ltd                                                             | CUSIP: 03769UAJ7<br>LEI: 549300NZQZOTNS7ILQ86 | Long             | ABS-CBDO         | CORP              | JE        |   3800000 | PA      | $3813110.00   | 0.14%             | 2035-04-25      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec   | Arivo Acceptance Auto Loan Receivables Trust 2022-1                              | CUSIP: 04047EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $485638.30    | 0.02%             | 2029-09-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4766928.00   | 0.17%             | 2041-02-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $293281.20    | 0.01%             | 2029-07-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAD4<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |    926072 | PA      | $880974.08    | 0.03%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur   | Bridgecrest Lending Auto Securitization Trust 2023-1                             | CUSIP: 108056AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8735696.00   | 0.32%             | 2030-07-15      | Fixed         | 10.37%                | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd          | Bryant Park Funding 2023-20 Ltd                                                  | CUSIP: 117651AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2758937.50   | 0.10%             | 2036-07-15      | Floating      | 12.89%                | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2025-BIO3 Mortgage Trust                                                      | CUSIP: 123911AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1736609.00   | 0.06%             | 2042-02-10      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-NR1 LLC                                                                | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5668510 | PA      | $5765283.28   | 0.21%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-12                                          | CUSIP: 125432AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12862297 | PA      | $53314.22     | 0.00%             | 2036-07-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10125738 | PA      | $5952708.73   | 0.22%             | 2060-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18246491 | PA      | $600601.50    | 0.02%             | 2056-11-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $779637.00    | 0.03%             | 2066-02-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2022-D                                                | CUSIP: 12663UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4513250.07   | 0.16%             | 2030-06-17      | Fixed         | 12.12%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13234185 | PA      | $986754.09    | 0.04%             | 2035-11-20      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2563515 | PA      | $1334225.06   | 0.05%             | 2035-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |   2948553 | PA      | $2479388.46   | 0.09%             | 2047-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CONCENTRA HEALTH SERVICE         | Concentra Health Services Inc                                                    | CUSIP: 20600DAA1<br>LEI: 984500GB84105F75DE32 | Long             | DBT              | CORP              | US        |    600000 | PA      | $615027.93    | 0.02%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAE6<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |    800000 | PA      | $771988.80    | 0.03%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-A                                                | CUSIP: 22411CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1032515.20   | 0.04%             | 2031-08-15      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAD4<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |   1706732 | PA      | $1484776.35   | 0.05%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $647749.96    | 0.02%             | 2051-07-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1963761 | PA      | $1147378.56   | 0.04%             | 2051-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2014-3R                                            | CUSIP: 65540LCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3531609 | PA      | $2747439.90   | 0.10%             | 2037-03-26      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust         | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715000 | PA      | $931771.51    | 0.03%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF2 LLC                                                               | CUSIP: 693987AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1880512.00   | 0.07%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                | Post Holdings Inc                                                                | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    900000 | PA      | $892132.38    | 0.03%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust          | PowerPay Issuance Trust 2024-1                                                   | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    708442 | PA      | $725902.29    | 0.03%             | 2039-02-18      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust       | Progress Residential 2023-SFR2 Trust                                             | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $776530.40    | 0.03%             | 2040-10-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru   | Provident Funding Mortgage Trust 2024-1                                          | CUSIP: 74389BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4226909 | PA      | $4225124.86   | 0.15%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1278924 | PA      | $990138.07    | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98568 | PA      | $48428.95     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust    | Radian Mortgage Capital Trust 2025-J1                                            | CUSIP: 749971AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10368323 | PA      | $10335735.43  | 0.38%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14951 | PA      | $0.15         | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1741958 | PA      | $1377676.62   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359369 | PA      | $165218.83    | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CEW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276945 | PA      | $136258.62    | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173456 | PA      | $114558.05    | 0.00%             | 2035-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QA13 Trust                                                      | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3174584 | PA      | $2849296.73   | 0.10%             | 2035-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2209616 | PA      | $1819146.21   | 0.07%             | 2036-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR2                          | CUSIP: 86359LHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6607760 | PA      | $9739.84      | 0.00%             | 2045-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC               | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2345350.26   | 0.09%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust            | Theorem Funding Trust 2022-2                                                     | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4280393.46   | 0.16%             | 2028-12-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2022-1                                                          | CUSIP: 91530PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8570148 | PA      | $8595789.47   | 0.31%             | 2035-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2022-1                                                          | CUSIP: 91530PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9682660.00   | 0.35%             | 2035-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST6                                       | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5450000 | PA      | $1173953.92   | 0.04%             | 2027-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST3                                       | CUSIP: 91681PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11400000 | PA      | $784569.02    | 0.03%             | 2027-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-INV2                                             | CUSIP: 924923AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1411310.60   | 0.05%             | 2067-10-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2356651.30   | 0.09%             | 2068-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2024-INV2                                             | CUSIP: 92540NAE3<br>LEI: 2138002Y4WGHSN8NFF24 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1484550.00   | 0.05%             | 2069-08-26      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES1                                       | CUSIP: 92839HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1061192.00   | 0.04%             | 2054-05-25      | Variable      | 10.35%                | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust Series 2024-CES2                                | CUSIP: 92841YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996908.00    | 0.04%             | 2054-10-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| WALKER & DUNLOP INC              | Walker & Dunlop Inc                                                              | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $610878.00    | 0.02%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T   | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672018 | PA      | $611049.23    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-17 Trust                             | CUSIP: 94986QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15019 | PA      | $9681.64      | 0.00%             | 2038-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818000 | PA      | $997169.36    | 0.04%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1463083.35   | 0.05%             | 2035-07-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNF4<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |  11770452 | PA      | $11610009.33  | 0.42%             | 2059-07-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98372NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2004490.00   | 0.07%             | 2025-06-06      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC         | Acadia Healthcare Co Inc                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3901483.95   | 0.14%             | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6508287.18   | 0.24%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                     | Ares LVIII CLO Ltd                                                               | CUSIP: 04018ABJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2951283.00   | 0.11%             | 2038-04-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REK6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $519310.06    | 0.02%             | 2027-08-20      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3266194.75   | 0.12%             | 2042-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| BCC Middle Market CLO            | BCC Middle Market CLO 2023-2 LLC                                                 | CUSIP: 05554QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10047570.00  | 0.37%             | 2035-10-21      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-A Trust                                             | CUSIP: 05952DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648388 | PA      | $577900.40    | 0.02%             | 2047-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO 2023-II Ltd                                            | CUSIP: 067934AC3<br>LEI: 2549007Y0JXPKK7NLK37 | Long             | ABS-CBDO         | CORP              | BM        |   5000000 | PA      | $5000935.00   | 0.18%             | 2032-01-20      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition    | Bayview Financial Mortgage Pass-Through Trust 2005-D                             | CUSIP: 07325NBX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151737 | PA      | $121530.35    | 0.00%             | 2035-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu   | Bear Stearns Asset Backed Securities I Trust 2005-AC5                            | CUSIP: 073879ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1107958 | PA      | $722560.25    | 0.03%             | 2035-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2023-1 Ltd                                                         | CUSIP: 07876XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    538000 | PA      | $579522.30    | 0.02%             | 2033-10-25      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    222099 | PA      | $225460.51    | 0.01%             | 2037-08-24      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650223 | PA      | $1659913.30   | 0.06%             | 2039-08-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1267037 | PA      | $685772.21    | 0.03%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64687 | PA      | $35263.13     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97666 | PA      | $52419.44     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-41                                                   | CUSIP: 12667GS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525958 | PA      | $7559.65      | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-58R                                 | CUSIP: 12668AP66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34128300 | PA      | $341453.64    | 0.01%             | 2035-12-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-HY10                                                 | CUSIP: 12668BA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2336912 | PA      | $43197.82     | 0.00%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6542484 | PA      | $65.42        | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N3                                           | CUSIP: 14686RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4197923.20   | 0.15%             | 2030-09-10      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N1                                           | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1013217 | PA      | $994031.49    | 0.04%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2024-P2                                           | CUSIP: 14688PAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432000 | PA      | $443731.87    | 0.02%             | 2031-06-10      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2024-P3                                           | CUSIP: 146919AG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544000 | PA      | $540773.05    | 0.02%             | 2032-09-10      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN         | Clarios Global LP / Clarios US Finance Co                                        | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2036600.00   | 0.07%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP            | Clearwater Paper Corp                                                            | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1303134.00   | 0.05%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae                                                                       | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | CORP              | US        |  50000000 | PA      | $49988865.50  | 1.82%             | 2053-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7553391 | PA      | $7396967.91   | 0.27%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3167750 | PA      | $3201141.05   | 0.12%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3386630 | PA      | $3007201.96   | 0.11%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1204468 | PA      | $833864.27    | 0.03%             | 2052-02-26      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4571705 | PA      | $3758430.41   | 0.14%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-3                                         | CUSIP: 36267PAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2666104.75   | 0.10%             | 2030-08-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ6                                     | CUSIP: 36268FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2693038 | PA      | $2762483.80   | 0.10%             | 2054-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2024-4                                         | CUSIP: 36270YAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1491574.05   | 0.05%             | 2031-08-15      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-CCM1                                    | CUSIP: 362918AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2328032.40   | 0.08%             | 2053-08-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-PJ3                                     | CUSIP: 362924AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4114311 | PA      | $3361741.97   | 0.12%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE&DOCK          | Great Lakes Dredge & Dock Corp                                                   | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1073873.98   | 0.04%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2023-9                                                  | CUSIP: 465988AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2976232 | PA      | $2690252.15   | 0.10%             | 2054-04-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512639 | PA      | $2204376.08   | 0.08%             | 2054-12-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                    | Methanex Corp                                                                    | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |    305000 | PA      | $290036.18    | 0.01%             | 2029-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust     | Morgan Stanley Resecuritization Trust 2015-R4                                    | CUSIP: 61690WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010309 | PA      | $894114.37    | 0.03%             | 2047-08-26      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7392600 | PA      | $0.00         | 0.00%             | 2036-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD              | NCL Corp Ltd                                                                     | CUSIP: 62886HBP5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1350000 | PA      | $1318092.48   | 0.05%             | 2030-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC           | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2487090.50   | 0.09%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4952711 | PA      | $3734334.36   | 0.14%             | 2057-12-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz   | NRM FHT1 Excess Owner LLC                                                        | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2006986.00   | 0.07%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2023-1                                                  | CUSIP: 67571BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6038000 | PA      | $6224542.80   | 0.23%             | 2030-08-20      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-1                                                  | CUSIP: 67571FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512000 | PA      | $508664.52    | 0.02%             | 2031-08-20      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 14 2023 Ltd                                                       | CUSIP: 72134DAA7<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |   4600000 | PA      | $4641197.60   | 0.17%             | 2036-04-20      | Floating      | 12.85%                | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-MBS          | CORP              | US        |    927464 | PA      | $940523.73    | 0.03%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RPL4 LLC                                                               | CUSIP: 74448MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2936000 | PA      | $2774393.75   | 0.10%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $408493.76    | 0.01%             | 2028-08-15      | Fixed         | 10.18%                | No            |                  2 | On Loan: No      |
| PRIMIS FINANCIAL CORP            | Primis Financial Corp                                                            | CUSIP: 843395AA2<br>LEI: 549300JNX3M2EENG1F11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $981921.62    | 0.04%             | 2027-01-31      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| N/A                              | CDX44IG CDS (BUY PROTECTION)                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-3725444.45  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032658<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  40000000 | PA      | $36104882.00  | 1.32%             | 2041-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050650<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9790506.00   | 0.36%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| B&G FOODS INC                    | B&G Foods Inc                                                                    | CUSIP: 05508WAC9<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | DBT              | CORP              | US        |    390000 | PA      | $387420.35    | 0.01%             | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119165 | PA      | $67650.10     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO Ltd 2018-I                                             | CUSIP: 06761NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    428329 | PA      | $12849.86     | 0.00%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    178132 | PA      | $176960.39    | 0.01%             | 2037-04-26      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD           | Calumet Specialty Products Partners LP / Calumet Finance Corp                    | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $447972.50    | 0.02%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO              | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAQ9<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |   8500000 | PA      | $8548254.50   | 0.31%             | 2037-01-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi   | CARLYLE US CLO 2023-2 LTD                                                        | CUSIP: 14318HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3016608.00   | 0.11%             | 2036-07-20      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| CHAMP ACQUISITION CORP           | Champ Acquisition Corp                                                           | CUSIP: 15807XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $633586.20    | 0.02%             | 2031-12-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3447683 | PA      | $3407827.83   | 0.12%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-8 Mortgage Loan Trust                                                  | CUSIP: 19688MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1160885.70   | 0.04%             | 2067-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2023-2                                                          | CUSIP: 30333LAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688000 | PA      | $741934.93    | 0.03%             | 2030-10-15      | Fixed         | 9.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140A0AH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4665091 | PA      | $4649757.24   | 0.17%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ANNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1476090 | PA      | $1452497.99   | 0.05%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AUDG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2960717 | PA      | $2893967.44   | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9433063 | PA      | $9413847.55   | 0.34%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XPCS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10844549 | PA      | $10627170.05  | 0.39%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L         | First Quantum Minerals Ltd                                                       | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1882194.72   | 0.07%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1914044 | PA      | $1684954.13   | 0.06%             | 2035-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3939983 | PA      | $3288932.12   | 0.12%             | 2051-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 437566069 | PA      | $217032.77    | 0.01%             | 2051-09-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12944265 | PA      | $456350.05    | 0.02%             | 2052-06-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737192 | PA      | $541878.29    | 0.02%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $804216.00    | 0.03%             | 2037-05-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4584946 | PA      | $6914.10      | 0.00%             | 2035-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21185628 | PA      | $211.86       | 0.00%             | 2035-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-10                                           | CUSIP: 41161PTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22308582 | PA      | $223.09       | 0.00%             | 2035-11-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6958553 | PA      | $69.59        | 0.00%             | 2035-10-19      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-13                                           | CUSIP: 41161PWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11246588 | PA      | $112.47       | 0.00%             | 2036-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-14                                           | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15147616 | PA      | $13982052.40  | 0.51%             | 2047-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14655351 | PA      | $11849349.53  | 0.43%             | 2037-08-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LP                                                   | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12935000 | PA      | $12303466.73  | 0.45%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAR0<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3772969.60   | 0.14%             | 2028-06-26      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $837454.96    | 0.03%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2021-2 Ltd                                                               | CUSIP: 43730VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   8250000 | PA      | $8307527.25   | 0.30%             | 2034-01-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| ICNQ Mortgage Trust              | ICNQ 2024-MF Mortgage Trust                                                      | CUSIP: 450953AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3280348.50   | 0.12%             | 2034-12-10      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-14                                               | CUSIP: 46653QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6070963 | PA      | $5079751.07   | 0.19%             | 2052-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-3                                              | CUSIP: 69544TAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1808551.80   | 0.07%             | 2032-12-15      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-8                                              | CUSIP: 69548PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499888 | PA      | $2539728.46   | 0.09%             | 2032-01-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-1                                              | CUSIP: 69548VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3760000 | PA      | $3687168.05   | 0.13%             | 2032-07-15      | Fixed         | 10.08%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-2                                              | CUSIP: 69548YAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $938833.40    | 0.03%             | 2032-10-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Post CLO LTD                     | Post CLO 2023-1 Ltd                                                              | CUSIP: 73743CAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003268.00   | 0.04%             | 2036-04-20      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2401824 | PA      | $1699727.68   | 0.06%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5197193 | PA      | $3630608.32   | 0.13%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245000 | PA      | $1008146.44   | 0.04%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| STRIKE ACCEPTANCE AUTO FUNDING   | Strike Acceptance Auto Funding Trust 2025-1                                      | CUSIP: 86332RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $996388.20    | 0.04%             | 2032-04-15      | Fixed         | 8.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3533618 | PA      | $35.34        | 0.00%             | 2034-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR3                          | CUSIP: 86359LKC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9043078 | PA      | $16024.33     | 0.00%             | 2035-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22454243 | PA      | $743010.89    | 0.03%             | 2036-08-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2018-5                                                 | CUSIP: 89176VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2073192.00   | 0.08%             | 2058-07-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC              | TreeHouse Foods Inc                                                              | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |    600000 | PA      | $538964.28    | 0.02%             | 2028-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXII Ltd                                                            | CUSIP: 89640NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3000000 | PA      | $3002880.00   | 0.11%             | 2036-07-20      | Floating      | 12.98%                | No            |                  2 | On Loan: No      |
| Upgrade Receivables Trust        | Upgrade Receivables Trust 2024-1                                                 | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1022372.80   | 0.04%             | 2031-02-18      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-3                                              | CUSIP: 91678W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25442 | PA      | $32728.89     | 0.00%             | 2030-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2102295.00   | 0.08%             | 2067-02-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAU8<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2730727.84   | 0.10%             | 2031-01-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage   | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust   | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       198 | PA      | $156.06       | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNH0<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $6551014.80   | 0.24%             | 2059-07-25      | Floating      | 12.85%                | No            |                  2 | On Loan: No      |
| XCAL 2019-IL-1 Mortgage Trust    | XCAL 2019-IL-1 MORTGAGE TRUST                                                    | CUSIP: 98370LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5129931 | PA      | $518.12       | 0.00%             | 2026-11-06      | Floating      | 20.08%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAD2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3486063.00   | 0.13%             | 2025-09-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAV2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    658203 | PA      | $639045.99    | 0.02%             | 2025-06-06      | Floating      | 13.08%                | No            |                  2 | On Loan: No      |
| XPO INC                          | XPO Inc                                                                          | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256171.00    | 0.01%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ZEBRA TECHNOLOGIES CORP          | Zebra Technologies Corp                                                          | CUSIP: 989207AD7<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502815.62    | 0.02%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP             | AGNC Investment Corp                                                             | CUSIP: 00123Q807<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     66529 | NS      | $1666551.45   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| AREIT CRE Trust                  | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1687017.10   | 0.06%             | 2041-05-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust           | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $877696.40    | 0.03%             | 2029-06-11      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $905753.34    | 0.03%             | 2029-02-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-X1                                        | CUSIP: 00834XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10885 | PA      | $271437.08    | 0.01%             | 2029-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| American Heritage Auto Receiva   | American Heritage Auto Receivables Trust 2024-1                                  | CUSIP: 026944AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $767584.50    | 0.03%             | 2033-01-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2022-1                                                     | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1519866.00   | 0.06%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL2 Trust                                                             | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9609107 | PA      | $9194320.66   | 0.34%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2013-RR1 Trust                                                          | CUSIP: 05490BBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2760590 | PA      | $1795023.84   | 0.07%             | 2036-05-26      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC            | Belron UK Finance PLC                                                            | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $599832.87    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1      | Boston Lending Trust 2021-1                                                      | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3551792 | PA      | $3316648.88   | 0.12%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAC6<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |   1389108 | PA      | $1364454.00   | 0.05%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698375 | PA      | $797541.72    | 0.03%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 292925261 | PA      | $500609.27    | 0.02%             | 2056-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 101614004 | PA      | $172032.51    | 0.01%             | 2056-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP             | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187083.62    | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1622972.00   | 0.06%             | 2067-01-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 276772998 | PA      | $490995.30    | 0.02%             | 2067-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC         | Encore Capital Group Inc                                                         | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    500000 | PA      | $519198.10    | 0.02%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-2                                       | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9300000 | PA      | $8587015.50   | 0.31%             | 2029-10-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2025-1                                       | CUSIP: 30167MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1989000 | PA      | $1998757.84   | 0.07%             | 2032-09-15      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-6                                       | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2750871.50   | 0.10%             | 2030-06-17      | Fixed         | 11.61%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2023-2                                       | CUSIP: 30168CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2640000 | PA      | $2841287.86   | 0.10%             | 2030-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2934639 | PA      | $2931410.54   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7739401 | PA      | $7000401.52   | 0.26%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QT3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4332124 | PA      | $4401987.91   | 0.16%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XQMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4504384 | PA      | $4498024.06   | 0.16%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XRN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25719135 | PA      | $25731043.35  | 0.94%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487563 | PA      | $2477817.02   | 0.09%             | 2026-06-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                 | GGAM Finance Ltd                                                                 | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $411020.00    | 0.01%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8161120 | PA      | $8146723.70   | 0.30%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382857 | PA      | $1278156.78   | 0.05%             | 2047-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26038368 | PA      | $249004.92    | 0.01%             | 2050-03-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ6                                     | CUSIP: 36270CCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1584000 | PA      | $1355827.97   | 0.05%             | 2054-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ8                                     | CUSIP: 36272LCS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1734000 | PA      | $1362330.97   | 0.05%             | 2055-02-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $874208.07    | 0.03%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | GoodLeap Sustainable Home Solutions Trust 2021-3                                 | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    993535 | PA      | $762697.24    | 0.03%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | Goodleap Sustainable Home Solutions Trust 2023-2                                 | CUSIP: 38237AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $582993.18    | 0.02%             | 2055-05-20      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20568506 | PA      | $245917.06    | 0.01%             | 2045-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-9                                            | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1504738 | PA      | $1330940.66   | 0.05%             | 2034-12-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1478426 | PA      | $1338791.22   | 0.05%             | 2037-08-19      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS           | Helix Energy Solutions Group Inc                                                 | CUSIP: 42330PAL1<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |    950000 | PA      | $962796.50    | 0.04%             | 2029-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                   | Hertz Corp/The                                                                   | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    350000 | PA      | $340765.29    | 0.01%             | 2029-07-15      | Fixed         | 12.62%                | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2004-2                                                   | CUSIP: 43739EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806100 | PA      | $773813.67    | 0.03%             | 2034-12-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2366000 | PA      | $2028061.85   | 0.07%             | 2054-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Kingstone Cos Inc                | Kingstone Cos Inc                                                                | CUSIP: 496719105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    122236 | NS      | $2078012.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-9                                                     | CUSIP: 52522XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10414 | PA      | $8361.92      | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20887055 | PA      | $88477.57     | 0.00%             | 2036-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403 | PA      | $0.00         | 0.00%             | 2037-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD         | Macquarie Airfinance Holdings Ltd                                                | CUSIP: 55609NAB4<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $209327.40    | 0.01%             | 2029-03-30      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIV Ltd        | Marble Point Clo XXIV Ltd                                                        | CUSIP: 56607XAA4<br>LEI: 549300110Z5KVNWF6X83 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2996187.00   | 0.11%             | 2035-04-20      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2022-3                                                    | CUSIP: 57109NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3820000 | PA      | $3855885.84   | 0.14%             | 2032-11-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG2                                      | CUSIP: 585494CJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576205 | PA      | $1143440.30   | 0.04%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499000 | PA      | $1071758.02   | 0.04%             | 2048-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2003-OPT1                          | CUSIP: 5899295M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558243 | PA      | $1280455.05   | 0.05%             | 2034-07-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF1                           | CUSIP: 59023RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626264 | PA      | $660069.70    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP              | Medline Borrower LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    900000 | PA      | $855555.86    | 0.03%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NBBLUE 2025-1A B                 | NBBLUE 2025-1A B                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.11%             | 2040-04-15      | Fixed         | 9.74%                 | No            |                  3 | On Loan: No      |
| NARRAGANSETT FINANCIAL           | Narragansett Financial Corp                                                      | CUSIP: 631004AE8<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   2000000 | PA      | $1839976.48   | 0.07%             | 2031-05-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC           | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1246071.60   | 0.05%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers   | Neuberger Berman Loan Advisers LaSalle Street Lending CLO II Ltd                 | CUSIP: 64135QAA4<br>LEI: 254900IOVQ7KBVZKPZ16 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001670.00   | 0.07%             | 2038-04-20      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2023-NQM3 Trust                                                             | CUSIP: 69380TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $773381.25    | 0.03%             | 2068-11-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-3                                                                      | CUSIP: 693986AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1019585.00   | 0.04%             | 2029-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                   | PMT Loan Trust 2025-INV4                                                         | CUSIP: 73015DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4971210.00   | 0.18%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287306 | PA      | $922146.18    | 0.03%             | 2036-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4392335 | PA      | $3647153.41   | 0.13%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860195 | PA      | $738221.31    | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN         | RHP Hotel Properties LP / RHP Finance Corp                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $249414.45    | 0.01%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust      | SBNA Auto Receivables Trust 2024-A                                               | CUSIP: 78437PAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1031569.20   | 0.04%             | 2032-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26202262 | PA      | $2986664.88   | 0.11%             | 2050-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1251227.50   | 0.05%             | 2030-01-25      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                  | Sealed Air Corp                                                                  | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305371.86    | 0.01%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2005-2                                                    | CUSIP: 81744FHD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2924061 | PA      | $0.00         | 0.00%             | 2035-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2021-1                                                    | CUSIP: 81747KCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362213 | PA      | $1468845.53   | 0.05%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST    | Skopos Auto Receivables Trust 2019-1                                             | CUSIP: 83085DAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965183 | PA      | $968274.20    | 0.04%             | 2026-06-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET         | Smyrna Ready Mix Concrete LLC                                                    | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1858566.89   | 0.07%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI         | Standard Building Solutions Inc                                                  | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1216012.39   | 0.04%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2018-2                                                 | CUSIP: 89175VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2111424.00   | 0.08%             | 2058-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-3                                                 | CUSIP: 89183FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1535429.31   | 0.06%             | 2065-07-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS         | Univision Communications Inc                                                     | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    800000 | PA      | $777837.92    | 0.03%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2021-PT2                                   | CUSIP: 91531XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    583783 | PA      | $534466.52    | 0.02%             | 2027-05-15      | Variable      | 17.88%                | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2024-1                                              | CUSIP: 92512WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3698925.65   | 0.13%             | 2031-05-15      | Fixed         | 9.87%                 | No            |                  2 | On Loan: No      |
| HELIOS 2024-1                    | HELIOS 2024-1                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGSE             | US        |  60781622 | PA      | $64330478.42  | 2.35%             | 2034-06-06      | Fixed         | 12.63%                | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd            | Black Diamond CLO 2022-1 Ltd                                                     | CUSIP: 09203GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2523222.50   | 0.09%             | 2035-10-25      | Floating      | 11.78%                | No            |                  2 | On Loan: No      |
| BROOKLINE BANCORP INC            | Brookline Bancorp Inc                                                            | CUSIP: 11373MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $980093.73    | 0.04%             | 2029-09-15      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1388451.00   | 0.05%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667516 | PA      | $1452776.51   | 0.05%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                    | Carnival Corp                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    600000 | PA      | $595301.52    | 0.02%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                  | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1333909 | PA      | $767688.59    | 0.03%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                   | ACHV ABS Trust 2024-3AL                                                          | CUSIP: 00092KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1709553.65   | 0.06%             | 2031-12-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-2                                            | CUSIP: 00703AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1604261 | PA      | $1314470.24   | 0.05%             | 2037-06-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4501269.00   | 0.16%             | 2041-07-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| ARIS WATER HOLDINGS LLC          | Aris Water Holdings LLC                                                          | CUSIP: 04041NAA0<br>LEI: 5493007AWQW8ZKCHVV46 | Long             | DBT              | CORP              | US        |    450000 | PA      | $446971.92    | 0.02%             | 2030-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL2 Trust                                                             | CUSIP: 049919AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9120530.00   | 0.33%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS D         | Axalta Coating Systems Dutch Holding B BV                                        | CUSIP: 05455JAA5<br>LEI: 5493007DMEBZH3CQ5E51 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $622032.00    | 0.02%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC              | Axon Enterprise Inc                                                              | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1226072.40   | 0.04%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2024-NASH                             | CUSIP: 05555CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2384155.20   | 0.09%             | 2039-05-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Builders Capital Loan Acquisit   | Builders Capital Loan Acquisition Trust 2024-NPL1                                | CUSIP: 12007KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5116055.00   | 0.19%             | 2029-09-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3631997 | PA      | $2945981.43   | 0.11%             | 2036-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2023-2 Mortgage Loan Trust                                                  | CUSIP: 12598UAE6<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2038928.00   | 0.07%             | 2068-07-25      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450914 | PA      | $1284788.58   | 0.05%             | 2066-10-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16743756 | PA      | $105468.92    | 0.00%             | 2056-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE         | CVR Partners LP / CVR Nitrogen Finance Corp                                      | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1644713.79   | 0.06%             | 2028-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM4 Trust                                                             | CUSIP: 12665EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9420495 | PA      | $9433325.89   | 0.34%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP             | Capstone Copper Corp                                                             | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1868248.66   | 0.07%             | 2033-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CARS.COM INC                     | Cars.com Inc                                                                     | CUSIP: 14575EAA3<br>LEI: 5493002G6J07LNGX4M98 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2064952.89   | 0.08%             | 2028-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N2                                           | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13718770 | PA      | $13206122.89  | 0.48%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N2                                           | CUSIP: 14686LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4208768.00   | 0.15%             | 2030-04-10      | Fixed         | 9.94%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N1                                           | CUSIP: 14688FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5369292.00   | 0.20%             | 2030-04-10      | Fixed         | 10.46%                | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust           | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2761095.00   | 0.10%             | 2046-02-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Home Lending Mortgage Trust 2024-10                                        | CUSIP: 16159YAB6<br>LEI: 529900OE9S6KWRJHHJ57 | Long             | ABS-MBS          | CORP              | US        |   2742436 | PA      | $2734976.66   | 0.10%             | 2055-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |   2569876 | PA      | $2374326.01   | 0.09%             | 2046-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   8057384 | PA      | $7500151.74   | 0.27%             | 2047-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR4                                                | CUSIP: 23332UCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9453857 | PA      | $680.68       | 0.00%             | 2045-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4888651 | PA      | $4665675.18   | 0.17%             | 2047-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3000000 | PA      | $3104409.00   | 0.11%             | 2034-04-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                       | EZCORP Inc                                                                       | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1495380.88   | 0.05%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ARQC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20204121 | PA      | $19754923.13  | 0.72%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2977823 | PA      | $2912549.45   | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6817314 | PA      | $5686528.51   | 0.21%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8717891 | PA      | $8885728.04   | 0.32%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUW7<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |   1647094 | PA      | $1663068.79   | 0.06%             | 2042-04-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2022-NQM5 Trust                                                             | CUSIP: 36168WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1779732 | PA      | $1809840.10   | 0.07%             | 2067-08-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7963137 | PA      | $7798228.60   | 0.28%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3537267 | PA      | $3383318.37   | 0.12%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $5106366.79   | 0.19%             | 2037-02-26      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $39891.15     | 0.00%             | 2031-07-15      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2020-RPL1                                    | CUSIP: 36260AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6323000 | PA      | $5171853.59   | 0.19%             | 2059-07-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 754727799 | PA      | $652084.82    | 0.02%             | 2051-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $922456.50    | 0.03%             | 2052-02-26      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821257 | PA      | $674395.65    | 0.02%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ4                                     | CUSIP: 36270XAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2769391 | PA      | $2801859.49   | 0.10%             | 2054-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2025-1                                         | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $982046.20    | 0.04%             | 2032-03-15      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-2                                         | CUSIP: 379928AL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3216372.90   | 0.12%             | 2030-01-15      | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500515 | PA      | $7272273.36   | 0.27%             | 2051-06-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $802850.40    | 0.03%             | 2037-05-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-11                                           | CUSIP: 41161PUN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6614585 | PA      | $66.15        | 0.00%             | 2045-08-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2023-1 Ltd                                                               | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3174930.00   | 0.12%             | 2033-10-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| Invitation Homes Trust           | Invitation Homes 2024-SFR1 Trust                                                 | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2994870 | PA      | $2896635.06   | 0.11%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834301 | PA      | $745984.18    | 0.03%             | 2050-02-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159000 | PA      | $2016607.47   | 0.07%             | 2050-02-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198231 | PA      | $176704.89    | 0.01%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733138 | PA      | $1346024.36   | 0.05%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Wealth Management 2020-ATR1                                             | CUSIP: 46652HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2980398 | PA      | $2613886.92   | 0.10%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2961461 | PA      | $2517419.18   | 0.09%             | 2050-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-4                                           | CUSIP: 46657WBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3008007 | PA      | $2836009.26   | 0.10%             | 2054-10-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN         | Jefferson Capital Holdings LLC                                                   | CUSIP: 472481AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    730000 | PA      | $765906.51    | 0.03%             | 2029-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL   | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1828874 | PA      | $1837445.65   | 0.07%             | 2028-12-26      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 9 Ltd                                                   | CUSIP: 03330HBS5<br>LEI: 549300SMHL6F6G4VTM11 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2778126.00   | 0.10%             | 2037-10-25      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage-Backed Secu   | Angel Oak Mortgage-Backed Securities ETF                                         | CUSIP: 03463K737<br>LEI: 254900TSW167NT37XY19 | Long             | EC               | RF                | US        |   1778882 | NS      | $15360646.07  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA BANKING SYSTEM          | Columbia Banking System Inc                                                      | CUSIP: 061591AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2482322.63   | 0.09%             | 2025-12-10      | Variable      | 9.84%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M   | Bear Stearns ARM Trust 2005-6                                                    | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1105012 | PA      | $960917.61    | 0.04%             | 2035-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2025-1CON                                               | CUSIP: 08860AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1982276.40   | 0.07%             | 2036-04-17      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2024-1CON                                               | CUSIP: 08862HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $826194.08    | 0.03%             | 2035-04-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                 | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAG8<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1992392.00   | 0.07%             | 2031-07-18      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517907 | PA      | $858089.26    | 0.03%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69930 | PA      | $38490.90     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2023-2 Mortgage Loan Trust                                                  | CUSIP: 12598UAF3<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |   2260000 | PA      | $2275955.60   | 0.08%             | 2068-07-25      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-A                                    | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1799489.34   | 0.07%             | 2032-08-16      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 165773804 | PA      | $3768038.55   | 0.14%             | 2060-01-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-3R                                                              | CUSIP: 12648GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391142 | PA      | $307212.65    | 0.01%             | 2036-03-27      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6891816 | PA      | $5978457.70   | 0.22%             | 2057-08-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2021-B                                                | CUSIP: 12656QAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428850 | PA      | $425833.74    | 0.02%             | 2028-06-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362000 | PA      | $2062118.12   | 0.08%             | 2067-02-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-14                                                   | CUSIP: 12667GCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9665458 | PA      | $63328.08     | 0.00%             | 2035-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAL Receivables LLC              | CAL Receivables 2022-1 LLC                                                       | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   5934370 | PA      | $5919509.45   | 0.22%             | 2026-10-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N4                                           | CUSIP: 14687HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14895947 | PA      | $14313373.82  | 0.52%             | 2028-09-11      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4               | CUSIP: 16678RFZ5<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |  14604414 | PA      | $184818.86    | 0.01%             | 2037-04-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                 | Cinemark USA Inc                                                                 | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1228234.80   | 0.04%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,    | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973R35<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     27310 | PA      | $19054.34     | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2525225 | PA      | $2259808.51   | 0.08%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATI         | Consolidated Communications Inc                                                  | CUSIP: 20903XAF0<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2362056.00   | 0.09%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                   | Dcli Bidco LLC                                                                   | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |    600000 | PA      | $559575.12    | 0.02%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR1                                                | CUSIP: 23332UAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10884684 | PA      | $4419.18      | 0.00%             | 2044-09-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: 23332UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10027007 | PA      | $9826.47      | 0.00%             | 2044-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3142556 | PA      | $1658924.07   | 0.06%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2331791 | PA      | $2146789.47   | 0.08%             | 2036-06-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,    | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2009-RS6        | CUSIP: 25158HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6161479 | PA      | $5711623.05   | 0.21%             | 2037-08-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1838038.55   | 0.07%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-NQM1                                                                   | CUSIP: 26846CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4532000 | PA      | $4496650.40   | 0.16%             | 2070-01-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-NQM1                                                                   | CUSIP: 26846CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5008000 | PA      | $4663359.46   | 0.17%             | 2070-01-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| East West Investment Managemen   | CIFC Falcon 2020 Ltd                                                             | CUSIP: 27580XAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4965175.00   | 0.18%             | 2033-01-20      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC           | EquipmentShare.com Inc                                                           | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1936199.88   | 0.07%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-2                                                          | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128000 | PA      | $1164715.50   | 0.04%             | 2031-09-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CQHA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10872337 | PA      | $11078247.76  | 0.40%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2865383 | PA      | $2800782.66   | 0.10%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343000 | PA      | $682008.98    | 0.02%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 305784984 | PA      | $261751.95    | 0.01%             | 2051-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430360 | PA      | $3501721.95   | 0.13%             | 2047-04-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270026 | PA      | $1289939.79   | 0.05%             | 2047-04-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2755245 | PA      | $2811735.58   | 0.10%             | 2057-10-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1692018 | PA      | $1760517.39   | 0.06%             | 2057-10-25      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6690285 | PA      | $7026438.42   | 0.26%             | 2057-10-25      | Floating      | 14.44%                | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2016442 | PA      | $1917498.81   | 0.07%             | 2050-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2086010 | PA      | $1904973.14   | 0.07%             | 2050-02-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Lobel Automobile Receivables T   | Lobel Automobile Receivables Trust 2023-1                                        | CUSIP: 53946XAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $812564.48    | 0.03%             | 2028-10-16      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3792523.50   | 0.14%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-1                                                    | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20477000 | PA      | $20823790.28  | 0.76%             | 2033-04-15      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2004-6                                              | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73323 | PA      | $60884.36     | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799000 | PA      | $1311228.14   | 0.05%             | 2048-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142139 | PA      | $881617.24    | 0.03%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $876670.65    | 0.03%             | 2045-03-20      | Fixed         | 11.24%                | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2022-3                                                    | CUSIP: 68378PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316027 | PA      | $316489.81    | 0.01%             | 2030-01-08      | Fixed         | 10.15%                | No            |                  2 | On Loan: No      |
| PBF HOLDING CO LLC               | PBF Holding Co LLC / PBF Finance Corp                                            | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $883585.38    | 0.03%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                    | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2371385.12   | 0.09%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF1 LLC                                                               | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1447987 | PA      | $1424195.19   | 0.05%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF1 LLC                                                               | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1182975.00   | 0.04%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3441063.50   | 0.13%             | 2067-08-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2024-NPL3 LLC                                                               | CUSIP: 69391UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823274 | PA      | $1836948.83   | 0.07%             | 2054-04-27      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-11                                             | CUSIP: 69548EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5999311 | PA      | $5953543.88   | 0.22%             | 2032-07-15      | Fixed         | 10.33%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-1                                              | CUSIP: 69548VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1188504.38   | 0.04%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER            | Panther Escrow Issuer LLC                                                        | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1230408.00   | 0.04%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                | PARK BLUE CLO 2023-III LTD                                                       | CUSIP: 70019BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3019977.00   | 0.11%             | 2036-04-20      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $841061.25    | 0.03%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 721283AB5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    225000 | PA      | $236325.15    | 0.01%             | 2031-01-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                   | PMT Loan Trust 2024-INV2                                                         | CUSIP: 73015CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3131645 | PA      | $3172767.08   | 0.12%             | 2059-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95267 | PA      | $45690.21     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S1 Trust                                                       | CUSIP: 749581AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014763 | PA      | $818597.82    | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25088 | PA      | $15301.56     | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA7 Trust                                                       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4402949 | PA      | $3934994.74   | 0.14%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $614838.54    | 0.02%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1192118 | PA      | $998333.04    | 0.04%             | 2036-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S4 Trust                                                       | CUSIP: 762010AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105972 | PA      | $69400.40     | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294000 | PA      | $2067568.44   | 0.08%             | 2058-05-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2021-SJ2                                               | CUSIP: 89180LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2548781 | PA      | $2365684.22   | 0.09%             | 2061-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                    | Coherent Corp                                                                    | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1821639.63   | 0.07%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2053000 | PA      | $20.53        | 0.00%             | 2027-07-15      | Fixed         | 9.14%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-1                                              | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3675218.40   | 0.13%             | 2033-02-20      | Fixed         | 11.10%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-2                                              | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4072992 | PA      | $3608721.59   | 0.13%             | 2032-05-20      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-1                                              | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1040962.86   | 0.04%             | 2032-03-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series                                                | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $340181.78    | 0.01%             | 2030-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST8                                       | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $602882.35    | 0.02%             | 2029-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553109 | PA      | $1273557.00   | 0.05%             | 2066-07-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270000 | PA      | $1646850.95   | 0.06%             | 2066-06-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2023-6                                                | CUSIP: 92539XAF1<br>LEI: 984500915DDB7T2ACA27 | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3460846.80   | 0.13%             | 2068-09-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-1                                                | CUSIP: 92540TAF7<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1210498.75   | 0.04%             | 2070-01-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1815588.00   | 0.07%             | 2035-07-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: BCC0JHUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | NS      | $4191.93      | 0.00%             | 2045-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UPBOUND GROUP INC                | Upbound Group Inc                                                                | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1984442.25   | 0.07%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust             | STAR 2022-SFR3 Trust                                                             | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969614 | PA      | $1973809.83   | 0.07%             | 2039-05-17      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                 | StoneX Group Inc                                                                 | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1250486.48   | 0.05%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9986430 | PA      | $112896.59    | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35124162 | PA      | $27502.22     | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd               | THL Credit Wind River 2018-3 CLO Ltd                                             | CUSIP: 88432UAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2340000 | PA      | $2326308.66   | 0.08%             | 2031-01-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-4                                                 | CUSIP: 89183GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4966000 | PA      | $4364041.34   | 0.16%             | 2064-10-27      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1548051 | PA      | $1191821.12   | 0.04%             | 2051-08-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-1                                              | CUSIP: 91679K104<br>LEI: 5493001JGB0VWKP2NJ75 | Long             | ABS-O            | CORP              | US        |     20143 | PA      | $243931.48    | 0.01%             | 2026-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST4                                       | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8452371 | PA      | $516083.15    | 0.02%             | 2026-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST7                                       | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $296995.08    | 0.01%             | 2029-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    950000 | PA      | $917021.62    | 0.03%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1275296.75   | 0.05%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1243913.10   | 0.05%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES3                                       | CUSIP: 92841WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2035158.00   | 0.07%             | 2055-01-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FJ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13737141 | PA      | $87780.33     | 0.00%             | 2045-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51907485 | PA      | $4152.60      | 0.00%             | 2047-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR8 Trust | CUSIP: 93935LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10583911 | PA      | $147476.21    | 0.01%             | 2046-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA4 Trust | CUSIP: 93936MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17661053 | PA      | $63968.33     | 0.00%             | 2047-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158000 | PA      | $548649.98    | 0.02%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Whitehorse Ltd                   | Whitehorse XII Ltd                                                               | CUSIP: 96525YAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2129899.89   | 0.08%             | 2031-10-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC            | Williams Scotsman Inc                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1019155.20   | 0.04%             | 2030-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052656<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19959949.40  | 0.73%             | 2041-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18145061 | PA      | $181.45       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10791551 | PA      | $107.92       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN         | Archrock Partners LP / Archrock Partners Finance Corp                            | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $597263.28    | 0.02%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ARES LXVIII CLO Ltd              | Ares LXVIII CLO Ltd                                                              | CUSIP: 039942AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   7000000 | PA      | $7081361.00   | 0.26%             | 2035-04-25      | Floating      | 12.83%                | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2862786.00   | 0.10%             | 2064-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3320628.50   | 0.12%             | 2064-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust   | Avant Credit Card Master Trust                                                   | CUSIP: 05351KAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501152.20    | 0.02%             | 2030-04-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RGG3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $709311.33    | 0.03%             | 2029-04-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RKH6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1252576.25   | 0.05%             | 2028-02-20      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2024-NASH                             | CUSIP: 05555CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $793952.00    | 0.03%             | 2039-05-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3276636.00   | 0.12%             | 2041-02-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467516 | PA      | $2478925.42   | 0.09%             | 2034-05-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4509279.00   | 0.16%             | 2029-07-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2024-PALM                                                                     | CUSIP: 05612UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038462 | PA      | $1038796.96   | 0.04%             | 2037-06-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-B Trust                                             | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2242398 | PA      | $1869231.33   | 0.07%             | 2047-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2014-R1 Trust                                            | CUSIP: 05990MAB8<br>LEI: 549300JQM1BUDI007938 | Long             | ABS-MBS          | CORP              | US        |   3488785 | PA      | $3240310.03   | 0.12%             | 2037-06-26      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| BANKGUAM HOLDING CO              | BankGuam Holding Co                                                              | CUSIP: 06644AAB2<br>LEI: 549300UZSAYMXQIF8W75 | Long             | SN               | CORP              | GU        |   2000000 | PA      | $1822085.58   | 0.07%             | 2031-07-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO 2023-II Ltd                                            | CUSIP: 067934AE9<br>LEI: 2549007Y0JXPKK7NLK37 | Long             | ABS-CBDO         | CORP              | BM        |   1150000 | PA      | $1153912.30   | 0.04%             | 2032-01-20      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   5430000 | PA      | $5547054.51   | 0.20%             | 2034-08-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $1042962.00   | 0.04%             | 2034-08-25      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR           | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |    600000 | PA      | $623804.40    | 0.02%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Blackrock Mt. Hood CLO X LLC.    | Blackrock MT Hood CLO X LLC                                                      | CUSIP: 09263GAS6<br>LEI: 549300N3N5OOLMSHXG32 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2009322.00   | 0.07%             | 2035-04-20      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 72108PAP9<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    613200 | PA      | $607197.72    | 0.02%             | 2026-07-24      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-NQM3                                        | CUSIP: 105690AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1681542 | PA      | $1553483.73   | 0.06%             | 2060-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2019-J1                                                                | CUSIP: 12556MCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613000 | PA      | $399031.59    | 0.01%             | 2049-08-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281000 | PA      | $632243.96    | 0.02%             | 2051-06-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900633 | PA      | $1520979.28   | 0.06%             | 2037-03-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-B                                                | CUSIP: 12627SAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5270000 | PA      | $5438210.50   | 0.20%             | 2031-11-17      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10124150 | PA      | $6804856.31   | 0.25%             | 2060-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031450 | PA      | $1954057.51   | 0.07%             | 2056-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-6 Mortgage Loan Trust                                                  | CUSIP: 12662YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    969978 | PA      | $880020.68    | 0.03%             | 2067-06-27      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-7 Mortgage Loan Trust                                                  | CUSIP: 12663GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3916000 | PA      | $3936868.36   | 0.14%             | 2067-04-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-7 Mortgage Loan Trust                                                  | CUSIP: 12663GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4452000 | PA      | $4484027.69   | 0.16%             | 2067-04-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17553970 | PA      | $40321.47     | 0.00%             | 2035-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-16                                                   | CUSIP: 12667GMK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14692164 | PA      | $146.92       | 0.00%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GN82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16579609 | PA      | $165.80       | 0.00%             | 2035-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6266912 | PA      | $4969.66      | 0.00%             | 2035-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18507418 | PA      | $177078.98    | 0.01%             | 2035-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1401741 | PA      | $879306.22    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668AQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13840343 | PA      | $60620.70     | 0.00%             | 2035-11-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-59R                                 | CUSIP: 12668AR98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9052689 | PA      | $814.74       | 0.00%             | 2035-12-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10880137 | PA      | $28005.47     | 0.00%             | 2036-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA1                                                  | CUSIP: 126694A24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8157016 | PA      | $85403.96     | 0.00%             | 2046-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-20                                          | CUSIP: 12669F2R3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4446723 | PA      | $192614.26    | 0.01%             | 2034-10-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-25                                          | CUSIP: 12669GKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10503211 | PA      | $105.03       | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090132 | PA      | $2480189.51   | 0.09%             | 2035-03-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-1                                           | CUSIP: 12669GRP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2727273 | PA      | $150.00       | 0.00%             | 2035-03-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC            | Caesars Entertainment Inc                                                        | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1598811.33   | 0.06%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CLEAR STREET HOLDINGS            | Clear Street Holdings LLC                                                        | CUSIP: 18469LAA7<br>LEI: 254900NQWA30C6L3G919 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1977178.70   | 0.07%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION           | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1023317.31   | 0.04%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT Funding LLC                                                                 | CUSIP: 19688DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2862000 | PA      | $2351751.19   | 0.09%             | 2064-12-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4714000 | PA      | $4335008.54   | 0.16%             | 2067-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2023-3 Mortgage Loan Trust                                                  | CUSIP: 19688RAE9<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2035414.00   | 0.07%             | 2068-09-25      | Variable      | 7.85%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC           | Comstock Resources Inc                                                           | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    450000 | PA      | $407972.86    | 0.01%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAH9<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |    400000 | PA      | $361090.64    | 0.01%             | 2031-02-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540V2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782622 | PA      | $1679901.84   | 0.06%             | 2032-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1942856 | PA      | $742711.11    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15970047 | PA      | $12195606.17  | 0.45%             | 2045-02-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2007-AR1                                                | CUSIP: 23333YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30228352 | PA      | $24513107.53  | 0.89%             | 2047-04-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-BAR1                   | CUSIP: 25151TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  83950000 | PA      | $5775172.35   | 0.21%             | 2037-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1235526.25   | 0.05%             | 2069-11-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2739000 | PA      | $2576317.10   | 0.09%             | 2069-11-25      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550000 | PA      | $1579888.65   | 0.06%             | 2060-01-26      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-CES2                                                                   | CUSIP: 28225GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2854000 | PA      | $2856089.13   | 0.10%             | 2060-02-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-3                                       | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6784000 | PA      | $6907417.24   | 0.25%             | 2031-10-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-2                                       | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4096000 | PA      | $4191095.19   | 0.15%             | 2031-10-15      | Fixed         | 7.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-1                                       | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2426404.50   | 0.09%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2023-3                                       | CUSIP: 301989AG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3028000 | PA      | $3262476.81   | 0.12%             | 2031-01-15      | Fixed         | 9.98%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-3                                                          | CUSIP: 30339EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717000 | PA      | $1718629.09   | 0.06%             | 2031-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I,    | FAT Brands Fazoli's Native I LLC                                                 | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1930000 | PA      | $1939343.13   | 0.07%             | 2051-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DUY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1939017 | PA      | $1914692.22   | 0.07%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2710845 | PA      | $2701934.11   | 0.10%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1423162 | PA      | $1450560.24   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133WAZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4710600 | PA      | $4505401.31   | 0.16%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140NGD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3133860 | PA      | $3136288.26   | 0.11%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3199851 | PA      | $2776724.71   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2314014 | PA      | $1928291.43   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5762515 | PA      | $5848243.74   | 0.21%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY FINANCIAL CORP          | Fidelity Financial Corp                                                          | CUSIP: 316144AC8<br>LEI: 549300MH8LY2P6Y7NV11 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2751876.03   | 0.10%             | 2032-04-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE1                                                             | CUSIP: 31684HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3501456 | PA      | $3616419.08   | 0.13%             | 2054-03-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FINANCIAL INSTITUTIONS I         | Financial Institutions Inc                                                       | CUSIP: 317585AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1114343.73   | 0.04%             | 2030-04-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST BANCSHARES INC             | First Bancshares Inc/The                                                         | CUSIP: 318916AB9<br>LEI: 5493006DL5RXJODMAF36 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $992828.81    | 0.04%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FIRST FOUNDATION INC             | First Foundation Inc                                                             | CUSIP: 32026VAA2<br>LEI: 254900TQZQ6LBCK77E82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $762994.10    | 0.03%             | 2032-02-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBT3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2478000 | PA      | $2052148.27   | 0.07%             | 2048-10-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1211408 | PA      | $774421.45    | 0.03%             | 2041-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2176217.40   | 0.08%             | 2042-05-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP            | Freedom Mortgage Corp                                                            | CUSIP: 35640YAH0<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1896618.76   | 0.07%             | 2026-05-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2024-NQM1 Trust                                                             | CUSIP: 36169HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699453 | PA      | $711728.43    | 0.03%             | 2059-01-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039000 | PA      | $528545.53    | 0.02%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191638 | PA      | $953561.56    | 0.03%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7205504 | PA      | $5563239.60   | 0.20%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $666073.20    | 0.02%             | 2052-04-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1144118 | PA      | $852587.70    | 0.03%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-1                                         | CUSIP: 36266XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7870000 | PA      | $8798888.23   | 0.32%             | 2030-03-15      | Fixed         | 11.42%                | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-RPL4                                    | CUSIP: 362948AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3075978.50   | 0.11%             | 2061-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD          | Global Aircraft Leasing Co Ltd                                                   | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1950000 | PA      | $1945372.85   | 0.07%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                  | Goodgreen 2017-2 Trust                                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2946992 | PA      | $2704192.51   | 0.10%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER           | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1428408.00   | 0.05%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENFIRE RESOURCES LTD          | Greenfire Resources Ltd                                                          | CUSIP: 39525UAA5<br>LEI: 254900MTS0G2VGMJW059 | Long             | DBT              | CORP              | CA        |    198000 | PA      | $209162.84    | 0.01%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    803581 | PA      | $739262.03    | 0.03%             | 2045-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust   | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1657569.70   | 0.06%             | 2041-06-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $413902.00    | 0.02%             | 2039-05-10      | Variable      | 12.32%                | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897717 | PA      | $12793.36     | 0.00%             | 2034-11-19      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-15                                           | CUSIP: 41161PXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2070733 | PA      | $1929483.75   | 0.07%             | 2045-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                | Herc Holdings Inc                                                                | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2472667.25   | 0.09%             | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3060359 | PA      | $2745089.67   | 0.10%             | 2036-08-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2004-AR12                                       | CUSIP: 45660N5L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1471745 | PA      | $14.72        | 0.00%             | 2034-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379051 | PA      | $345539.43    | 0.01%             | 2051-03-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1981794 | PA      | $1570024.99   | 0.06%             | 2051-07-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2676609 | PA      | $1849927.60   | 0.07%             | 2055-02-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T   | JP Morgan Alternative Loan Trust 2006-A7                                         | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902212 | PA      | $802462.25    | 0.03%             | 2036-12-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111182 | PA      | $874767.08    | 0.03%             | 2037-06-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3698014 | PA      | $3541995.26   | 0.13%             | 2049-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1752008 | PA      | $1434043.13   | 0.05%             | 2049-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2307956 | PA      | $1605524.71   | 0.06%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4940408 | PA      | $3967181.83   | 0.14%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2023-7                                                  | CUSIP: 46657DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035500 | PA      | $839014.91    | 0.03%             | 2054-02-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2615164 | PA      | $2478549.99   | 0.09%             | 2054-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Jackson Park Trust               | Jackson Park Trust 2019-LIC                                                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4267320.00   | 0.16%             | 2039-10-14      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC / JFIN         | Jefferies Finance LLC / JFIN Co-Issuer Corp                                      | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1029764.61   | 0.04%             | 2031-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP              | Kinetik Holdings LP                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $586844.99    | 0.02%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LBA Trust                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1406764.80   | 0.05%             | 2039-06-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust       | LAD Auto Receivables Trust 2024-2                                                | CUSIP: 505920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1032764.40   | 0.04%             | 2031-10-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| LSALT 2019-1B PT                 | LSALT 2019-1B PT                                                                 | CUSIP: 510861AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9194942 | PA      | $9014804.27   | 0.33%             | 2049-08-28      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC            | LD Holdings Group LLC                                                            | CUSIP: 521088AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $412073.70    | 0.02%             | 2028-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945909 | PA      | $2618438.86   | 0.10%             | 2036-04-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                | MFA Financial Inc                                                                | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52942 | NS      | $1310843.92   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2024-1                                                    | CUSIP: 57108VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509206.80    | 0.02%             | 2034-07-17      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-2                                                    | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23640000 | PA      | $23892078.05  | 0.87%             | 2033-06-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920420 | PA      | $856677.98    | 0.03%             | 2035-09-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495EU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515337 | PA      | $280513.05    | 0.01%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MERCER INTL INC                  | Mercer International Inc                                                         | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1153411.87   | 0.04%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153399 | PA      | $143088.46    | 0.01%             | 2043-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD         | Moss Creek Resources Holdings Inc                                                | CUSIP: 61965RAC9<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |    800000 | PA      | $736298.48    | 0.03%             | 2031-09-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1512244.50   | 0.06%             | 2049-10-25      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2029884.00   | 0.07%             | 2049-10-25      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-6                                       | CUSIP: 64828GCH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12864759 | PA      | $854991.89    | 0.03%             | 2059-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp               | Rithm Capital Corp                                                               | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               | CORP              | US        |    258870 | NS      | $2894166.60   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAG3<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |   5116000 | PA      | $5193937.14   | 0.19%             | 2065-05-25      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAJ7<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |  11758000 | PA      | $10785425.27  | 0.39%             | 2065-05-25      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98370NAA3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   3950000 | PA      | $3933275.70   | 0.14%             | 2026-01-06      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1124144 | PA      | $1122177.27   | 0.04%             | 2025-10-06      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2623002 | PA      | $2610421.86   | 0.10%             | 2025-10-06      | Floating      | 12.69%                | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98402TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $217919.97    | 0.01%             | 2026-04-06      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                  | Gen Digital Inc                                                                  | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499901.15    | 0.02%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE           | Brundage-Bone Concrete Pumping Holdings Inc                                      | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $976843.03    | 0.04%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J2 Trust                                                                | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1552259 | PA      | $1264381.70   | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                  | Oaktree CLO 2023-2 Ltd                                                           | CUSIP: 67401QAG1<br>LEI: 254900E6646RC82IR359 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6021984.00   | 0.22%             | 2036-07-20      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus   | Prestige Auto Receivables Trust 2024-1                                           | CUSIP: 74113QAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6682000 | PA      | $6826308.48   | 0.25%             | 2031-04-15      | Fixed         | 7.94%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566000 | PA      | $761462.80    | 0.03%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11190 | PA      | $5808.28      | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $505892.00    | 0.02%             | 2034-09-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J2                                                      | CUSIP: 753917AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1701152 | PA      | $1682578.44   | 0.06%             | 2054-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2005-S7 Trust                                                       | CUSIP: 76111XA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15773 | PA      | $10355.30     | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3064716 | PA      | $2594012.55   | 0.09%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| SAKS GLOBAL ENTERPRISES          | Saks Global Enterprises LLC                                                      | CUSIP: 79380MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $212680.08    | 0.01%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2645803 | PA      | $2596167.49   | 0.09%             | 2050-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5213750 | PA      | $4900367.13   | 0.18%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG3                                | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3079845 | PA      | $3159298.93   | 0.12%             | 2053-08-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-SEQ3                                | CUSIP: 79582GAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4330180.50   | 0.16%             | 2053-06-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Fund Trust 2022-SG2                                                 | CUSIP: 79583QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15120165.00  | 0.55%             | 2052-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2007-1                                                    | CUSIP: 81744HAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1714070 | PA      | $1231118.87   | 0.04%             | 2046-10-20      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-8                                                    | CUSIP: 81749NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2831008 | PA      | $2603465.59   | 0.10%             | 2054-09-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530686 | PA      | $486736.31    | 0.02%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| SHELF DRILL HOLD LTD             | Shelf Drilling Holdings Ltd                                                      | CUSIP: 822538AH7<br>LEI: 54930078ZJ3XP4MRYB68 | Long             | DBT              | CORP              | KY        |   1610000 | PA      | $1141254.14   | 0.04%             | 2029-04-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS         | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed   | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $325646.21    | 0.01%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170000 | PA      | $3855894.57   | 0.14%             | 2056-06-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Stone Street Receivables Fundi   | Stone Street Receivables Funding 2015-1 LLC                                      | CUSIP: 86175EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508510 | PA      | $453196.33    | 0.02%             | 2054-12-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR7                          | CUSIP: 86359LFQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5160869 | PA      | $30361.39     | 0.00%             | 2035-04-19      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $652512.91    | 0.02%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                 | Taseko Mines Ltd                                                                 | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1920816.40   | 0.07%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust            | Terwin Mortgage Trust Series TMTS 2005-18ALT                                     | CUSIP: 881561L51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21937078 | PA      | $144543.41    | 0.01%             | 2037-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2017-6                                                 | CUSIP: 89175JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3167343.00   | 0.12%             | 2057-10-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2019-1                                                 | CUSIP: 89177BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2192502.00   | 0.08%             | 2058-03-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXII Ltd                                                            | CUSIP: 89640HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   5300000 | PA      | $5301892.10   | 0.19%             | 2036-07-20      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                     | US Foods Inc                                                                     | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209472.00    | 0.01%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2030049 | PA      | $1597731.76   | 0.06%             | 2051-09-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231092 | PA      | $229375.50    | 0.01%             | 2025-10-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL         | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2714470.92   | 0.10%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-5                                              | CUSIP: 91679JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9307500 | PA      | $9079230.98   | 0.33%             | 2031-11-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2022-ST1                                       | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $874719.51    | 0.03%             | 2030-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN         | USA Compression Partners LP / USA Compression Finance Corp                       | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $636722.73    | 0.02%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC   | VCAT 2025-NPL1 LLC                                                               | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923674 | PA      | $923638.05    | 0.03%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |    215000 | PA      | $184997.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1142806.43   | 0.04%             | 2049-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1488238 | PA      | $1150626.51   | 0.04%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNG2<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6875338 | PA      | $6700876.78   | 0.24%             | 2059-07-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable   | Westlake Automobile Receivables Trust 2021-3                                     | CUSIP: 96043JAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2914356.00   | 0.11%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC              | White Cap Buyer LLC                                                              | CUSIP: 96350RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3023847.26   | 0.11%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-2                                              | CUSIP: 97652QBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938000 | PA      | $1654170.21   | 0.06%             | 2044-09-20      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAN0<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3621300 | PA      | $3355760.72   | 0.12%             | 2026-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98373XAQ3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   1788000 | PA      | $1824069.32   | 0.07%             | 2026-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAU4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3510418 | PA      | $3501073.32   | 0.13%             | 2025-06-06      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: BCC0H7063<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000 | PA      | $1.00         | 0.00%             | 2044-11-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                              | US 5YR NOTE (CBT) Jun25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1700 | NC      | $190135.06    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Octane Receivables Trust         | Octane Recievables Trust 2024-RPT1                                               | CUSIP: 67578QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3243000 | PA      | $3246019.23   | 0.12%             | 2030-02-22      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-5                                            | CUSIP: 69547EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1131339 | PA      | $1099658.97   | 0.04%             | 2029-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-2                                              | CUSIP: 69548YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2898492.90   | 0.11%             | 2032-10-15      | Fixed         | 10.89%                | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE         | Perrigo Finance Unlimited Co                                                     | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   1200000 | PA      | $1191958.68   | 0.04%             | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPX52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11094563 | PA      | $10844435.96  | 0.40%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DSWC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21405804 | PA      | $21764394.27  | 0.79%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12765209 | PA      | $10132308.14  | 0.37%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CXFX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12736159 | PA      | $12452996.13  | 0.45%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-2                                                | CUSIP: 33844WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3920114.14   | 0.14%             | 2028-09-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340188 | PA      | $747649.42    | 0.03%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1214663 | PA      | $997706.05    | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795000 | PA      | $1518185.87   | 0.06%             | 2054-12-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                  | Katayma CLO I Ltd                                                                | CUSIP: 48585KAA5<br>LEI: 254900I6JJYMZNFX8987 | Long             | ABS-CBDO         | CORP              | JE        |   4500000 | PA      | $4533592.50   | 0.17%             | 2036-10-20      | Floating      | 12.41%                | No            |                  2 | On Loan: No      |
| LBA Trust                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6531902.00   | 0.24%             | 2039-06-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19049500 | PA      | $98395.32     | 0.00%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-3                                            | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933356 | PA      | $901756.93    | 0.03%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | PAGAYA AI Debt Trust 2022-2                                                      | CUSIP: 69546VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4999702 | PA      | $4947988.04   | 0.18%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-1                                            | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1514385 | PA      | $1481909.08   | 0.05%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Annaly Capital Management Inc    | Annaly Capital Management Inc                                                    | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     84833 | NS      | $1662726.80   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Apidos CLO Ltd                   | Apidos CLO XLVI Ltd                                                              | CUSIP: 03769YAA8<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2014474.00   | 0.07%             | 2036-10-24      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2220000 | PA      | $2002807.85   | 0.07%             | 2046-07-17      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4012548 | PA      | $3377072.85   | 0.12%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $10000.00     | 0.00%             | 2045-02-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust    | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1634867.20   | 0.06%             | 2037-06-10      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849039 | PA      | $765166.24    | 0.03%             | 2047-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2897500 | PA      | $2804713.36   | 0.10%             | 2069-11-25      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588553 | PA      | $3657643.41   | 0.13%             | 2060-01-26      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWG72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355151 | PA      | $339014.68    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2482355 | PA      | $2431045.02   | 0.09%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AGLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210628 | PA      | $1218904.84   | 0.04%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATLZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4966153 | PA      | $4963793.83   | 0.18%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3039910 | PA      | $2912239.61   | 0.11%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUVC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3533927 | PA      | $3597544.47   | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140W0FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2827096 | PA      | $2823104.25   | 0.10%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XPUY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4836076 | PA      | $4920112.07   | 0.18%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-3                                        | CUSIP: 31573JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910000 | PA      | $2178068.07   | 0.08%             | 2066-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    900000 | PA      | $917608.50    | 0.03%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust         | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11606272 | PA      | $11638420.87  | 0.42%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093000 | PA      | $557880.32    | 0.02%             | 2051-06-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                     | Parallel 2023-1 Ltd                                                              | CUSIP: 69916MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3521192.50   | 0.13%             | 2036-07-20      | Floating      | 13.52%                | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I         | Performance Food Group Inc                                                       | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $853059.01    | 0.03%             | 2029-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHH ESCROW ISS LCC/PHH C         | PHH Escrow Issuer LLC/PHH Corp                                                   | CUSIP: 716964AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $774680.12    | 0.03%             | 2029-11-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10554553 | PA      | $10605574.14  | 0.39%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103827.47    | 0.00%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage    | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743000 | PA      | $2351167.94   | 0.09%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-5                                       | CUSIP: 85573QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7130788 | PA      | $6052583.93   | 0.22%             | 2066-09-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    278529 | PA      | $278090.27    | 0.01%             | 2037-05-24      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2018-2                                       | CUSIP: 64828CEN5<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   1175551 | PA      | $863894.86    | 0.03%             | 2058-02-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAC2<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |   6900735 | PA      | $7006281.96   | 0.26%             | 2065-05-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| NEXBANK CAPITAL INC              | NexBank Capital Inc                                                              | CUSIP: 65341TAG2<br>LEI: 549300H29S945S4X7A03 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $946211.17    | 0.03%             | 2032-07-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP              | NOVA Chemicals Corp                                                              | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $211034.80    | 0.01%             | 2028-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM2 Trust                                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795687 | PA      | $1495907.42   | 0.05%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                 | Owl Rock CLO XIII LLC                                                            | CUSIP: 69120GAA2<br>LEI: 254900P65RXI0LEC4D85 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3005436.00   | 0.11%             | 2035-09-20      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | Pret 2024-NPL6 LLC                                                               | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |   3677489 | PA      | $3702234.49   | 0.14%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-11                                             | CUSIP: 69548EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1749799 | PA      | $1626418.21   | 0.06%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                | PARK BLUE CLO 2023-III LTD                                                       | CUSIP: 70019AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5017995.00   | 0.18%             | 2036-04-20      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $858111.66    | 0.03%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    600000 | PA      | $589436.19    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 5                                                                 | CUSIP: 72133QAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $920211.00    | 0.03%             | 2037-10-20      | Floating      | 12.09%                | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $609776.52    | 0.02%             | 2028-08-15      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-MF1                                 | CUSIP: 79582KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7785447 | PA      | $7926807.33   | 0.29%             | 2029-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-7                                                    | CUSIP: 81748EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3820304 | PA      | $3912461.21   | 0.14%             | 2054-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-5                                                    | CUSIP: 81749FCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191000 | PA      | $940693.49    | 0.03%             | 2053-12-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2307624 | PA      | $2163821.88   | 0.08%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| TEXAS STATE BNKSHRS INC          | Texas State Bankshares Inc                                                       | CUSIP: 882727AA8<br>LEI: 549300KSLUE7MP08XL09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1999676.48   | 0.07%             | 2029-06-15      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-4                                                 | CUSIP: 89183GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2897000 | PA      | $2626767.84   | 0.10%             | 2064-10-27      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T   | Tricolor Auto Securitization Trust 2023-1                                        | CUSIP: 89616KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2322715.56   | 0.08%             | 2028-06-15      | Fixed         | 13.45%                | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QAJ9<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2978034.00   | 0.11%             | 2034-01-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| TRINITAS CAPITAL MGMT            | Trinitas Capital Management LLC                                                  | CUSIP: 89642CAC4<br>LEI: 254900JU042545A6UD08 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3905000.00   | 0.14%             | 2026-07-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1099290.02   | 0.04%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-4                                              | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3791205 | PA      | $3725297.13   | 0.14%             | 2031-09-20      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Angel Oak High Yield Opportuni   | Angel Oak High Yield Opportunities ETF                                           | CUSIP: 03463K745<br>LEI: 254900ZCII2VFW4OK231 | Long             | EC               | RF                | US        |   1920240 | NS      | $20815401.60  | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI         | Antero Midstream Partners LP / Antero Midstream Finance Corp                     | CUSIP: 03690AAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1213712.40   | 0.04%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4501318.50   | 0.16%             | 2041-07-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2024-NASH                             | CUSIP: 05555CAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $396944.40    | 0.01%             | 2039-05-15      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1607529 | PA      | $1495855.33   | 0.05%             | 2047-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2023-1 Ltd                                                         | CUSIP: 07876XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   6200000 | PA      | $6410651.20   | 0.23%             | 2033-10-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881822 | PA      | $690910.79    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1478419 | PA      | $14.78        | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    838039 | PA      | $32510.05     | 0.00%             | 2035-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-11                                          | CUSIP: 12669GUT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670844 | PA      | $183898.28    | 0.01%             | 2035-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2019-3                                            | CUSIP: 14686XAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11000 | PA      | $1780087.04   | 0.06%             | 2026-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2019-4                                            | CUSIP: 14686YAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13000 | PA      | $2592171.75   | 0.09%             | 2026-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-2 Mortgage Loan Trust                                                  | CUSIP: 19685EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1444264.50   | 0.05%             | 2067-02-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-4 Mortgage Loan Trust                                                  | CUSIP: 19685GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3252422.71   | 0.12%             | 2067-03-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5481910.50   | 0.20%             | 2041-06-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                 | Credit Acceptance Corp                                                           | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1867861.50   | 0.07%             | 2030-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-1                                       | CUSIP: 30167JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5826658.20   | 0.21%             | 2029-10-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FS BANCORP INC                   | FS Bancorp Inc                                                                   | CUSIP: 30263YAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $984143.36    | 0.04%             | 2031-02-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133C4YU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2875521 | PA      | $2925489.29   | 0.11%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYQ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6959294 | PA      | $6953817.03   | 0.25%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133W8HU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10183545 | PA      | $10370046.31  | 0.38%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ADFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4167375 | PA      | $4156281.55   | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDNAT HOLDING CO                | FedNat Holding Co                                                                | CUSIP: 31431BAC3<br>LEI: 549300TFR6HALUYTYJ66 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $150000.00    | 0.01%             | 2029-03-15      | None          | 7.75%                 | No            |                  3 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE4                                                             | CUSIP: 31684UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2643008 | PA      | $2681897.37   | 0.10%             | 2054-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2024-1                                                | CUSIP: 33843VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $401947.84    | 0.01%             | 2031-05-15      | Fixed         | 8.60%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 189098920 | PA      | $2193358.38   | 0.08%             | 2041-09-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177661 | PA      | $907372.41    | 0.03%             | 2051-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2601035 | PA      | $2093347.13   | 0.08%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST         | Fortress Transportation and Infrastructure Investors LLC                         | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1149487.08   | 0.04%             | 2033-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2022-NQM4 Trust                                                             | CUSIP: 36170HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773221 | PA      | $781273.77    | 0.03%             | 2067-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3271188 | PA      | $611142.94    | 0.02%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1312019 | PA      | $1112769.27   | 0.04%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577000 | PA      | $415289.11    | 0.02%             | 2049-08-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3484144 | PA      | $2931108.93   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3493603 | PA      | $2909021.54   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3666350 | PA      | $2720329.41   | 0.10%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3198681 | PA      | $2544752.42   | 0.09%             | 2052-02-26      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2445429 | PA      | $2052377.84   | 0.07%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523773 | PA      | $750807.38    | 0.03%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2529770 | PA      | $1502442.95   | 0.05%             | 2051-09-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3644066 | PA      | $2862694.64   | 0.10%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-4                                         | CUSIP: 362929AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5270000 | PA      | $5708947.26   | 0.21%             | 2030-08-15      | Fixed         | 9.72%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                   | Gray Media Inc                                                                   | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $2330407.79   | 0.09%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6905016 | PA      | $0.00         | 0.00%             | 2045-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2006-AR3                                       | CUSIP: 39538WHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12938129 | PA      | $447154.67    | 0.02%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP          | Gulfport Energy Operating Corp                                                   | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    320000 | PA      | $315756.29    | 0.01%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-11                                           | CUSIP: 41161PKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6715973 | PA      | $67.16        | 0.00%             | 2035-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    551720 | PA      | $236046.85    | 0.01%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880958 | PA      | $899847.41    | 0.03%             | 2057-10-25      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-8                                           | CUSIP: 46658GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2611000 | PA      | $2310627.95   | 0.08%             | 2055-01-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15777 | PA      | $11648.85     | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFRA 2024-NQM3 Trust                                                             | CUSIP: 55287GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4655250 | PA      | $4728253.69   | 0.17%             | 2069-12-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495ES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031571 | PA      | $800187.62    | 0.03%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC            | Molina Healthcare Inc                                                            | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347597.67    | 0.01%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                       | CUSIP: 61690KAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $47966.00     | 0.00%             | 2046-02-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWQ0<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |  13553482 | PA      | $383793.95    | 0.01%             | 2036-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |  11852303 | PA      | $10484974.30  | 0.38%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2014-150E                                         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $902413.20    | 0.03%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                       | AMSR 2023-SFR1 Trust                                                             | CUSIP: 66981XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $962183.00    | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM1 Trust                                                              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012649 | PA      | $863116.16    | 0.03%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                        | Olin Corp                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $332535.70    | 0.01%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                   | Owens-Brockway Glass Container Inc                                               | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1889164.03   | 0.07%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | Prpm 2024-1 LLC                                                                  | CUSIP: 693972AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3283318 | PA      | $3352635.35   | 0.12%             | 2029-02-25      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-3                                                                      | CUSIP: 693986AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1706135 | PA      | $1732252.35   | 0.06%             | 2029-05-25      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499788 | PA      | $2490418.75   | 0.09%             | 2032-06-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1999831 | PA      | $1848917.96   | 0.07%             | 2032-06-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-6 And Pagaya AI Debt Trust 2024-6              | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442193 | PA      | $455961.64    | 0.02%             | 2031-11-15      | Fixed         | 11.35%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust                                                   | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2145401 | PA      | $2215606.28   | 0.08%             | 2031-12-15      | Fixed         | 10.89%                | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404769.66    | 0.01%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                   | PMT Loan Trust 2025-INV4                                                         | CUSIP: 73015DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2263459.50   | 0.08%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                   | PMT Loan Trust 2025-INV4                                                         | CUSIP: 73015DBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16822000 | PA      | $17062722.82  | 0.62%             | 2056-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19207 | PA      | $15481.11     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust     | RBSSP Resecuritization Trust 2009-3                                              | CUSIP: 74928FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253554 | PA      | $1116339.87   | 0.04%             | 2035-09-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $597346.02    | 0.02%             | 2054-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $720574.58    | 0.03%             | 2054-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3475795 | PA      | $1984672.02   | 0.07%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN         | Raven Acquisition Holdings LLC                                                   | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1857906.01   | 0.07%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                | Redwood Trust Inc                                                                | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |    238507 | NS      | $1481128.47   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3590000 | PA      | $3612441.09   | 0.13%             | 2037-11-20      | Fixed         | 8.83%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QO5 Trust                                                       | CUSIP: 761118QQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19377513 | PA      | $1574481.04   | 0.06%             | 2046-01-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3941451 | PA      | $1168316.92   | 0.04%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                     | VT Topco Inc                                                                     | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2136874.09   | 0.08%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $977794.00    | 0.04%             | 2067-07-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FLR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807619 | PA      | $755059.29    | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO         | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183500.00    | 0.01%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-1                                              | CUSIP: 97652PAY7<br>LEI: 5493002CYMIHYUBDIR84 | Long             | ABS-MBS          | CORP              | US        |   2370000 | PA      | $1867642.95   | 0.07%             | 2044-06-20      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| LEAVENWORTH US                   | LEAVENWORTH US                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     29450 | NS      | $2945000.00   | 0.11%             |  |  |  | No            |                  3 | On Loan: No      |
| OCTAVIA US                       | OCTAVIA US                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     84502 | NS      | $8515443.68   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3083603 | PA      | $2583911.42   | 0.09%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2020-2R Mortgage Loan Trust                                                 | CUSIP: 12656GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3605000 | PA      | $3108277.87   | 0.11%             | 2065-10-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1787397.83   | 0.07%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41378288 | PA      | $269869.20    | 0.01%             | 2050-03-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2719524 | PA      | $2425673.73   | 0.09%             | 2050-06-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2954836 | PA      | $2299154.66   | 0.08%             | 2051-12-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3319991 | PA      | $3107063.28   | 0.11%             | 2055-02-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970236 | PA      | $897223.72    | 0.03%             | 2036-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2023-D                                                | CUSIP: 12598VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6120000 | PA      | $6683254.20   | 0.24%             | 2031-05-15      | Fixed         | 10.13%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539950 | PA      | $1049582.18   | 0.04%             | 2056-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM5 Trust                                                             | CUSIP: 12663DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $469097.00    | 0.02%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-38                                                   | CUSIP: 12667GZ71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35152223 | PA      | $632.74       | 0.00%             | 2035-09-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ADC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9890893 | PA      | $68177.92     | 0.00%             | 2035-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1453486 | PA      | $1471593.07   | 0.05%             | 2067-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CUSTOMERS BANK                   | Customers Bank                                                                   | CUSIP: 23204HBM9<br>LEI: 6UHRKD73G36IZYN3FC43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994934.37    | 0.04%             | 2029-06-26      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17128853 | PA      | $20811.56     | 0.00%             | 2045-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1184675.49   | 0.04%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20820278 | PA      | $11371327.95  | 0.41%             | 2067-09-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 276772998 | PA      | $739537.45    | 0.03%             | 2067-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2021-3                                       | CUSIP: 30166AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1657141.98   | 0.06%             | 2028-12-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DU6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1978790 | PA      | $1936652.12   | 0.07%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133C7AE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17598724 | PA      | $16849915.51  | 0.61%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13690891 | PA      | $13407900.07  | 0.49%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AQYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2826547 | PA      | $2768122.40   | 0.10%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVWR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4812353 | PA      | $4709873.55   | 0.17%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $1867154.77   | 0.07%             | 2066-06-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC             | Fiesta Purchaser Inc                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $838505.60    | 0.03%             | 2032-09-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| First American Government Obli   | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  89048740 | NS      | $89048739.85  | 3.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTCASH INC                    | FirstCash Inc                                                                    | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1455722.25   | 0.05%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2598271 | PA      | $2289442.71   | 0.08%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1222000 | PA      | $640458.75    | 0.02%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    650000 | PA      | $636359.75    | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1345887 | PA      | $1318015.16   | 0.05%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485255 | PA      | $919677.51    | 0.03%             | 2051-05-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5235373 | PA      | $4036069.74   | 0.15%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1403104 | PA      | $1132167.25   | 0.04%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237000 | PA      | $608575.55    | 0.02%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59557500 | PA      | $41958020.52  | 1.53%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ3                                     | CUSIP: 36270FAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3883268 | PA      | $3907088.37   | 0.14%             | 2053-10-27      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GENESEE & WYOMING INC            | Genesee & Wyoming Inc                                                            | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608670.61    | 0.02%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2024-3                                         | CUSIP: 37989AAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $992896.80    | 0.04%             | 2031-06-16      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Mortgage Pass-Th   | Goldman Sachs Mortgage Pass-Through Trust 2022-1                                 | CUSIP: 38151AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45308085 | PA      | $41233347.97  | 1.50%             | 2053-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu   | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $516612.00    | 0.02%             | 2059-06-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR14                                       | CUSIP: 45660LSB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18557476 | PA      | $15476.93     | 0.00%             | 2035-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10931957 | PA      | $230172.36    | 0.01%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2006-AR2                                                | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17530045 | PA      | $11836724.51  | 0.43%             | 2036-10-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: 23332UDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003400 | PA      | $980079.93    | 0.04%             | 2045-03-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3741358 | PA      | $2938735.84   | 0.11%             | 2036-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| iShares iBoxx $ High Yield Cor   | iShares iBoxx $ High Yield Corporate Bond ETF                                    | CUSIP: 464288513<br>LEI: 549300FCCXHK7O37PQ68 | Long             | EC               | RF                | US        |     33500 | NS      | $2633100.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2025-2                                           | CUSIP: 46593NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7527142.50   | 0.27%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                    | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $1870333.50   | 0.07%             | 2031-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                       | DaVita Inc                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1667161.65   | 0.06%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DYNEX CAPITAL INC                | Dynex Capital Inc                                                                | CUSIP: 26817Q878<br>LEI: 5CIJ4S9HAEBWILA19B65 | Long             | EP               | CORP              | US        |    173425 | NS      | $4403260.75   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2738724 | PA      | $2280916.15   | 0.08%             | 2050-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13919468 | PA      | $10871076.79  | 0.40%             | 2052-07-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1420028.38   | 0.05%             | 2060-01-26      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Inc          | Ellington Financial Inc                                                          | CUSIP: 28852N109<br>LEI: 60GS1D1R1YY5G1W7IT74 | Long             | EC               | CORP              | US        |    103500 | NS      | $1348605.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Enviva LLC                       | Enviva LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      3638 | NS      | $56389.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENVIVA ESCROW                    | ENVIVA ESCROW                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    100000 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-5                                       | CUSIP: 30165BAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3985425.20   | 0.15%             | 2032-05-17      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7146000 | PA      | $7526327.27   | 0.27%             | 2030-04-15      | Fixed         | 10.45%                | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DS6S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9394095 | PA      | $9383761.90   | 0.34%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7909091 | PA      | $8063824.26   | 0.29%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2024-10                                               | CUSIP: 46658LBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2843931 | PA      | $1961243.07   | 0.07%             | 2055-03-25      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-INV1                                               | CUSIP: 46658PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3223010 | PA      | $3223125.54   | 0.12%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2022-1                                                | CUSIP: 33845VAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $819166.20    | 0.03%             | 2029-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2921201 | PA      | $2251737.34   | 0.08%             | 2051-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1199955.60   | 0.04%             | 2031-07-14      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Kinetic Advantage Master Owner   | Kinetic Advantage Master Owner Trust                                             | CUSIP: 49462DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $752728.95    | 0.03%             | 2027-11-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP          | Flushing Financial Corp                                                          | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2364380.67   | 0.09%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM4 Trust                                                             | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638472 | PA      | $524197.05    | 0.02%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5231076 | PA      | $5040707.02   | 0.18%             | 2037-02-26      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5709149 | PA      | $4593626.96   | 0.17%             | 2037-02-26      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| KNIFE RIVER CORP                 | Knife River Corp                                                                 | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $628231.20    | 0.02%             | 2031-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-7N                                                   | CUSIP: 52524GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2499032 | PA      | $2342115.41   | 0.09%             | 2047-06-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2022-A Asset Securitization Trust                                   | CUSIP: 52605AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3320000 | PA      | $33.20        | 0.00%             | 2029-06-15      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2913 | PA      | $0.03         | 0.00%             | 2033-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4106000 | PA      | $3477597.23   | 0.13%             | 2060-07-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Man US CLO Ltd                   | Man US CLO 2024-1 Ltd                                                            | CUSIP: 56167CAN4<br>LEI: 2549007JRE3Q11AV7970 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2002384.00   | 0.07%             | 2037-07-20      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $392154.52    | 0.01%             | 2045-03-20      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-5AR                                      | CUSIP: 61748HYR6<br>LEI: 549300T1OKVUI6WNLP63 | Long             | ABS-MBS          | CORP              | US        |  14298928 | PA      | $73768.17     | 0.00%             | 2036-04-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760096 | PA      | $449759.37    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2024-BPR2                                         | CUSIP: 61776EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2675333 | PA      | $2806948.52   | 0.10%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3529747 | PA      | $2413001.85   | 0.09%             | 2051-10-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1198800 | PA      | $730662.65    | 0.03%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE   | Multifamily Connecticut Avenue Securities Trust 2020-01                          | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8310192.00   | 0.30%             | 2050-03-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC            | NESCO Holdings II Inc                                                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |    300000 | PA      | $272400.99    | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2021-4                                         | CUSIP: 36263DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2910123.00   | 0.11%             | 2028-10-16      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ3                                     | CUSIP: 36269TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340000 | PA      | $1908532.08   | 0.07%             | 2054-08-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2435228.78   | 0.09%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2941749.00   | 0.11%             | 2063-10-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $279751.88    | 0.01%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                       | goeasy Ltd                                                                       | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |   1950000 | PA      | $1967768.40   | 0.07%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                | Nexstar Media Inc                                                                | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396612.46    | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-2                                                  | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3740000 | PA      | $3852016.74   | 0.14%             | 2032-07-20      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2038454 | PA      | $1965736.31   | 0.07%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR4                                        | CUSIP: 45660LEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11536120 | PA      | $151792.27    | 0.01%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ACA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1573508 | PA      | $1380241.77   | 0.05%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733138 | PA      | $982684.09    | 0.04%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Helios Issuer VI, LLC            | SUNNOVA HELIOS II ISSUER LLC 2021-B                                              | CUSIP: 86744TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2079040 | PA      | $1704204.86   | 0.06%             | 2048-07-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corpo   | Triangle Re 2023-1 Ltd                                                           | CUSIP: 89589AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3693564 | PA      | $3727751.27   | 0.14%             | 2033-11-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558727 | PA      | $1319453.43   | 0.05%             | 2053-12-26      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336034 | PA      | $1022067.15   | 0.04%             | 2036-10-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18069460 | PA      | $54.21        | 0.00%             | 2050-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2051289 | PA      | $1742365.15   | 0.06%             | 2050-06-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2398549 | PA      | $2132828.27   | 0.08%             | 2050-05-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667826 | PA      | $1298661.02   | 0.05%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535112 | PA      | $2738651.58   | 0.10%             | 2051-10-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-8                                                | CUSIP: 46657CAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3035099 | PA      | $2627402.83   | 0.10%             | 2054-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-11                                                 | CUSIP: 46659AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6324853 | PA      | $6458876.62   | 0.24%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN          | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $502730.39    | 0.02%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640476 | PA      | $1401199.48   | 0.05%             | 2061-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| SPDR Bloomberg High Yield Bond   | SPDR Bloomberg High Yield Bond ETF                                               | CUSIP: 78468R622<br>LEI: 549300NCLW2248PN7J24 | Long             | EC               | RF                | US        |     27900 | NS      | $2642409.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011000 | PA      | $1849219.07   | 0.07%             | 2052-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 102053625 | PA      | $860005.89    | 0.03%             | 2052-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORP                     | Seaspan Corp                                                                     | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |    950000 | PA      | $868127.01    | 0.03%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-4                                                    | CUSIP: 81743JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2152898 | PA      | $2180852.94   | 0.08%             | 2053-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA - HIGH BALANCE 30 YR. FIXED | FNMA - HIGH BALANCE 30 YR. FIXED                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    464819 | PA      | $435606.92    | 0.02%             | 2048-05-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTH ST SEC FUND LLC            | South Street Securities Funding LLC                                              | CUSIP: 84046SAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $970402.46    | 0.04%             | 2026-12-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    900000 | PA      | $890467.56    | 0.03%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STENA INTERNATIONAL SA           | Stena International SA                                                           | CUSIP: 85858EAD5<br>LEI: 213800A4LTGG4W55QP46 | Long             | DBT              | CORP              | LU        |   1925000 | PA      | $1902046.88   | 0.07%             | 2031-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC               | STL Holding Co LLC                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |    450000 | PA      | $457543.35    | 0.02%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STRIKE ACCEPTANCE AUTO FUNDING   | Strike Acceptance Auto Funding Trust 2023-1                                      | CUSIP: 862942AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2061080 | PA      | $2065014.23   | 0.08%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-8                                                | CUSIP: 924922AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546723 | PA      | $549929.67    | 0.02%             | 2067-09-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2021-1                                              | CUSIP: 92512BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4125612 | PA      | $4097759.15   | 0.15%             | 2028-08-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-4                                                | CUSIP: 92538NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426000 | PA      | $1280589.35   | 0.05%             | 2067-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-INV1                                             | CUSIP: 92539JAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2151604.40   | 0.08%             | 2067-08-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1858890.00   | 0.07%             | 2066-06-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3119000 | PA      | $3095878.85   | 0.11%             | 2067-07-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1722407.75   | 0.06%             | 2031-04-19      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2004-AR10 Trust                   | CUSIP: 92922FXD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7214773 | PA      | $562.75       | 0.00%             | 2044-07-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                   | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724068 | PA      | $559357.28    | 0.02%             | 2046-11-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FMF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929129 | PA      | $900297.35    | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEARY US                         | GEARY US                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     70688 | NS      | $7068750.00   | 0.26%             |  |  |  | No            |                  3 | On Loan: No      |
| The Huntington National Bank     | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1159048 | PA      | $1177444.68   | 0.04%             | 2032-05-20      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| LMST 2019-1 CERT                 | LMST 2019-1 CERT                                                                 | CUSIP: 510861AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710263 | PA      | $2691372.63   | 0.10%             | 2049-08-15      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1663006 | PA      | $1495571.54   | 0.05%             | 2035-09-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust 2007-9                                                           | CUSIP: 52524MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13767460 | PA      | $137.67       | 0.00%             | 2037-04-25      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F205<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4408000 | PA      | $22768.40     | 0.00%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2021-B Asset Securitization Trust                                   | CUSIP: 52607HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456880 | PA      | $443328.75    | 0.02%             | 2029-02-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus   | LendingPoint Pass-Through Trust Series 2022-ST3                                  | CUSIP: 52607TAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576000 | PA      | $105974.69    | 0.00%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                | Lithia Motors Inc                                                                | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1208541.10   | 0.04%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-2                                                   | CUSIP: 550279BD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29369709 | PA      | $293.70       | 0.00%             | 2046-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-5                                                   | CUSIP: 55027XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24850706 | PA      | $248.51       | 0.00%             | 2036-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9522417 | PA      | $3753108.44   | 0.14%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2005-2                                          | CUSIP: 57643MLN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9895 | PA      | $5782.32      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $218957.71    | 0.01%             | 2051-07-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1408313 | PA      | $1375001.76   | 0.05%             | 2031-10-08      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975101 | PA      | $845306.01    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2022-1                                                      | CUSIP: 69546MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13978735 | PA      | $13683342.95  | 0.50%             | 2029-10-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-3                                              | CUSIP: 69547GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1757336.00   | 0.06%             | 2032-12-15      | Fixed         | 12.63%                | No            |                  2 | On Loan: No      |
| PennyMac Mortgage Investment T   | PennyMac Mortgage Investment Trust                                               | CUSIP: 70931T103<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EC               | CORP              | US        |     81182 | NS      | $1042376.88   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| QUIKRETE HOLDINGS INC            | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    950000 | PA      | $954385.05    | 0.03%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9279922 | PA      | $7120855.41   | 0.26%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1552377.00   | 0.06%             | 2034-09-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $651115.85    | 0.02%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2454049 | PA      | $1692962.24   | 0.06%             | 2051-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| READYCAP HOLDINGS LLC            | ReadyCap Holdings LLC                                                            | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2992435.44   | 0.11%             | 2028-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1771786.05   | 0.06%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust      | SBNA Auto Receivables Trust 2024-A                                               | CUSIP: 78437PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $512662.20    | 0.02%             | 2030-04-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS/SALLY CAP         | Sally Holdings LLC / Sally Capital Inc                                           | CUSIP: 79546VAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $907719.30    | 0.03%             | 2032-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2254499 | PA      | $2132449.71   | 0.08%             | 2052-02-25      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG4                                | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4961893 | PA      | $5137642.76   | 0.19%             | 2053-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449524 | PA      | $1583238.03   | 0.06%             | 2051-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159619 | PA      | $1264465.79   | 0.05%             | 2051-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79584QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37897498 | PA      | $35822571.95  | 1.31%             | 2052-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2024-A                            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1383045 | PA      | $1411218.02   | 0.05%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust   | Shellpoint Asset Funding Trust 2013-1                                            | CUSIP: 822804AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782566 | PA      | $691645.71    | 0.03%             | 2043-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137315 | PA      | $129633.28    | 0.00%             | 2065-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                  | TX Trust 2024-HOU                                                                | CUSIP: 90216DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500156.00    | 0.02%             | 2039-06-15      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $549470.74    | 0.02%             | 2025-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2023-1                                                          | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650571 | PA      | $1656863.14   | 0.06%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST4                                       | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $133345.96    | 0.00%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST5                                       | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $534369.36    | 0.02%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST9                                       | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1629000 | PA      | $528266.88    | 0.02%             | 2029-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION         | Vertiv Group Corp                                                                | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    400000 | PA      | $386780.24    | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159002 | PA      | $2210265.25   | 0.08%             | 2068-03-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-INV1                                             | CUSIP: 92539JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3483000 | PA      | $3456807.84   | 0.13%             | 2067-08-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5905740.00   | 0.22%             | 2067-07-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2023-INV3                                             | CUSIP: 92540CAF4<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5041755.00   | 0.18%             | 2068-11-25      | Variable      | 8.21%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105805.20    | 0.00%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust Series 2024-CES2                                | CUSIP: 92841YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1032202.00   | 0.04%             | 2054-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| WFLD MORTGAGE TRUST              | WFLD 2014-MONT Mortgage Trust                                                    | CUSIP: 92939GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1567088 | PA      | $1511010.88   | 0.06%             | 2031-08-10      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59949811 | PA      | $19243.89     | 0.00%             | 2047-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2680382 | PA      | $2395465.01   | 0.09%             | 2035-07-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                | Wellfleet CLO 2015-1 Ltd                                                         | CUSIP: 94949QAE9<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $490.00       | 0.00%             | 2029-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2025-VTT                                   | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $5165466.80   | 0.19%             | 2038-03-15      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-4 Trust                              | CUSIP: 95002FBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124000 | PA      | $1399157.39   | 0.05%             | 2049-09-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011000 | PA      | $511774.27    | 0.02%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAC4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299785.50    | 0.01%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAK6<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1466118.19   | 0.05%             | 2025-11-01      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                   | Orion CLO 2023-2 Ltd                                                             | CUSIP: BCC3CWD22<br>LEI: 2138006PMRY9TD8ETL33 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2007874.00   | 0.07%             | 2037-01-25      | Floating      | 12.18%                | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                   | ACHV ABS TRUST 2023-3PL                                                          | CUSIP: 000876AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1680244.50   | 0.06%             | 2030-08-19      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust               | ADMT 2024-NQM6                                                                   | CUSIP: 00249YAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2586000 | PA      | $2451124.58   | 0.09%             | 2070-01-25      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| ALLIANCE RES OP/FINANCE          | Alliance Resource Operating Partners LP / Alliance Resource Finance Corp         | CUSIP: 01879NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $929981.70    | 0.03%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 9 Ltd                                                   | CUSIP: 03330HBN6<br>LEI: 549300SMHL6F6G4VTM11 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6474587.00   | 0.24%             | 2037-10-25      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5511810.85   | 0.20%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RKJ2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1243946.25   | 0.05%             | 2028-04-20      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1908192 | PA      | $1398975.60   | 0.05%             | 2037-03-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-8 Trust                                             | CUSIP: 05953LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763570 | PA      | $2186885.10   | 0.08%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SAVANNAH GRAND                   | SAVANNAH GRAND                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3111177 | PA      | $3103139.60   | 0.11%             | 2026-03-31      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2005-12                                           | CUSIP: 2254W0MF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1261455 | PA      | $956662.02    | 0.03%             | 2036-03-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| A10 CAPITAL LLC                  | A10 Capital LLC                                                                  | CUSIP: 66982EAA0<br>LEI: 549300RXTK0PSG57BV49 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $977788.26    | 0.04%             | 2026-08-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10852 | PA      | $8985.75      | 0.00%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-5 LLC                                                                  | CUSIP: 69381KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2935979 | PA      | $2973726.49   | 0.11%             | 2029-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust          | PowerPay Issuance Trust 2024-1                                                   | CUSIP: 73934RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511632.55    | 0.02%             | 2039-02-18      | Fixed         | 8.46%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance T   | Prosper Marketplace Issuance Trust Series 2024-1                                 | CUSIP: 74363CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2099548.80   | 0.08%             | 2029-08-15      | Fixed         | 10.98%                | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-7 LLC                                                                  | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2722660 | PA      | $2733577.82   | 0.10%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494490 | PA      | $28629.24     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164040 | PA      | $84348.21     | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1748429 | PA      | $1357226.38   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA9 Trust                                                       | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1376326 | PA      | $740495.02    | 0.03%             | 2036-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    776053 | PA      | $366081.59    | 0.01%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC              | Reach ABS Trust 2024-2                                                           | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1025186.00   | 0.04%             | 2031-07-15      | Fixed         | 8.83%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3153250 | PA      | $2925881.76   | 0.11%             | 2052-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2022-A                            | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21720 | PA      | $21720.81     | 0.00%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC         | Sensata Technologies Inc                                                         | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $875584.13    | 0.03%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-2                                                    | CUSIP: 81749HAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3061281.00   | 0.11%             | 2054-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS   | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5379504.00   | 0.20%             | 2050-01-28      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| ACC Trust                        | ACC Trust 2022-1                                                                 | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $21122.10     | 0.00%             | 2028-10-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM         | Advanced Drainage Systems Inc                                                    | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |    600000 | PA      | $609852.00    | 0.02%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2023-B                                         | CUSIP: 00792FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $813216.80    | 0.03%             | 2028-09-15      | Fixed         | 11.32%                | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-X2                                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9712 | PA      | $621739.92    | 0.02%             | 2029-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50247088 | PA      | $407152.15    | 0.01%             | 2046-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12954950 | PA      | $111231.20    | 0.00%             | 2046-05-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2007-5                                       | CUSIP: 026936AU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11748800 | PA      | $141338.07    | 0.01%             | 2047-06-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2021-D                                                | CUSIP: 12658VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $492564.65    | 0.02%             | 2028-12-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6821189 | PA      | $115148.49    | 0.00%             | 2056-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-C                                                | CUSIP: 223920AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1536200.10   | 0.06%             | 2032-03-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1223244.00   | 0.04%             | 2040-04-13      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1238658.00   | 0.05%             | 2040-04-13      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-INV2                                                                   | CUSIP: 26844LAG3<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   6155807 | PA      | $5719194.08   | 0.21%             | 2069-10-25      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF58 Mortgage Trust                                                   | CUSIP: 302986AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182007 | PA      | $1174344.13   | 0.04%             | 2026-01-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF41 Mortgage Trust                                                   | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600479 | PA      | $590802.53    | 0.02%             | 2025-11-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DT3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8751193 | PA      | $8597653.43   | 0.31%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3730451 | PA      | $3805765.48   | 0.14%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5378954 | PA      | $5264408.98   | 0.19%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133W9H38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2327245 | PA      | $2367685.33   | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4            | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9082770 | PA      | $6557314.82   | 0.24%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3142GQ5G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2460408 | PA      | $2497011.80   | 0.09%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRQU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11550686 | PA      | $11290275.35  | 0.41%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE1                                                             | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167152 | PA      | $1189958.08   | 0.04%             | 2054-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FIRST NORTHWEST BANCORP          | First Northwest Bancorp                                                          | CUSIP: 335834AC1<br>LEI: 549300YDR3VSTKB9DQ65 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1217364.77   | 0.04%             | 2031-03-30      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-4                                                | CUSIP: 33845AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3530392.40   | 0.13%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458357 | PA      | $416744.13    | 0.02%             | 2041-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2022-1                            | CUSIP: 35105JAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4835101.50   | 0.18%             | 2029-08-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $931185.00    | 0.03%             | 2066-08-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1214719.50   | 0.04%             | 2049-08-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ5                                | CUSIP: 36260DBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695134 | PA      | $1066325.65   | 0.04%             | 2051-03-27      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1714288 | PA      | $1396822.53   | 0.05%             | 2051-05-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2236283 | PA      | $1651678.71   | 0.06%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4718400 | PA      | $3690845.96   | 0.13%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ5                                     | CUSIP: 36269XCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613000 | PA      | $1405944.03   | 0.05%             | 2054-09-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| GEORGIA BANKING CO INC           | Georgia Banking Co Inc                                                           | CUSIP: 37312RAA3<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   4000000 | PA      | $3666172.92   | 0.13%             | 2031-06-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| MAGNERA CORP                     | Magnera Corp                                                                     | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1570806.00   | 0.06%             | 2029-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11127034 | PA      | $91564.36     | 0.00%             | 2045-06-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $722498.70    | 0.03%             | 2039-05-10      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-3                                            | CUSIP: 41161PNK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32205537 | PA      | $322.06       | 0.00%             | 2035-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HOMESTREET INC                   | HomeStreet Inc                                                                   | CUSIP: 43785VAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $725092.41    | 0.03%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR2                                        | CUSIP: 45660LCT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9064573 | PA      | $0.00         | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR8                                        | CUSIP: 45660LJN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15094301 | PA      | $150.94       | 0.00%             | 2035-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR10                                       | CUSIP: 45660LKZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24022621 | PA      | $240.23       | 0.00%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR12                                       | CUSIP: 45660LML0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38082189 | PA      | $380.82       | 0.00%             | 2035-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR16IP                                     | CUSIP: 45660LUG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11005375 | PA      | $5535.70      | 0.00%             | 2045-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1567558 | PA      | $954710.53    | 0.03%             | 2035-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418289 | PA      | $956456.94    | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1847288 | PA      | $560227.03    | 0.02%             | 2046-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2007-AR9                                        | CUSIP: 45669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3095124 | PA      | $1935554.10   | 0.07%             | 2037-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150672 | PA      | $1109599.49   | 0.04%             | 2051-03-25      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-13                                                 | CUSIP: 46592XAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1015057.50   | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4665973 | PA      | $3706051.37   | 0.14%             | 2035-10-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199000 | PA      | $836061.50    | 0.03%             | 2050-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717631 | PA      | $1551508.32   | 0.06%             | 2050-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-INV6                                               | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1084511 | PA      | $887923.00    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8491875 | PA      | $7050523.50   | 0.26%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-8                                           | CUSIP: 46658GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359827 | PA      | $2348334.67   | 0.09%             | 2055-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-CCM1                                               | CUSIP: 46658NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631525 | PA      | $1639385.83   | 0.06%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JAX BANCP STAT TRUST III         | Jacksonville Bancorp Inc Statutory Trust III                                     | CUSIP: 469249AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1142964.70   | 0.04%             | 2038-09-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| KINGSTONE COMPANIES INC WARRANTS | KINGSTONE COMPANIES INC WARRANTS                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |    142744 | NS      | $2502302.32   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2021-GS3                                             | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400492 | PA      | $4474653.65   | 0.16%             | 2061-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-1                                      | CUSIP: 52604L104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    932340 | PA      | $17205.74     | 0.00%             | 2045-07-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2022-B Asset Securitization Trust                                   | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $358052.40    | 0.01%             | 2029-10-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| MCF CLO LLC                      | MCF CLO VII LLC                                                                  | CUSIP: 55281FAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3000744.00   | 0.11%             | 2033-07-20      | Floating      | 13.68%                | No            |                  2 | On Loan: No      |
| MARBLE PT LOAN FIN/MPLF          | Marble Point Loan Financing Ltd / MPLF Funding I LLC                             | CUSIP: 56607VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |   3500000 | PA      | $3469375.00   | 0.13%             | 2025-11-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $509864.61    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792600 | PA      | $584371.13    | 0.02%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                   | NRG Energy Inc                                                                   | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399691.40    | 0.01%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC          | New Fortress Energy Inc                                                          | CUSIP: 644393AB6<br>LEI: 254900EICTYTCHA5X705 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164036.37    | 0.01%             | 2026-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J3 Trust                                                                | CUSIP: 67448XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1694285.00   | 0.06%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-RVM1                                               | CUSIP: 67579FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $314313.99    | 0.01%             | 2046-01-22      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| Octagon Investments Partners 3   | Octagon Investment Partners 36 Ltd                                               | CUSIP: 67591UAJ6<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2493550.00   | 0.09%             | 2031-04-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP             | OneMain Finance Corp                                                             | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1775679.86   | 0.06%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF1 LLC                                                               | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $931194.00    | 0.03%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL2 Trust                                                             | CUSIP: 69392LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7274176.00   | 0.27%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya Ai Debt Grantor Trust 2024-9                                              | CUSIP: 69548QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999847 | PA      | $993748.39    | 0.04%             | 2032-03-15      | Fixed         | 10.11%                | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2024-NPL7 LLC                                                               | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   1856871 | PA      | $1875125.41   | 0.07%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-2 LLC                                                                  | CUSIP: 74448BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842896 | PA      | $861219.51    | 0.03%             | 2029-03-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QA2 Trust                                                       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4472412 | PA      | $3838769.63   | 0.14%             | 2037-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162028 | PA      | $84161.76     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28158 | PA      | $16114.39     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2023-1 Ltd                                                             | CUSIP: 75050KAA4<br>LEI: 254900P3K895250PCC81 | Long             | ABS-MBS          | CORP              | BM        |   2900422 | PA      | $2923100.37   | 0.11%             | 2033-07-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71309 | PA      | $43501.73     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33402 | PA      | $20125.95     | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J2                                                      | CUSIP: 753917CM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927000 | PA      | $708997.41    | 0.03%             | 2054-07-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC              | Reach ABS Trust 2025-1                                                           | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003225.20   | 0.04%             | 2032-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $513596.65    | 0.02%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1466887 | PA      | $1306491.30   | 0.05%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118QB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224471 | PA      | $149701.84    | 0.01%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3905941 | PA      | $1871762.12   | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC              | Resideo Funding Inc                                                              | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |    775000 | PA      | $769759.30    | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-26

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

**Signature:** /s/ Michael Colombo

**Name of Signer:** Michael Colombo

**Title:** Secretary